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...

Szczegółowa specyfikacja

Opis bibliograficzny
1. autor: Ozsoylev, H
Format: Working paper
Wydane: University of Oxford 2005