Liquidity and Financial Market Runs

Antonio Bernardo and Ivo Welch

Yale School of Management Working Papers from Yale School of Management

Abstract: We model a run on a financial market, in which each risk-neutral investor fears having to liquidate shares after a run, but before prices can recover back to fundamental values. To avoid having to possibly liquidate shares at the marginal post-run price - in which case the risk-averse market-making sector wi

Date: 2006-07-01, Revised 2003-08-01
New Economics Papers: this item is included in nep-fmk
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Related works:
Journal Article: Liquidity and Financial Market Runs (2004)
Working Paper: Liquidity and Financial Market Runs (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm280

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