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Citations for "Asset Fire Sales (and Purchases) in Equity Markets"

by Joshua D. Coval & Erik Stafford

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  1. Eduardo Levy Yeyati & Sergio L. Schmukler & Neeltje Van Horen, 2008. "Emerging Market Liquidity and Crises," Journal of the European Economic Association, MIT Press, MIT Press, vol. 6(2-3), pages 668-682, 04-05.
  2. Darrell Duffie & Bruno Strulovici, 2009. "Capital Mobility and Asset Pricing," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1478, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 86-101.
  4. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(3), pages 596-620, September.
  5. Dass, Nishant & Nanda, Vikram & Wang, Qinghai, 2013. "Allocation of decision rights and the investment strategy of mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(1), pages 254-277.
  6. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, Elsevier, vol. 28(C), pages 1-8.
  7. Bartram, Sohnke M. & Griffin, John & Ng, David, 2010. "How Important Are Foreign Ownership Linkages for International Stock Returns?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center 10-21, University of Pennsylvania, Wharton School, Weiss Center.
  8. Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
  9. Cristina Cella & Andrew Ellul & Mariassunta Giannetti, . "Investors’ Horizons and the Amplification of Market Shocks," FMG Discussion Papers, Financial Markets Group dp717, Financial Markets Group.
  10. Dimitri Vayanos & Paul Woolley, 2013. "An Institutional Theory of Momentum and Reversal," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145.
  11. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2011. "ETFs, Arbitrage, and Contagion," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2011-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  12. Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2010. "The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008," Working Papers, University of Pennsylvania, Wharton School, Weiss Center 10-22, University of Pennsylvania, Wharton School, Weiss Center.
  13. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 65(4), pages 1369-1407, 08.
  14. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc.
  15. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 550, Institut d'Économie Industrielle (IDEI), Toulouse.
  16. Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(3), pages 471-490.
  17. Amil Dasgupta & Andrea Prat & Michela Verardo, 2011. "Institutional Trade Persistence and Long‐Term Equity Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 66(2), pages 635-653, 04.
  18. Clemens Sialm & Laura Starks & Hanjiang Zhang, 2013. "Defined Contribution Pension Plans: Sticky or Discerning Money?," NBER Working Papers 19569, National Bureau of Economic Research, Inc.
  19. He, Zhiguo & Xiong, Wei, 2013. "Delegated asset management, investment mandates, and capital immobility," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(2), pages 239-258.
  20. Dahlquist, Magnus & Martinez, José Vicente & Söderlind, Paul, 2012. "Individual Investor Activity and Performance," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8744, C.E.P.R. Discussion Papers.
  21. Ramadorai, Tarun, 2010. "Investor Interest and Hedge Fund Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8092, C.E.P.R. Discussion Papers.
  22. Augustin Landier & David Thesmar, 2011. "Regulating Systemic Risk through Transparency: Trade-Offs in Making Data Public," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 31-44 National Bureau of Economic Research, Inc.
  23. Verbeek, Marno & Wang, Yu, 2013. "Better than the original? The relative success of copycat funds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3454-3471.
  24. 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.
  25. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(3), pages 542-564.
  26. Jiang, Hao, 2010. "Institutional investors, intangible information, and the book-to-market effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(1), pages 98-126, April.
  27. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile, Central Bank of Chile 555, Central Bank of Chile.
  28. Hong, Harrison & Wang, Jiang & Yu, Jialin, 2008. "Firms as buyers of last resort," Journal of Financial Economics, Elsevier, Elsevier, vol. 88(1), pages 119-145, April.
  29. Bailey, Warren & Kumar, Alok & Ng, David, 2010. "Behavioral Biases of Mutual Fund Investors," Working Papers, University of Pennsylvania, Wharton School, Weiss Center 10-23, University of Pennsylvania, Wharton School, Weiss Center.
  30. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 4931-4942.
  31. Clemens Sialm & Zheng Sun & Lu Zheng, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
  32. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(1), pages 161-192, February.
  33. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2014. "Scale and Skill in Active Management," NBER Working Papers 19891, National Bureau of Economic Research, Inc.
  34. Andrei Shleifer & Robert Vishny, 2011. "Fire Sales in Finance and Macroeconomics," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 25(1), pages 29-48, Winter.
  35. Huang, Jennifer & Wang, Jiang, 2010. "Market liquidity, asset prices, and welfare," Journal of Financial Economics, Elsevier, Elsevier, vol. 95(1), pages 107-127, January.
  36. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
  37. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011. "Risk Shifting and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
  38. Christophe Hurlin & Gregoire Iseli & Christophe Pérignon & Stanley Yeung, 2014. "The Collateral Risk of ETFs," Working Papers, HAL halshs-01023807, HAL.
  39. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2012. "Extreme Downside Liquidity Risk," Working Papers on Finance, University of St. Gallen, School of Finance 1326, University of St. Gallen, School of Finance, revised Nov 2013.
  40. Schaub, Nic & Schmid, Markus, 2013. "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 671-692.
  41. Albuquerque, Rui & Miao, Jianjun, 2007. "Advance Information and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6588, C.E.P.R. Discussion Papers.
  42. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 49-76.
  43. Chunmei Lin & Massimo Massa & and Hong Zhang, 2014. "Mutual Funds and Information Diffusion: The Role of Country-Level Governance," Tinbergen Institute Discussion Papers 14-079/IV/DSF76, Tinbergen Institute.
  44. Prasanna Gai & Sujit Kapadia & Stephen Millard & Ander Perez, 2008. "Financial innovation, macroeconomic stability and systemic crises," Bank of England working papers, Bank of England 340, Bank of England.
  45. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
  46. Bailey, Warren & Kumar, Alok & Ng, David, 2011. "Behavioral biases of mutual fund investors," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 1-27, October.
  47. Clemens Sialm & T. Mandy Tham, 2011. "Spillover Effects in Mutual Fund Companies," NBER Working Papers 17292, National Bureau of Economic Research, Inc.
  48. Charles Cao & Lubomir Petrasek, 2011. "Liquidity risk and hedge fund ownership," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-49, Board of Governors of the Federal Reserve System (U.S.).
  49. Andrea Frazzini & Owen A. Lamont, 2005. "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," NBER Working Papers 11526, National Bureau of Economic Research, Inc.
  50. Hau, Harald & Lai, Sandy, 2013. "Real effects of stock underpricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 392-408.
  51. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
  52. Acharya, Viral V. & Shin, Hyun Song & Yorulmazer, Tanju, 2009. "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7147, C.E.P.R. Discussion Papers.
  53. Li, Wei & Wang, Steven Shuye, 2010. "Daily institutional trades and stock price volatility in a retail investor dominated emerging market," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(4), pages 448-474, November.
  54. Liliana Schumacher & Theodore M. Barnhill, 2011. "Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information," IMF Working Papers 11/263, International Monetary Fund.
  55. Ang, James & Mauck, Nathan, 2011. "Fire sale acquisitions: Myth vs. reality," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(3), pages 532-543, March.
  56. Stavros Peristiani & Vanessa Savino, 2011. "Are credit default swaps associated with higher corporate defaults?," Staff Reports, Federal Reserve Bank of New York 494, Federal Reserve Bank of New York.
  57. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
  58. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
  59. Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2014. "Do ETFs Increase Volatility?," NBER Working Papers 20071, National Bureau of Economic Research, Inc.
  60. Selcuk, Cemil, 2012. "Distressed sales and liquidity in OTC markets," MPRA Paper 38188, University Library of Munich, Germany.
  61. Ramadorai, Tarun, 2013. "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(2), pages 401-416.
  62. James J. Choi & Li Jin & Hongjun Yan, 2013. "Informed Trading and Expected Returns," NBER Working Papers 18680, National Bureau of Economic Research, Inc.
  63. Zhiguo He & Wei Xiong, 2008. "Delegated Asset Management, Investment Mandates, and Capital Immobility," NBER Working Papers 14574, National Bureau of Economic Research, Inc.
  64. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  65. Shive, Sophie & Yun, Hayong, 2013. "Are mutual funds sitting ducks?," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(1), pages 220-237.
  66. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc.
  67. Agarwal, Vikas & Mullally, Kevin & Tang, Yuehua & Yang, Baozhong, 2013. "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers 13-04, University of Cologne, Centre for Financial Research (CFR).
  68. Jotikasthira, Chotibhak & Lundblad, Christian & Ramadorai, Tarun, 2013. "How do foreign investors impact domestic economic activity? Evidence from India and China," Journal of International Money and Finance, Elsevier, Elsevier, vol. 39(C), pages 89-110.
  69. Cao, Charles & Chang, Eric C. & Wang, Ying, 2008. "An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(10), pages 2111-2123, October.
  70. Nanda, Vikram K. & Wang, Z. Jay & Zheng, Lu, 2009. "The ABCs of mutual funds: On the introduction of multiple share classes," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 18(3), pages 329-361, July.
  71. Cici, Gjergji & Gibson, Scott, 2010. "The performance of corporate-bond mutual funds: Evidence based on security-level holdings," CFR Working Papers 10-18, University of Cologne, Centre for Financial Research (CFR).
  72. 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, Financial Markets Group dp671, Financial Markets Group.
  73. Ivashina, Victoria & Sun, Zheng, 2011. "Institutional demand pressure and the cost of corporate loans," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 500-522, March.
  74. Dötz, Niko & Weth, Mark, 2013. "Cash holdings of German open-end equity funds: Does ownership matter?," Discussion Papers 47/2013, Deutsche Bundesbank, Research Centre.
  75. Seung Hee Choi & Maneesh Chhabria, 2012. "Effective delays in portfolio disclosure," Journal of Financial Regulation and Compliance, Emerald Group Publishing, Emerald Group Publishing, vol. 20(2), pages 196-211, May.