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An Equilibrium Model of the Crash
11 references·14 citing·48 second hop
An Equilibrium Model of the Crash (1988)An Equilibrium Model of the CrashMean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesPortfolio Insurance and Financial Market Equilibrium (1989)Portfolio Insurance and Finan…Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash (1988)Portfolio Insurance and Other…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…The Economic Consequences of Noise Traders (1987)The Economic Consequences of …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence (1987)Investor Behavior in the Octo…Expected stock returns and volatility (1987)Expected stock returns and vo…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…On estimating the expected return on the market (1980)On estimating the expected re…The early‐warning system of stock market crises with investor sentiment: Evidence from China (2018)The early‐warning system of s…The effect of general elections on stock returns at the Nairobi securities exchange (2015)The effect of general electio…A new approach to measuring riskiness in the equity market: Implications for the risk premium (2015)A new approach to measuring r…The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns (2014)The impact of the CSI 300 sto…Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model (2013)Clarifications to questions a…Positive feedback trading in stock index futures: International evidence (2010)Positive feedback trading in …The relationship between implied volatility and autocorrelation (2007)The relationship between impl…The Determinants of Conditional Autocorrelation in Stock Returns (2003)The Determinants of Condition…Noise Trader Risk in Financial Markets (2000)Noise Trader Risk in Financia…A Model of Investor Sentiment (2000)A Model of Investor SentimentPrice Crashes, Information Aggregation, and Market-Making (1997)Price Crashes, Information Ag…Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment around the Stock Crash of October 1987 (1992)Equity Risk Premia, Corporate…Mean Reversion and Consumption Smoothing (1990)Mean Reversion and Consumptio…Causes of changing financial market volatility (1988)Causes of changing financial …The General Theory of Employment, Interest and Money. 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this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1987Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence305 cited
  • 1987The Economic Consequences of Noise Traders109 cited
  • 1989Portfolio Insurance and Financial Market Equilibrium97 cited
  • 1988Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash93 cited

Cited by

  • 2013Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model75 cited
  • 1992Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment around the Stock Crash of October 198769 cited
  • 2000Noise Trader Risk in Financial Markets67 cited
  • 2014The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns

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58 cited
  • 2003The Determinants of Conditional Autocorrelation in Stock Returns51 cited
  • 2000A Model of Investor Sentiment46 cited
  • 1990Mean Reversion and Consumption Smoothing42 cited
  • 2010Positive feedback trading in stock index futures: International evidence42 cited
  • 2015The effect of general elections on stock returns at the Nairobi securities exchange35 cited
  • 1997Price Crashes, Information Aggregation, and Market-Making33 cited
  • 2018The early‐warning system of stock market crises with investor sentiment: Evidence from China31 cited
  • 1988Causes of changing financial market volatility25 cited
  • 2007The relationship between implied volatility and autocorrelation22 cited
  • 2015A new approach to measuring riskiness in the equity market: Implications for the risk premium21 cited