A note on risk aversion and herd behavior in financial markets

Jean-Paul Décamps and Stefano Lovo

The Geneva Risk and Insurance Review, 2006, vol. 31, issue 1, 35-42

Abstract: We show that differences in market participants risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents learning of market's fundamentals. These results are obtained without introducing multidimensional uncertainty or transaction cost. The Geneva Risk and Insurance Review (2006) 31, 35–42. doi:10.1007/s10713-006-9466-x

Date: 2006
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Journal Article: A note on risk aversion and herd behavior in financial markets (2006)
Working Paper: A Note on Risk Aversion and Herd Behavior in Financial Markets (2006)
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