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catalog abstract "Bruce Jacobs sifts through the history of modern finance, from the efficient market hypothesis to behavioral psychology and chaos theory, to determine the cause of recent market crashes. He finds that some investment strategies, especially those based on theories that ignore the human element, can self-destruct, taking markets down with them. Of particular concern is a trading strategy that grew out of the option pricing model developed by the late Fischer Black and Nobel laureates Myron Scholes and Robert Merton. Used by market professionals, this strategy, known as option replication, requires mechanistic selling as stock prices decline and buying as stock prices rise. When a large enough number of investors engage in this type of trend-following "dynamic hedging," their trading demands can sweep markets along with them, elevating stock prices at some times and causing dramatic price drops at others. Capital Ideas and Market Realities uncovers the hidden risks these products pose for market stability and investor wealth.".
catalog contributor b11225238.
catalog created "1999.".
catalog date "1999".
catalog date "1999.".
catalog dateCopyrighted "1999.".
catalog description "Bruce Jacobs sifts through the history of modern finance, from the efficient market hypothesis to behavioral psychology and chaos theory, to determine the cause of recent market crashes. He finds that some investment strategies, especially those based on theories that ignore the human element, can self-destruct, taking markets down with them.".
catalog description "Includes bibliographical references (p. [349]-271) and indexes.".
catalog description "List of Illustrations -- From Ideas Into Products -- Options and Option Replication -- Options -- How Options Took Off -- Replicating Options -- Real versus Synthetic Options -- A Risk Posed -- Synthetic Portfolio Insurance: The Sell -- Asset Protection -- Enhanced Returns -- Unleashing the Aggressive Investor -- Locking in Gains -- Pension Fund Benefits -- Beyond Equity -- Job Security -- "No Unhappy Surprises" -- A Free Lunch? -- Sacrificing Wealth -- Implementation Pitfalls -- Job Insecurity -- Who Needs It? -- An Alternative: Buy Low and Sell High -- Strategies in Practice -- The Crash of 1987: A Reality Check -- The Fall of a Reigning Paradigm -- An Efficient Crash -- The Fundamental Things -- The Psychic Crash -- Animal Spirits -- Patterns -- Noise -- Overoptimism -- Feedback Trading -- Bubbles, Cascades, and Chaos -- Bubbles -- Informational Cascades -- Chaos -- Futures and Index Arbitrage -- The Futures -- Stock Interface -- The Mixed Evidence -- Arbitrage and the Crash -- A Massive Liquidity Event -- How Dynamic Hedging Moved Markets -- Synthetic Puts and the 1987 Crash: Theory -- A Fad -- An Informational Cascade -- Insurance, Arbitrage, and Liquidity -- Synthetic Puts and the 1987 Crash: Evidence -- Before the Crash -- Black Monday -- Roller Coaster Tuesday -- Brady Commission and SEC Views -- Alibis I: The US Crash -- No Bounce Back -- Insurers Far From Only Sellers -- Investors Would Have Sold Anyway -- Insurance Sales Insufficient -- Insurance Trades Not Correlated with Market Moves.".
catalog description "Of particular concern is a trading strategy that grew out of the option pricing model developed by the late Fischer Black and Nobel laureates Myron Scholes and Robert Merton. Used by market professionals, this strategy, known as option replication, requires mechanistic selling as stock prices decline and buying as stock prices rise. When a large enough number of investors engage in this type of trend-following "dynamic hedging," their trading demands can sweep markets along with them, elevating stock prices at some times and causing dramatic price drops at others. Capital Ideas and Market Realities uncovers the hidden risks these products pose for market stability and investor wealth.".
catalog extent "xx, 399 p. :".
catalog identifier "0631215549 (hbk.)".
catalog identifier "0631215557 (pbk.)".
catalog issued "1999".
catalog issued "1999.".
catalog language "eng".
catalog publisher "Malden, Mass. : Blackwell Publishers,".
catalog subject "Financial crises.".
catalog subject "HG6024.A3 J33 1999".
catalog subject "Hedging (Finance)".
catalog subject "Portfolio insurance".
catalog subject "Stock options.".
catalog tableOfContents "List of Illustrations -- From Ideas Into Products -- Options and Option Replication -- Options -- How Options Took Off -- Replicating Options -- Real versus Synthetic Options -- A Risk Posed -- Synthetic Portfolio Insurance: The Sell -- Asset Protection -- Enhanced Returns -- Unleashing the Aggressive Investor -- Locking in Gains -- Pension Fund Benefits -- Beyond Equity -- Job Security -- "No Unhappy Surprises" -- A Free Lunch? -- Sacrificing Wealth -- Implementation Pitfalls -- Job Insecurity -- Who Needs It? -- An Alternative: Buy Low and Sell High -- Strategies in Practice -- The Crash of 1987: A Reality Check -- The Fall of a Reigning Paradigm -- An Efficient Crash -- The Fundamental Things -- The Psychic Crash -- Animal Spirits -- Patterns -- Noise -- Overoptimism -- Feedback Trading -- Bubbles, Cascades, and Chaos -- Bubbles -- Informational Cascades -- Chaos -- Futures and Index Arbitrage -- The Futures -- Stock Interface -- The Mixed Evidence -- Arbitrage and the Crash -- A Massive Liquidity Event -- How Dynamic Hedging Moved Markets -- Synthetic Puts and the 1987 Crash: Theory -- A Fad -- An Informational Cascade -- Insurance, Arbitrage, and Liquidity -- Synthetic Puts and the 1987 Crash: Evidence -- Before the Crash -- Black Monday -- Roller Coaster Tuesday -- Brady Commission and SEC Views -- Alibis I: The US Crash -- No Bounce Back -- Insurers Far From Only Sellers -- Investors Would Have Sold Anyway -- Insurance Sales Insufficient -- Insurance Trades Not Correlated with Market Moves.".
catalog title "Capital ideas and market realities : option replication, investor behavior, and stock market crashes / Bruce I. Jacobs ; with a foreword by Harry M. Markowitz.".
catalog type "text".