Citations for "Slow Moving Capital"
by Mitchell, Mark & Pedersen, Lasse Heje & Pulvino, Todd
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- Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004.
"Risk and return in convertible arbitrage: Evidence from the convertible bond market,"
CFR Working Papers
04-03, University of Cologne, Centre for Financial Research (CFR).
- Acharya, Viral V. & Shin, Hyun Song & Yorulmazer, Tanju, 2009.
"A Theory of Slow-Moving Capital and Contagion,"
CEPR Discussion Papers
7147, C.E.P.R. Discussion Papers.
- Lasse Heje Pedersen, 2009.
"When Everyone Runs for the Exit,"
NBER Working Papers
15297, National Bureau of Economic Research, Inc.
- Zhiguo He & Arvind Krishnamurthy, 2008.
"Intermediary Asset Pricing,"
NBER Working Papers
14517, National Bureau of Economic Research, Inc.
- Aikman, David & Alessandri, Piergiorgio & Eklund, Bruno & Gai, Prasanna & Kapadia, Sujit & Martin, Elizabeth & Mora, Nada & Sterne, Gabriel & Willison, Matthew, 2009.
"Funding liquidity risk in a quantitative model of systemic stability,"
Bank of England working papers
372, Bank of England.
- David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia, & Elizabeth Martin, & Nada Mora & Gabriel Sterne & Matthew Willison, 2011.
"Funding Liquidity Risk in a Quantitative Model of Systemic Stability,"
Central Banking, Analysis, and Economic Policies Book Series,
in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410
Central Bank of Chile.
- Zhiguo He & Arvind Krishnamurthy, 2008.
"A Model of Capital and Crises,"
NBER Working Papers
14366, National Bureau of Economic Research, Inc.
- Amir E. Khandani & Andrew W. Lo, 2008.
"What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data,"
NBER Working Papers
14465, National Bureau of Economic Research, Inc.
- JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011.
"Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year,"
FMG Discussion Papers
dp671, Financial Markets Group.
- de Jong, Abe & Dutordoir, Marie & Verwijmeren, Patrick, 2011.
"Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation,"
Journal of Financial Economics,
Elsevier, vol. 100(1), pages 113-129, April.
- Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2011.
"Risk and return in convertible arbitrage: Evidence from the convertible bond market,"
Journal of Empirical Finance,
Elsevier, vol. 18(2), pages 175-194, March.
- Markus K. Brunnermeier, 2008.
"Deciphering the Liquidity and Credit Crunch 2007-08,"
NBER Working Papers
14612, National Bureau of Economic Research, Inc.
- Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011.
"Regulatory pressure and fire sales in the corporate bond market,"
Journal of Financial Economics,
Elsevier, vol. 101(3), pages 596-620, September.
- Darrell Duffie & Bruno Strulovici, 2012.
"Capital Mobility and Asset Pricing,"
Econometrica,
Econometric Society, vol. 80(6), pages 2469-2509, November.
- Darrell Duffie & Bruno Strulovici, 2009.
"Capital Mobility and Asset Pricing,"
Discussion Papers
1478, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Bruno Strulovici & Darrell Duffie, 2009.
"Capital Mobility and Asset Pricing,"
2009 Meeting Papers
87, Society for Economic Dynamics.
- Darrell Duffie & Bruno Strulovici, 2011.
"Capital Mobility and Asset Pricing,"
NBER Working Papers
17296, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier, 2009.
"Deciphering the Liquidity and Credit Crunch 2007-2008,"
Journal of Economic Perspectives,
American Economic Association, vol. 23(1), pages 77-100, Winter.
- Santa-Clara, Pedro & Saretto, Alessio, 2009.
"Option strategies: Good deals and margin calls,"
Journal of Financial Markets,
Elsevier, vol. 12(3), pages 391-417, August.
- Gârleanu, Nicolae, 2009.
"Portfolio choice and pricing in illiquid markets,"
Journal of Economic Theory,
Elsevier, vol. 144(2), pages 532-564, March.
- Kessler, Stephan & Scherer, Bernd, 2011.
"Hedge fund return sensitivity to global liquidity,"
Journal of Financial Markets,
Elsevier, vol. 14(2), pages 301-322, May.
- Teo, Melvyn, 2011.
"The liquidity risk of liquid hedge funds,"
Journal of Financial Economics,
Elsevier, vol. 100(1), pages 24-44, April.
- Cristina Cella & Andrew Ellul & Mariassunta Giannetti, .
"Investors’ Horizons and the Amplification of Market Shocks,"
FMG Discussion Papers
dp717, Financial Markets Group.
- Jennifer Huang & Jiang Wang, 2008.
"Liquidity and Market Crashes,"
NBER Working Papers
14013, National Bureau of Economic Research, Inc.
- Shakill Hassan & Sean Smith, 2011.
"The Rand as a Carry Trade Target: Risk, Returns and Policy Implications,"
Working Papers
235, Economic Research Southern Africa.
- Greenwood, Robin & Thesmar, David, 2011.
"Stock price fragility,"
Journal of Financial Economics,
Elsevier, vol. 102(3), pages 471-490.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 3(2), pages 75-103, April.
- Jennifer Huang & Jiang Wang, 2008.
"Market Liquidity, Asset Prices and Welfare,"
NBER Working Papers
14058, National Bureau of Economic Research, Inc.
- Salm, Christian A. & Schuppli, Michael, 2010.
"Positive feedback trading in stock index futures: International evidence,"
International Review of Financial Analysis,
Elsevier, vol. 19(5), pages 313-322, December.
- Miguel Anton, & Christopher Polk, 2010.
"Connected Stocks,"
FMG Discussion Papers
dp651, Financial Markets Group.
- Huang, Jennifer & Wang, Jiang, 2010.
"Market liquidity, asset prices, and welfare,"
Journal of Financial Economics,
Elsevier, vol. 95(1), pages 107-127, January.
- Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009.
"Convertible bond arbitrage, liquidity externalities, and stock prices,"
Journal of Financial Economics,
Elsevier, vol. 91(2), pages 227-251, February.
- Zhiguo He & Wei Xiong, 2008.
"Delegated Asset Management, Investment Mandates, and Capital Immobility,"
NBER Working Papers
14574, National Bureau of Economic Research, Inc.
- Charles Cao & Lubomir Petrasek, 2011.
"Liquidity risk and hedge fund ownership,"
Finance and Economics Discussion Series
2011-49, Board of Governors of the Federal Reserve System (U.S.).
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008.
"Carry Trades and Currency Crashes,"
NBER Working Papers
14473, National Bureau of Economic Research, Inc.
- Michael King & Carol Osler & Dagfinn Rime, 2012.
"The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward,"
Working Papers
54, Brandeis University, Department of Economics and International Businesss School.
- Erik Schlogl & Yang Chang, 2012.
"Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets,"
Research Paper Series
310, Quantitative Finance Research Centre, University of Technology, Sydney.
