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Author: | Hong, H. Stein, J. C. |
Title: | Differences of opinion, short-sales constraints, and market crashes |
Journal: | Review of Financial Studies
2003 : SUMMER, VOL. 16:2, p. 487-525 |
Index terms: | Market research Investors Business information |
Language: | eng |
Abstract: | The authors develop a theory of market crashes based on differences of opinion among investors. The model explains a variety of stylized facts about crashes and also makes a distinctive new prediction - that returns will be more negatively skewed conditional on high trading volume. |
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