search query: @author Zhang, L. / total: 12
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| Author: | Miller, M. Weller, P. Zhang, L. |
| Title: | Moral hazard and the US stock market: analysing the "Greenspan put" |
| Journal: | Economic Journal
2002 : MAR, VOL. 112:478, p. C171-C186 |
| Index terms: | Stock markets Financial risk USA |
| Language: | eng |
| Abstract: | When the risk premium in the US stock market fell substantially, this was attributed to a bubble driven by psychological factors. An alternative expanation is that the observed risk premium may be reduced by one-sedid intervention policy on the part of thre Federal Reserve which leads investors into the erroneous belief that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, the authors show that this 'insurance' - referred to as the Greensoan put - is consistent with the observation that implied volatility rises as the market falls. |
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