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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/28345

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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