Differences of Opinion, Short-Sales Constraints, and Market Crashes
基于投资者意见分歧和卖空限制，提出市场崩盘理论：看空者因卖空限制不参与交易，其隐藏信息在市场下跌时暴露，导致崩盘；模型还预测高交易量时收益率更负偏斜。
We develop a theory of market crashes based on differences of opinion among investors. Because of short-sales constraints, bearish investors do not initially participate in the market and their information is not revealed in prices. However, if other previously bullish investors bail out of the market, the originally bearish group may become the marginal "support buyers, " and more will be learned about their signals. Thus accumulated hidden information comes out during market declines. The model explains a variety of stylized facts about crashes and also makes a distinctive new prediction--that returns will be more negatively skewed conditional on high trading volume. Copyright 2003, Oxford University Press.