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Citations for "Asset Pricing with Liquidity Risk"

by Viral V. Acharya & Lasse Heje Pedersen

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  1. Bacchetta, Philippe & Tille, Cédric & Wincoop, Eric, 2011. "Self-Fulfilling Risk Panics," Working Papers, Banco Central de Reserva del Perú 2011-003, Banco Central de Reserva del Perú.
  2. Hagemeister, Meike & Kempf, Alexander, 2007. "CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) 07-01, University of Cologne, Centre for Financial Research (CFR).
  3. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  4. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt8gn7h03k, Anderson Graduate School of Management, UCLA.
  5. Campbell, John Y. & Ramadorai, Tarun & Schwartz, Allie, 2009. "Caught on tape: Institutional trading, stock returns, and earnings announcements," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(1), pages 66-91, April.
  6. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, Elsevier, vol. 13(1), pages 8-25.
  7. M. Frömmel & X. Han & F. Van Gysegem, 2013. "News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 13/848, Ghent University, Faculty of Economics and Business Administration.
  8. Cao, Charles & Simin, Timothy T. & Wang, Ying, 2013. "Do mutual fund managers time market liquidity?," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(2), pages 279-307.
  9. Sadka, Ronnie, 2010. "Liquidity risk and the cross-section of hedge-fund returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(1), pages 54-71, October.
  10. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, Econjournals, vol. 4(1), pages 40-53.
  11. Luboš Pástor & Robert F. Stambaugh, . "Liquidity Risk and Expected Stock Returns," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  12. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 42(3), pages 415-448, April.
  13. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2010. "When Market Illiquidity Generates Volumes," Working Papers, HAL halshs-00536046, HAL.
  14. Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013. "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Working Papers, Lund University, Department of Economics 2013:10, Lund University, Department of Economics, revised 11 Jun 2013.
  15. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011. "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 628-650, March.
  16. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2013. "Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2013-58, Scottish Institute for Research in Economics (SIRE).
  17. Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7436, C.E.P.R. Discussion Papers.
  18. Szafarz, Ariane, 2012. "Financial crises in efficient markets: How fundamentalists fuel volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 105-111.
  19. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 1175-1190.
  20. repec:dgr:uvatin:2008042 is not listed on IDEAS
  21. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  22. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(2), pages 175-187.
  23. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(3), pages 418-437, July.
  24. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2284-2302.
  25. Giovanni Cespa & Xavier Vives, 2011. "Higher Order Expectations, Illiquidity, and Short-term Trading," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 276, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  26. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  27. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, American Finance Association, vol. 60(5), pages 2213-2253, October.
  28. Brunnermeier, Markus K & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4639, C.E.P.R. Discussion Papers.
  29. Wittenberg-Moerman, Regina, 2008. "The role of information asymmetry and financial reporting quality in debt trading: Evidence from the secondary loan market," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 46(2-3), pages 240-260, December.
  30. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(2), pages 493-516.
  31. Arvind Krishnamurhty & Zhiguo He, 2010. "Intermediary Asset Pricing," 2010 Meeting Papers, Society for Economic Dynamics 1327, Society for Economic Dynamics.
  32. Marcelo, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2006. "The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(2), pages 254-267, May.
  33. Rubin, Amir, 2007. "Ownership level, ownership concentration and liquidity," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(3), pages 219-248, August.
  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. David McLean, R., 2011. "Share issuance and cash savings," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 693-715, March.
  36. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2473-2493.
  37. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," FMG Discussion Papers, Financial Markets Group dp639, Financial Markets Group.
  38. Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, Elsevier, vol. 66(4), pages 320-348.
  39. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Endogenous liquidity and contagion," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 29300, London School of Economics and Political Science, LSE Library.
  40. Idier, Julien & Avouyi-Dovi, Sanvi, 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/11156, Paris Dauphine University.
  41. Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican, 2013. "Central Clearing and Asset Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-181/IV/DSF67, Tinbergen Institute.
  42. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(1), pages 24-44, April.
  43. Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  44. Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers 19931, National Bureau of Economic Research, Inc.
  45. Hammami, Yacine & Lindahl, Anna, 2013. "Estimating and testing beta pricing models on industries," Journal of Economics and Business, Elsevier, Elsevier, vol. 69(C), pages 45-63.
  46. Félix, Luiz & Kräussl, Roman & Stork, Philip, 2013. "The 2011 European short sale ban on financial stocks: A cure or a curse?," CFS Working Paper Series, Center for Financial Studies (CFS) 2013/17, Center for Financial Studies (CFS).
  47. Gianni De Nicoló & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers, International Monetary Fund 09/52, International Monetary Fund.
  48. Angel, James J. & Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2004. "From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2004-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  49. Ana González & Gonzalo Rubio, 2007. "Portfolio choice and the effects of liquidity," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1035, Department of Economics and Business, Universitat Pompeu Fabra.
  50. Eleonora Iachini & Stefano Nobili, 2014. "An indicator of systemic liquidity risk in the Italian financial markets," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 217, Bank of Italy, Economic Research and International Relations Area.
  51. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
  52. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, Elsevier, vol. 20(4), pages 215-224, August.
  53. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005. "The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt6z81z2wc, Anderson Graduate School of Management, UCLA.
  54. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, Econjournals, vol. 2(2), pages 141-178.
  55. Paresh Kumar Narayan & Xinwei Zheng, 2011. "Asymmetric information and market collapse: Evidence from the Chinese Market," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2011_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  56. Langnan Chen & Steven Li & Jinan Wang, 2011. "Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market," Asia-Pacific Financial Markets, Springer, Springer, vol. 18(4), pages 405-427, November.
  57. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(3), pages 523-541.
  58. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Nieto, Belén, 2003. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  59. Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2014. "Option pricing with stochastic liquidity risk: Theory and evidence," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 77-95.
  60. Autore, Don M. & Kovacs, Tunde, 2014. "Investor recognition and seasoned equity offers," Journal of Corporate Finance, Elsevier, Elsevier, vol. 25(C), pages 216-233.
  61. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 249-268, February.
  62. Rudolf F. Klein & K. Victor Chow, 2010. "Orthogonalized Equity Risk Premia and Systematic Risk Decomposition," Working Papers, Department of Economics, West Virginia University 10-05, Department of Economics, West Virginia University.
  63. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(2), pages 358-386.
  64. Duffie, Darrell & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5491, C.E.P.R. Discussion Papers.
  65. Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 343-356.
  66. Eraker, Bjørn, 2008. "A Bayesian view of temporary components in asset prices," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(3), pages 503-517, June.
  67. Gan-Ochir Doojav & Borkhuu Gotovsuren & Tsenddorj Dorjpurev, 2012. "Financial Contagion and Volatile Capital Flows," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ56, June.
  68. Nauta, Bert-Jan, 2013. "Discounting Cashflows from Illiquid Assets on Bank Balance Sheets," MPRA Paper 54781, University Library of Munich, Germany, revised 22 Oct 2013.
  69. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
  70. Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2008. "The risk components of liquidity," Working Paper, Norges Bank 2008/03, Norges Bank.
  71. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers, Banque de France 352, Banque de France.
  72. Pozzi, Lorenzo & Wolswijk, Guido, 2012. "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, Elsevier, vol. 56(1), pages 36-53.
  73. Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2007. "Fire Sales, Foreign Entry and Bank Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6309, C.E.P.R. Discussion Papers.
  74. 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.
  75. 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.
  76. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series, Center for Financial Studies (CFS) 2008/52, Center for Financial Studies (CFS).
  77. Ruenzi, Stefan & Weigert, Florian, 2011. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance, University of St. Gallen, School of Finance 1324, University of St. Gallen, School of Finance, revised Mar 2013.
  78. Mohamed Arouri & Amal Aouadi & Philippe Foulquier & Frédéric Teulon, 2013. "Can Information Demand Help to Predict Stock Market Liquidity ? Google it !," Working Papers, Department of Research, Ipag Business School 2013-024, Department of Research, Ipag Business School.
  79. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004. "Privatization and Stock Market Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4449, C.E.P.R. Discussion Papers.
  80. Alquist, Ron, 2010. "How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange," Journal of International Economics, Elsevier, Elsevier, vol. 82(2), pages 219-229, November.
  81. Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers, Banque de France 373, Banque de France.
  82. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  83. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3335-3350.
  84. Nyborg, Kjell G. & Östberg, Per, 2014. "Money and liquidity in financial markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 112(1), pages 30-52.
  85. Ding, Liang & Pu, Xiaoling, 2012. "Market linkage and information spillover: Evidence from pre-crisis, crisis, and recovery periods," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(2), pages 145-159.
  86. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 45(04), pages 1077-1110, August.
  87. Chesney, Marc & Kempf, Alexander, 2011. "The value of tradeability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) 10-11 [rev.], University of Cologne, Centre for Financial Research (CFR).
  88. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating liquidity using information on the multivariate trading process," Working Papers, Department of Applied Econometrics, Warsaw School of Economics 10, Department of Applied Econometrics, Warsaw School of Economics.
  89. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T., 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5946, C.E.P.R. Discussion Papers.
  90. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007. "How Does Liquidity Affect Government Bond Yields?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 323, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  91. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(2), pages 153-181, May.
  92. Weill, Pierre-Olivier, 2008. "Liquidity premia in dynamic bargaining markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 140(1), pages 66-96, May.
  93. Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers, Federal Reserve Bank of St. Louis 2003-028, Federal Reserve Bank of St. Louis.
  94. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(6), pages 947-960, June.
  95. Paresh Kumar Narayan & Zhichao Zhang & Xinwei Zheng, 2010. "Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market," Economics Series 2010_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  96. Qin Lei & Xuewu Wang, 2012. "Flight to liquidity due to heterogeneity in investment horizon," China Finance Review International, Emerald Group Publishing, Emerald Group Publishing, vol. 2(2), pages 316-350, August.
  97. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers, IESE Business School D/749, IESE Business School.
  98. Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 3(1), pages 91-109.
  99. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, Elsevier, vol. 163(1), pages 42-50, July.
  100. Ana González & Gonzalo Rubio, 2011. "Portfolio choice and the effects of liquidity," SERIEs, Spanish Economic Association, Spanish Economic Association, vol. 2(1), pages 53-74, March.
  101. Bank for International Settlements, 2008. "Why is there so little regional financial integration in Asia?," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 38-61 Bank for International Settlements.
  102. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, Elsevier, vol. 32(C), pages 129-155.
  103. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance, University of Stavanger 2011/2, University of Stavanger.
  104. Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance, University of St. Gallen, School of Finance 1315, University of St. Gallen, School of Finance.
  105. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2011. "A Model of Shadow Banking," NBER Working Papers 17115, National Bureau of Economic Research, Inc.
  106. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(2), pages 175-194, May.
  107. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
  108. Hyun Song Shin, 2006. "Risk and liquidity in a system context," BIS Working Papers 212, Bank for International Settlements.
  109. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers, Hong Kong Institute for Monetary Research 022010, Hong Kong Institute for Monetary Research.
  110. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 5511-5525.
  111. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series, Center for Financial Studies (CFS) 2010/20, Center for Financial Studies (CFS).
  112. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series, European Central Bank 1008, European Central Bank.
  113. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
  114. Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 65-93.
  115. repec:ipg:wpaper:24 is not listed on IDEAS
  116. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
  117. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3334-3350.
  118. Acharya, Viral & Song Shin, Hyun & Yorulmazer, Tanju, 2009. "Endogenous choice of bank liquidity: the role of fire sales," Bank of England working papers, Bank of England 376, Bank of England.
  119. Huang, Ying Sophie & Wang, Yizhong, 2013. "Asset price, risk transfer and economic activities: Firm-level evidence from China," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 663-676.
  120. Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007. "Slow Moving Capital," NBER Working Papers 12877, National Bureau of Economic Research, Inc.
  121. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports, Federal Reserve Bank of New York 252, Federal Reserve Bank of New York.
  122. Sauer, Stephan, 2007. "Three Liquidity Crises in Retrospective: Implications for Central Banking Today," Discussion Papers in Economics, University of Munich, Department of Economics 2011, University of Munich, Department of Economics.
  123. Celso Brunetti & Alessio Caldarera, 2006. "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006, Society for Computational Economics 331, Society for Computational Economics.
  124. Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper Series, The Rimini Centre for Economic Analysis 65_12, The Rimini Centre for Economic Analysis.
  125. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 80(2), pages 309-349, May.
  126. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(2), pages 267-291.
  127. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 11/714, Ghent University, Faculty of Economics and Business Administration.
  128. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, Springer, vol. 101(1), pages 127-141, June.
  129. Jürgen Antony & Michiel Bijlsma & Adam Elbourne & Marcel Lever & Gijsbert Zwart, 2012. "Financial transaction tax: review and assessment," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis 202, CPB Netherlands Bureau for Economic Policy Analysis.
  130. Beber, Alessandro & Driessen, Joost & Tuijp, Patrick, 2011. "Pricing Liquidity Risk with Heterogeneous Investment Horizons," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8710, C.E.P.R. Discussion Papers.
  131. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
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