A Note on Risk Aversion and Herd Behavior in Financial Markets

Stefano Lovo and Jean-Paul Décamps

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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.

Keywords: Risk; Risk Aversion; Herd Behavior; Financial Markets (search for similar items in EconPapers)
Date: 2006-07
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Citations: View citations in EconPapers (6)

Published in Geneva Papers on Risk and Insurance Theory, 2006, 31 (1), pp.1. ⟨10.1007/s10713-006-9466-x⟩

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Journal Article: A note on risk aversion and herd behavior in financial markets (2006)
Journal Article: A note on risk aversion and herd behavior in financial markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00119563

DOI: 10.1007/s10713-006-9466-x

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