Bubbles and crashes

By Dilip Abreu, Markus K. Brunnermeier. 2002

1,242 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e7c1de5f326bcce3ce69044d3b064b060ce79a55

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Citations in the corpus

Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles (2007, neutral): “However, in several models with heterogeneous agents, such as Abreu and Brunnermeier (2003) and DeLong et al.”
The fundamental principles of financial regulation (2009, neutral): “The problem with Basel II was not so much that it was an incorrect metric of micro-prudential risk (though, of course, it was also that to some extent)32, but 30 Abreu and Brunnermeier (2003) provide theoretical reasoning why rational traders prefer to ride the bubble rather attack against it.”
Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model (2016, neutral): “The observation that perfectly efficient asset prices imply purely random price fluctuations, and the subsequent conflicting rejection of the random walk property of observed asset prices [41], the existence of bubbles and crashes in asset prices [42], and the unusual profitability of simple technic”
Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination (2016, neutral): “The second contribution, which is by Abreu and Brunnermeier (2003), is also concerned with a dynamic coordination game; but instead of adding a Calvo friction, it introduces asynchronous awareness of a shock in the environment; it is then shown that such asynchronous awareness results, not only in…”
Liquidity and Financial Market Runs (2002, neutral): “2Yet another interpretation would have a seller be unaware whether he received information about overvaluation/undervaluation before or after other investors, as in Abreu and Brunnermeier (2001).”
Beauty Contests and Iterated Expectations in Asset Markets (2006, neutral): “Abreu and Brunnermeier (2003) have recently modeled such features using the failure of common knowledge of fundamentals.”
Do investors exhibit behavioral biases in investment decision making? A systematic review (2018, neutral): “Adair et al. (1994) clarify that investment in property has recently been recognized as an important decision for a multi-asset portfolio and investors are using it as a tool for hedging against inflation as well as for diversification. Investors are focusing on the past performance and the future p”
Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading (2009, positive): “Zigrand (2004) presents a model where there is imperfect competition among arbitrageurs, while Abreu and Brunnermeier (2002,2003) analyze the case where arbitrageurs are strategic and the time of convergence is determined in equilibrium.”
Extrapolation and bubbles (2018, positive): “Abreu and Brunnermeier’s (2003) predictions for investor behavior differ from ours in at least two important ways.”
The Fragile Capital Structure of Hedge Funds and the Limits to Arbitrage (2011, neutral): “Abreu and Brunnermeier (2002, 2003) use synchronization risk to explain market inefficiency.”
Limits of Arbitrage (2010, neutral): “Abreu & Brunnermeier (2002; 2003) assume that arbitrageurs learn about a profitable investment opportunity privately at different points in time, so the opportunity’s existence is not common knowledge.”
Payoff complementarities and financial fragility: Evidence from mutual fund outflows $ (2010, neutral): “…on bank runs (e.g., Diamond and Dybvig (1983)), currency attacks (e.g., Morris and Shin (1998)), bubbles and crashes in financial markets (e.g., Abreu and Brunnermeier (2003)), and others. damage the future returns.2 Since mutual funds conduct most of the resulting trades after the day of…”
Deciphering the Liquidity and Credit Crunch 2007-08 (2009, neutral): “As in the theoretical model of Abreu and Brunnermeier (2002, 2003), it was perceived to be more profitable to ride the wave than to lean against it.”
Overconfidence and Speculative Bubbles (2003, neutral): “The fundamental variables f1 and f2 are unobservable and both follow the linear mean-reverting process in equation (2) with the same parameters λ, f̄ and σf .”