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Citations for "The Limits of Arbitrage"

by Andrei Shleifer ad Robert W. Vishny

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  1. Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
  2. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, Elsevier, vol. 236(1), pages 282-291.
  3. Nguyen, Nhut H. & Truong, Cameron, 2013. "The information content of stock markets around the world: A cultural explanation," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 26(C), pages 1-29.
  4. Kim, Kenneth A. & Nofsinger, John R., 2008. "Behavioral finance in Asia," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(1-2), pages 1-7, January.
  5. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers, Yale School of Management ysm446, Yale School of Management, revised 01 Aug 2006.
  6. Steven Cahan & David Emanuel & Jerry Sun, 2009. "The effect of earnings quality and country-level institutions on the value relevance of earnings," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 33(4), pages 371-391, November.
  7. Liu, Shinhua, 2010. "Transaction costs and market efficiency: Evidence from commission deregulation," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(3), pages 352-360, August.
  8. Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
  9. G. Charles-Cadogan, 2012. "Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM," Papers 1206.4562, arXiv.org.
  10. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series, Vassar College Department of Economics 56, Vassar College Department of Economics.
  11. Suarez, E. Dante, 2005. "Arbitrage opportunities in the depositary receipts market: Myth or reality?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 15(5), pages 469-480, December.
  12. Aggarwal, Raj & Lucey, Brian M., 2007. "Psychological barriers in gold prices?," Review of Financial Economics, Elsevier, Elsevier, vol. 16(2), pages 217-230.
  13. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 244, School of Economics and Finance, Queensland University of Technology.
  14. Bask, Mikael, 2009. "Monetary Policy, Stock Price Misalignments and Macroeconomic Instability," Working Papers, Hanken School of Economics 540, Hanken School of Economics.
  15. Duan, Ying & Hu, Gang & McLean, R. David, 2010. "Costly arbitrage and idiosyncratic risk: Evidence from short sellers," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(4), pages 564-579, October.
  16. Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, Elsevier, vol. 52(1), pages 55-76, January.
  17. Randall Morck & Bernard Yeung & Wayne Yu, 1999. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1879, Harvard - Institute of Economic Research.
  18. Cars Hommes, 2006. "Interacting Agents in Finance," Tinbergen Institute Discussion Papers 06-029/1, Tinbergen Institute.
  19. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(7), pages 1930-1952.
  20. Babatunde Buraimo & David Peel & Rob Simmons, 2013. "Systematic Positive Expected Returns in the UK Fixed Odds Betting Market: An Analysis of the Fink Tank Predictions," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(4), pages 168-182, December.
  21. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee 2013-1, Nobel Prize Committee.
  22. Sonnemans, Joep & Tuinstra, Jan, 2010. "Positive expectations feedback experiments and number guessing games as models of financial markets," Journal of Economic Psychology, Elsevier, Elsevier, vol. 31(6), pages 964-984, December.
  23. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, Elsevier, vol. 68(2), pages 161-199, May.
  24. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(1), pages 47-80.
  25. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2011. "A model of shadow banking," Economics Working Papers 1283, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2012.
  26. Brockman, Paul & Yan, Xuemin (Sterling), 2009. "Block ownership and firm-specific information," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(2), pages 308-316, February.
  27. Paul Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper, Federal Reserve Bank of Boston 06-4, Federal Reserve Bank of Boston.
  28. Barber, Brad M. & Lehavy, Reuven & McNichols, Maureen & Trueman, Brett, 2006. "Buys, holds, and sells: The distribution of investment banks' stock ratings and the implications for the profitability of analysts' recommendations," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 41(1-2), pages 87-117, April.
  29. Michiel Bijlsma & Andrei Dubovik & Gijsbert Zwart, 2012. "Inside Liquidity in Competitive Markets," CPB Discussion Paper 209, CPB Netherlands Bureau for Economic Policy Analysis.
  30. Hauser, Florian & Huber, Jürgen, 2012. "Short-selling constraints as cause for price distortions: An experimental study," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(5), pages 1279-1298.
  31. Ross M. Miller, 2002. "Can Markets Learn to Avoid Bubbles?," Experimental, EconWPA 0201001, EconWPA, revised 07 Jan 2002.
  32. Fernando A. Broner & R. Gaston Gelos & Carmen M. Reinhart, 2005. "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," Working Papers 207, Barcelona Graduate School of Economics.
  33. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(3), pages 660-684.
  34. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012. "The short of it: Investor sentiment and anomalies," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(2), pages 288-302.
  35. Andrei Shleifer & Robert W. Vishny, 2009. "Unstable Banking," NBER Working Papers 14943, National Bureau of Economic Research, Inc.
  36. Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc.
  37. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 217-240.
  38. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South Sea Bubble," American Economic Review, American Economic Association, American Economic Association, vol. 94(5), pages 1654-1668, December.
  39. Pavel Bandarchuk & Jens Hilscher, 2013. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, European Finance Association, vol. 17(2), pages 809-845.
  40. Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2008. "Information Salience, Investor Sentiment, and Stock Returns: The Case of British Soccer Betting," Discussion Paper, Tilburg University, Center for Economic Research 2008-99, Tilburg University, Center for Economic Research.
  41. Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5527, C.E.P.R. Discussion Papers.
  42. Peter Kondor, 2004. "Rational trader risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24646, London School of Economics and Political Science, LSE Library.
  43. Jaewon Choi & Or Shachar, 2013. "Did liquidity providers become liquidity seekers?," Staff Reports, Federal Reserve Bank of New York 650, Federal Reserve Bank of New York.
  44. Ren� M. Stulz, 2007. "Hedge Funds: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 21(2), pages 175-194, Spring.
  45. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
  46. Abbigail Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers, Federal Reserve Bank of St. Louis 2003-009, Federal Reserve Bank of St. Louis.
  47. Arvind Krishnamurthy & Zhiguo He, 2009. "A Model of Capital and Crises," 2009 Meeting Papers, Society for Economic Dynamics 85, Society for Economic Dynamics.
  48. Art Durnev & Kan Li & Randall Mørck & Bernard Yeung, 2004. "Capital markets and capital allocation: Implications for economies in transition," The Economics of Transition, The European Bank for Reconstruction and Development, The European Bank for Reconstruction and Development, vol. 12(4), pages 593-634, December.
  49. Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," FMG Discussion Papers, Financial Markets Group dp621, Financial Markets Group.
  50. Marien Coupaud, 2013. "Contagion des crises de 1997 et 2008 en ASEAN+3 : un modèle VAR structurel," Larefi Working Papers, Larefi, Université Bordeaux 4 1306, Larefi, Université Bordeaux 4.
  51. Adrian, Tobias & Etula, Erkko & Groen, Jan J.J., 2011. "Financial amplification of foreign exchange risk premia," European Economic Review, Elsevier, Elsevier, vol. 55(3), pages 354-370, April.
  52. Schmeling, Maik, 2009. "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(3), pages 394-408, June.
  53. Owen Lamont & Christopher Polk, 1999. "The Diversification Discount: Cash Flows vs. Returns," NBER Working Papers 7396, National Bureau of Economic Research, Inc.
  54. M. Vittoria Levati & Jianying Qiu & Prashanth Mahagaonkar, 2011. "Testing the Modigliani-Miller theorem directly in the lab," Jena Economic Research Papers 2011-021, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  55. Egon Franck & Erwin Verbeek & Stephan Nuesch, 2009. "Inter-market Arbitrage in Sports Betting," NCER Working Paper Series, National Centre for Econometric Research 48, National Centre for Econometric Research.
  56. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers, Federal Reserve Bank of St. Louis 2004-029, Federal Reserve Bank of St. Louis.
  57. Lerner, Joshua & Schoar, Antoinette, 2003. "The Illiquidity Puzzle: Theory and Evidence from Private Equity," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 4378-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  58. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series, Institute for Financial Research 42, Institute for Financial Research.
  59. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012. "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2660-2671.
  60. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(2), pages 441-465.
  61. Richard Chung & Scott Fung & James Shilling & Tammie Simmons-Mosley, 2011. "What Determines Stock Price Synchronicity in REITs?," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 43(1), pages 73-98, July.
  62. Fung, William & Hsieh, David A., 2011. "The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(4), pages 547-569, September.
  63. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  64. Joachim Grammig & Michael Melvin & Christian Schlag, 2005. "Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects," Working Paper Series: Finance and Accounting 78, Department of Finance, Goethe University Frankfurt am Main.
  65. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series, European Central Bank 1008, European Central Bank.
  66. Maydew, Edward L., 2001. "Empirical tax research in accounting: A discussion," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 31(1-3), pages 389-403, September.
  67. Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series, The University of Melbourne 1117, The University of Melbourne.
  68. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2012. "Costs and Benefits of Speculation," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2012/12, Department of Business and Management Science, Norwegian School of Economics.
  69. John Fernald & John H. Rogers, 1998. "Puzzles in the Chinese stock market," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 619, Board of Governors of the Federal Reserve System (U.S.).
  70. Rajaa Mtanios & Mathieu Paquerot, 1999. "Structure de propriété et sous-performance des firmes:une étude empirique sur le marché au comptant, le règlement mensuel et le second marché," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations 0991202, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
  71. John Kambhu, 2006. "Trading risk, market liquidity, and convergence trading in the interest rate swap spread," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 1-13.
  72. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, Springer, vol. 14(2), pages 117-135, July.
  73. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 13-98, Wharton School Rodney L. White Center for Financial Research.
  74. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(1), pages 127-160, February.
  75. Edward L. Glaeser & Joseph Gyourko, 2007. "Arbitrage in Housing Markets," NBER Working Papers 13704, National Bureau of Economic Research, Inc.
  76. Utku Uygur & Oktay Taş, 2014. "The impacts of investor sentiment on returns and conditional volatility of international stock markets," Quality & Quantity: International Journal of Methodology, Springer, Springer, vol. 48(3), pages 1165-1179, May.
  77. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2175-2184, December.
  78. Korkut A. ErtŸrk, 2005. "Macroeconomics of Speculation," Economics Working Paper Archive wp_424, Levy Economics Institute.
  79. Joseph T.L. Ooi & James R. Webb & Dingding Zhou, 2007. "Extrapolation Theory and the Pricing of REIT Stocks," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 29(1), pages 27-56.
  80. Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010. "On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates," Discussion Paper Series 1: Economic Studies 2010,08, Deutsche Bundesbank, Research Centre.
  81. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  82. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(5), pages 313-322, December.
  83. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(2), pages 300-323.
  84. Cornelli, Francesca & Li, David Daokui, 1998. "Risk Arbitrage in Takeovers," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2026, C.E.P.R. Discussion Papers.
  85. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1923, C.E.P.R. Discussion Papers.
  86. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(5), pages 1258-1276.
  87. Jeremy C. Stein, 2005. "Why are most Funds Open-end? Competition and the Limits of Arbitrage," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 120(1), pages 247-272, January.
  88. Eli Ofek & Matthew Richardson, 2001. "DotCom Mania: The Rise and Fall of Internet Stock Prices," NBER Working Papers 8630, National Bureau of Economic Research, Inc.
  89. Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2012. "Neglected Risks, Financial Innovation, and Financial Fragility," Scholarly Articles 10886835, Harvard University Department of Economics.
  90. Guo, Ming & Li, Zhan & Tu, Zhiyong, 2012. "A unique “T+1 trading rule” in China: Theory and evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(2), pages 575-583.
  91. Hyun Song Shin, 2009. "Reflections on Northern Rock: The Bank Run That Heralded the Global Financial Crisis," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 23(1), pages 101-19, Winter.
  92. Ernst Fehr & Jean-Robert Tyran, 2005. "Individual Irrationality and Aggregate Outcomes," Discussion Papers 05-09, University of Copenhagen. Department of Economics.
  93. Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 82-112.
  94. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(2), pages 272-287.
  95. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005. "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 120(2), pages 639-668, May.
  96. Lof, Matthijs, 2010. "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper 30520, University Library of Munich, Germany.
  97. Josh Lerner & Antoinette Schoar & Wan Wong, 2005. "Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle," NBER Working Papers 11136, National Bureau of Economic Research, Inc.
  98. Owen A. Lamont & Richard H. Thaler, 2003. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(2), pages 227-268, April.
  99. Zhiguo He & Wei Xiong, 2008. "Delegated Asset Management, Investment Mandates, and Capital Immobility," NBER Working Papers 14574, National Bureau of Economic Research, Inc.
  100. Dragos Stefan Oprea, 2014. "Does Investor Sentiment Matter in Post-Communist East European Stock Markets?," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Scien, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(8), pages 356-366, August.
  101. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, Elsevier, vol. 42(C), pages 166-178.
  102. Chi, Jianxin (Daniel) & Gupta, Manu, 2009. "Overvaluation and earnings management," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(9), pages 1652-1663, September.
  103. Anokhin, Sergey & Wincent, Joakim, 2014. "Technological arbitrage opportunities and interindustry differences in entry rates," Journal of Business Venturing, Elsevier, vol. 29(3), pages 437-452.
  104. Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne, 2012. "To buy or not to buy? The value of contradictory analyst signals," Cologne Graduate School Working Paper Series, Cologne Graduate School in Management, Economics and Social Sciences 03-03, Cologne Graduate School in Management, Economics and Social Sciences.
  105. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010. "Does monetary policy affect bank risk-taking?," BIS Working Papers 298, Bank for International Settlements.
  106. Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2004. "Overconfidence and market efficiency with heterogeneous agents," Economics Working Papers 786, Department of Economics and Business, Universitat Pompeu Fabra.
  107. Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," Working Papers id:248, eSocialSciences.
  108. Kang, Jangkoo & Park, Hyoung-Jin, 2006. "Tests of alternate models for the pricing of Korean Treasury bond futures contracts," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 14(4), pages 410-425, September.
  109. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
  110. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(2), pages 286-327.
  111. Kwame Addae-Dapaah & James Webb & Kim Ho & Yan Tan, 2010. "Industrial Real Estate Investment: Does the Contrarian Strategy Work?," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 41(2), pages 193-227, August.
  112. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 31(1-3), pages 105-231, September.
  113. Veronica Guerrieri & Peter Kondor, 2012. "Fund Managers, Career Concerns, and Asset Price Volatility," American Economic Review, American Economic Association, American Economic Association, vol. 102(5), pages 1986-2017, August.
  114. Simon Gilchrist & Charles P. Himmelberg & Gur Huberman, 2004. "Do stock price bubbles influence corporate investment?," Staff Reports, Federal Reserve Bank of New York 177, Federal Reserve Bank of New York.
  115. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 49-76.
  116. Johnson Simon, 2002. "Coase and the Reform of Securities Markets," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 1-19.
  117. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  118. Liu, Xuewen & Mello, Antonio S., 2011. "The fragile capital structure of hedge funds and the limits to arbitrage," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(3), pages 491-506.
  119. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(8), pages 2123-2136, August.
  120. Mashruwala, Christina & Rajgopal, Shivaram & Shevlin, Terry, 2006. "Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 42(1-2), pages 3-33, October.
  121. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(3), pages 301-331.
  122. Oechssler, Jörg & Roider, Andreas & Schmitz, Patrick W., 2008. "Cognitive Abilities and Behavioral Biases," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim 08-05, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  123. Massa, Massimo & Peyer, Urs & Tong, Zhenxu, 2005. "Limits of Arbitrage and Corporate Financial Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4829, C.E.P.R. Discussion Papers.
  124. Dongmin Kong & Tusheng Xiao & Shasha Liu, 2010. "Asymmetric information, firm investment and stock prices," China Finance Review International, Emerald Group Publishing, Emerald Group Publishing, vol. 1(1), pages 6-33, December.
  125. repec:dgr:uvatin:2008076 is not listed on IDEAS
  126. Olivier Blanchard, 2000. "What do we know about Macroeconomics that Fisher and Wicksell did not?," NBER Working Papers 7550, National Bureau of Economic Research, Inc.
  127. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 271-306.
  128. Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5420, C.E.P.R. Discussion Papers.
  129. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 23(1), pages 77-100, Winter.
  130. Wu, Congsheng & Kwok, Chuck C.Y., 2007. "Long-run performance of global versus domestic initial public offerings," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(3), pages 609-627, March.
  131. Peterson, David R. & Smedema, Adam R., 2011. "The return impact of realized and expected idiosyncratic volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2547-2558, October.
  132. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  133. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  134. Grullon, Gustavo & Albert Wang, F., 2001. "Closed-End Fund Discounts with Informed Ownership Differential," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 10(2), pages 171-205, April.
  135. Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3049, C.E.P.R. Discussion Papers.
  136. Goetz von Peter, 2003. "A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises," Macroeconomics, EconWPA 0312006, EconWPA.
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