Rational panics and stock market crashes

• 成果类型: Article
• 署名作者: Barlevy, G; Veronesi, P
• 署名单位: University of Chicago; Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00039-5
• 发表日期: 2003
• 页码: 234-263
• 关键词: information effect; asymmetric information; crashes

摘要

This paper offers an explanation for stock market crashes which focuses on the role of rational but uninformed traders. We show that uninformed traders can precipitate a price crash because as prices decline, they surmise that informed traders received negative information, which leads them to reduce their demand for assets and drive the price of stocks even lower. The model yields several implications, such as that crashes can occur even when the fundamentals are strong, and that the magnitude of the crash depends on the fraction of uninformed investors and the amount of unsophisticated passive investing present in the market. (C) 2003 Elsevier Science (USA). All rights reserved.