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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/28345
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| Title: | When Everyone Runs for the Exit |
| Authors: | Pedersen, Lasse Heje |
| Issue Date: | 24-Nov-2009 |
| Series/Report no.: | FIN-09-025 |
| Abstract: | The dangers of shouting \re" in a crowded theater are well
understood, but the dangers of rushing to the exit in the nancial
markets are more complex. Yet, the two events share several features,
and I analyze why people crowd into theaters and trades, why they run,
what determines the risk, whether to return to the theater or trade when
the dust settles, and how much to pay for assets (or tickets) in light
of this risk. These theoretical considerations shed light on the recent
global liquidity crisis and, in particular, the quant event of 2007. |
| URI: | http://hdl.handle.net/2451/28345 |
| Appears in Collections: | Finance Working Papers
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