English, Article, Journal or magazine article edition: Risk aversion and herd behavior in financial markets DÉCAMPS, Jean-Paul; LOVO, Stefano; DECAMPS, Jean-Paul

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Bookmark: http://trove.nla.gov.au/version/22837
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk aversion and herd behavior in financial markets
Author
  • DÉCAMPS, Jean-Paul
  • LOVO, Stefano
  • DECAMPS, Jean-Paul
Physical Description
  • preprint
Notes
  • RePEc:ide:wpaper:627
  • We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that financial market prices do not converge to the asset's fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. These results are obtained without introducing multidimensional uncertainty.
  • herd behavior; stock markets; efficiency
  • RePEc:ebg:heccah:0758
Language
  • English
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