Year
1997
Authors
CHARLETY-LEPERS Patricia, PORTAIT Roland
Abstract
Using a simple model with two groups of agents, risk-averse mean-variance and stop-loss investors, we find that active selling by the latter causes price instability and may cause crashes , moreover, even in the absence of active trading on their part, their presence increases the volatility and decreases the equilibrium price in the periods preceding their possible activity.
CHARLETY-LEPERS, P. et PORTAIT, R. (1997). Stop-loss Strategies, Market Volatility and Crashes. Dans: 14e Conference Internationale de Finance. Association Française de Finance (AFFI), pp. 1-25.