Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding

By Markus K. Brunnermeier. 2001

434 citations recorded by the source corpus.

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Citations in the corpus

Herd Behaviour and Cascading in Capital Markets: A Review and Synthesis (2003, background): “Furthermore, there are rational models of bubbles and crashes that do not involve herding (see, e.g., the agency=intermediation model of Allen and Gale (2000a), and the review of Brunnermeier (2001)).”
Towards an operational framework for financial stability : "fuzzy" measurement and its consequences (2009, unknown): “Other market based measures of the likelihood of co-distress among banks have been estimated by applying extreme value theory to stock prices (Hartman et al (2005)), the conditional co-movement of large abnormal bank stock returns (Gropp and Moerman (2004)), co-movements in VaRs (Adrian and Brunnerm”
Social Transmission Bias and Investor Behavior (2021, unknown): “Brunnermeier (2001) and Hirshleifer and Teoh (2009) review the theory of herding in financial markets. Recent models of social networks explore information acquisition, cost of capital, liquidity, and trading volume (Ozsoylev and Walden 2011; Han and Yang 2013). Burnside, Eichenbaum, and Rebelo (201”
Cross-country effects in herding behaviour: Evidence from four south European markets (2011, unknown): “Liquidity constraints, asymmetric information, limits to arbitrage and other frictions are the commonly cited culprits for this phenomenon (see Shleifer, 2000; Brunnermeier, 2001 for an introduction).”
Who Drove and Burst the Tech Bubble (2011, background): “3 Brunnermeier (2001, 2008) evaluates bubble models and LeRoy (2004) discusses empirical bubble connections.”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “Brunnermeier (2001) provides an overview of these Kyle-type models, and he also discusses phenomena such as gradual information flow (some investors learn information before others) which may have implications for future research on the effects of public financial disclosures.”
Information Leakage and Market Efficiency (2005, background): “The random variable s refers to the short-run information which (5)See Brunnermeier (2001) or O’Hara (1995) for a detailed discussion of the different reasons why liquidity traders trade, and for a discussion on the distinction between information of common versus private interest.”
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion (2010, background): “tries also play an important role in models of financial markets (Brunnermeier, 2001) and in foreign 2006).”
Beauty Contests, Bubbles and Iterated Expectations in Asset Markets ∗ (2003, unknown): “For completeness, we report a self-contained argument, but those papers and Brunnermeier (2001) can be consulted for more detail.”
Thought and Behavior Contagion in Capital Markets (2008, unknown): “In the model of Grenadier (1999), eventually a small move in the state variable triggers a cascade of option exercise.”
Herding and Contrarian Behavior in Financial Markets: An Internet Experiment (2005, background): “, Brunnermeier (2001). For a survey of experimental research on bubbles in asset markets, see e.”
Macroeconomics with Financial Frictions: A Survey (2012, unknown): “In Brunnermeier and Pedersen (2009) experts face an explicit credit constraint and, as in KM97, cannot issue any equity.”
Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “In asymmetric information settings with common priors, a condition for a bubble to exist is that the bubble is not commonly known (see Brunnermeier (2001)).”
Exchange rate puzzles: A tale of switching attractors (2006, unknown): “If the latter are positive, they buy; if they are negative, they sell (Brunnermeier(2001)).”
Dotcom Mania: The Rise and Fall of Internet Stock Prices (2003, unknown): “Nevertheless, by making the bubbles somewhat less than fully rational (e.g., Brunnermeier (2001)), the high internet prices are consistent with the idea of high future internet stock prices not tied to fundamental values.”
Overconfidence and trading volume (2007, unknown): “2See, for example, Brunnermeier (2001), pp. 30-37, for a discussion of various no trade theorems. 3See Pagano and Röell (1992), p. 680, and Brunnermeier (2001), p. 31. Shleifer and Summers (1990) survey the noise trader approach to finance.”
A cross-country analysis of herd behavior in Europe (2014, background): “Moreover, liquidity constraints, asymmetric information, limits to arbitrage (Shleifer, 2000; Brunnermier, 2001; and Hirshleifer and Teoh, 2003) pose a”