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Predicting Economic Market Crises Using Measures of Collective Panic
16 references·3 citing·42 second hop
Predicting Economic Market Crises Using Measures of Collective Panic (2011)Predicting Economic Market Crises Using M…The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…Complex dynamics of our economic life on different scales: insights from search engine query data (2010)Complex dynamics of our econo…Why Stock Markets Crash (2009)Why Stock Markets CrashDynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades (1998)Learning from the Behavior of…Large financial crashes (1997)Large financial crashesStock Market Crashes, Precursors and Replicas (1996)Stock Market Crashes, Precurs…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…What Moves Stock Prices? (1988)What Moves Stock Prices?Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Theory of collective behavior. (1963)Theory of collective behavior.Anticipating Economic Market Crises Using Measures of Collective Panic (2015)Anticipating Economic Market …Sensory Finance (2014)Sensory FinanceBetting Big: Value, Caution and Accountability in an Era of Large Banks and Complex Finance (2010)Betting Big: Value, Caution a…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)The Dynamics of Informational Cascades: The Monday Demonstrations in Leipzig, East Germany, 1989–91 (1994)Models of technology diffusion (2000)Micro-Foundations of Urban Agglomeration Economies (2003)Chapter 48 Micro-foundations of urban agglomeration economies (2004)American Economic Review (2019)Diffusion of Innovations 1 (2019)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)Expected Stock Returns and Variance Risk Premia (2009)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Left-Libertarian Parties: Explaining Innovation in Competitive Party Systems (1988)Votes and Violence (2004)Social Movements and Organization Theory (2005)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1998Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades1,916 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1963Theory of collective behavior.1,299 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 1996Stock Market Crashes, Precursors and Replicas403 cited
  • 2009Why Stock Markets Crash322 cited
  • 2010Complex dynamics of our economic life on different scales: insights from search engine query data282 cited

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Large financial crashes
277 cited

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  • 2015Anticipating Economic Market Crises Using Measures of Collective Panic64 cited
  • 2010Betting Big: Value, Caution and Accountability in an Era of Large Banks and Complex Finance25 cited
  • 2014Sensory Finance0 cited