Amplification and asymmetry in crashes and frenzies

We often observe disproportionate reactions to tangible information in large stock price movements. Moreover these movements feature an asymmetry: the number of crashes is more than that of frenzies in the S&P 500 index. This paper offers an explanation for these two characteristics of large...

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Hlavní autor: Ozsoylev, H
Médium: Working paper
Vydáno: University of Oxford 2005