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THE INCIDENCE OF INFORMATIONAL CASCADES AND THE BEHAVIOR OF TRADE INTERARRIVAL TIMES DURING THE STOCK MARKET BUBBLE
16 references·0 citing·42 second hopsampled
THE INCIDENCE OF INFORMATIONAL CASCADES AND THE BEHAVIOR OF TRADE INTERARRIVAL TIMES DURING THE STOCK MARKET BUBBLE (2010)THE INCIDENCE OF INFORMATIONAL CASCADES A…Style investing (2003)Style investingInstitutional Herding (2003)Institutional HerdingHerd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Herd Behaviour and Cascading …Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Multidimensional Uncertainty and Herd Behavior in Financial Markets (1998)Multidimensional Uncertainty …Following the Pied Piper: Do Individual Returns Herd around the Market? (1995)Following the Pied Piper: Do …Advances in Behavioral Finance. (1995)Advances in Behavioral Financ…Analyst Forecasts and Herding Behavior: (1994)Analyst Forecasts and Herding…The impact of institutional trading on stock prices (1992)The impact of institutional t…Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation (1992)Herd on the Street: Informati…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…What Moves Stock Prices? (1988)What Moves Stock Prices?Herd Behavior and Investment (1988)Herd Behavior and InvestmentDoes the Stock Market Overreact? (1985)Does the Stock Market Overrea…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The General Theory of Employment (1937)Network Externalities, Competition, and Compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Limits of Arbitrage (1995)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)Herding and Feedback Trading by Institutional and Individual Investors (1999)An examination of herd behavior in equity markets: An international perspective (2000)Essays in Positive Economics (1954)Contrarian Investment, Extrapolation, and Risk (1994)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Empirical properties of asset returns: stylized facts and statistical issues (2001)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Using Online Conversations to Study Word-of-Mouth Communication (2004)Judgment Under Uncertainty: Heuristics and Biases. (1984)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)On Persistence in Mutual Fund Performance (1997)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)The Geography of Investment: Informed Trading and Asset Prices (2001)Herd Behavior in Financial Markets (2000)An empirical analysis of herd behavior in global stock markets (2010)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985Does the Stock Market Overreact?7,756 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1995Following the Pied Piper: Do Individual Returns Herd around the Market?1,228 cited
  • 1992Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation1,124 cited
  • 2003Style investing971 cited
  • 1994Analyst Forecasts and Herding Behavior:943 cited
  • 2003Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis923 cited
  • 2003Institutional Herding898 cited
  • 1995Advances in Behavioral Finance.790 cited
  • 1998Multidimensional Uncertainty and Herd Behavior in Financial Markets748 cited

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