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dc.contributor.authorBarbarino, Alessandro-
dc.contributor.authorJovanovic, Boyan-
dc.date.accessioned2008-05-30T21:24:08Z-
dc.date.available2008-05-30T21:24:08Z-
dc.date.issued2003-09-30-
dc.identifier.urihttp://hdl.handle.net/2451/27323-
dc.description.abstractStock-market crashes tend to follow run-ups in prices. These episodes look like bubbles that gradually inflate and then suddenly burst. We show that such bubbles can form in a Zeira-Rob type of model in which demand size is uncertain. Two conditions are sufficient for this to happen: A declining hazard rate in the prior distribution over market size and a convex cost of investment. For the period 1971-2001 we fit the model to the Telecom sector.en
dc.language.isoen_USen
dc.relation.ispartofseriesS-MF-03-15en
dc.titleShakeouts and Market Crashesen
dc.typeWorking Paperen
Appears in Collections:Macro Finance

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