Liquidity and Financial Market Runs

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  • 1 January 2006
    • preprint
      • Published in RePEc
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

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