haku: @indexterm SHARE PRICES / yhteensä: 1009
viite: 20 / 1009
| Tekijä: | Allen, F. Litov, L. Mei, J. |
| Otsikko: | Large investors, price manipulation, and limits to arbitrage: An anatomy of market corners |
| Lehti: | Review of finance
2006 : VOL. 10:4, p. 645-693 |
| Asiasana: | financial markets securities share prices arbitrage models history |
| Kieli: | eng |
| Tiivistelmä: | In the 19th and early 20th century, corners were prevalent. This paper develops a rational expectations model of corners which are shown to arise as the result of rational behaviour. Based on a data set, price and trading behaviour are explored around several well-known stock market and commodity corners from 1863 to 1980. Among others, it is found that large investors and corporate insiders have market power allowing them to manipulate prices. Manipulation leading to a market corner tends to increase market volatility, having an adverse price impact on other assets etc. |
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