全球智库信息集成服务系统(G2TT): Financial Market Runs

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w9251
来源ID	Working Paper 9251
	Financial Market Runs
	Antonio E. Bernardo; Ivo Welch
发表日期	2002-10-03
出版年	2002
语种	英语
摘要	Our paper offers a minimalist model of a run on a financial market. The prime ingredient is that each risk-neutral investor fears having to liquidate after a run, but before prices can recover back to fundamental values. During the urn, only the risk-averse market-making sector is willing to absorb shares. To avoid having to possibly liquidate shares at the marginal post-run price in which case the market-making sector will already hold a lot of share inventory and thus be more reluctant to absorb additional shares all investors may prefer selling their shares into the market today at the average run price, thereby causing the run itself. Consequently, stock prices are low and risk is allocated inefficiently. Liquidity runs and crises are not caused by liquidity shocks per se, but by the fear of future liquidity shocks.
主题	Financial Economics ; Financial Institutions ; Financial Markets
URL	https://www.nber.org/papers/w9251
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566864
推荐引用方式 GB/T 7714	Antonio E. Bernardo,Ivo Welch. Financial Market Runs. 2002.