Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/221608 
Erscheinungsjahr: 
1999
Schriftenreihe/Nr.: 
Discussion Paper No. 1252
Verlag: 
Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science, Evanston, IL
Zusammenfassung: 
stock market crash on hedging strategies by portfolio insurers, which dictated selling stocks as soon as prices fell. The fact that the practice of buying and selling stocks as portfolio insurance has virtually disappeared since then has given many comfort that a replay of the 1987 crash, when prices fell so much so quickly, is unlikely. This note argues with this view by developing a model in which crashes are possible in the absence of portfolio insurance. In our model, a crash is driven by panic selling among rational but uninformed traders.
Schlagwörter: 
Giffen Effect
Portfolio Insurance
Hedging Demand
Market Crashes
JEL: 
G14
D82
D84
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
709.83 kB





Publikationen in EconStor sind urheberrechtlich geschützt.