search query: @author Xiong, W. / total: 3
reference: 3 / 3
« previous | next »
| Author: | Xiong, W. |
| Title: | Convergence trading with wealth effects: an amplification mechanism in financial markets |
| Journal: | Journal of Financial Economics
2001 : NOV, VOL. 62:2, p. 247-292 |
| Index terms: | FINANCIAL MARKET TRADING WEALTH VOLATILITY |
| Freeterms: | CONVERGENCE TRADING |
| Language: | eng |
| Abstract: | The author studies convergence traders with logarithmic utility in a continuous-time equilibrium model. In general, convergence traders reduce asset price volatility and provide liquidity by taking risky positions against noise trading. However, when an unfavorable shock causes them to suffer capital losses, thus eroding their risk-bearing capacity, they liquidate their positions, thereby amplifying the original shock. |
« previous | next »
SCIMA