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...

詳細記述

書誌詳細
第一著者: Ozsoylev, H
フォーマット: Working paper
出版事項: University of Oxford 2005