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Citations for "Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market"

by Boudoukh, Jacob & Whitelaw, Robert F

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  1. Mark Grinblatt, 2002. "An Analytic Solution for Interest Rate Swap Spreads," Yale School of Management Working Papers, Yale School of Management ysm39, Yale School of Management.
  2. de Jong, Abe & Roosenboom, Peter & Schramade, Willem, 2006. "Bond underwriting fees and keiretsu affiliation in Japan," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 14(5), pages 522-545, November.
  3. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Chapters, in: NBER Macroeconomics Annual 1996, Volume 11, pages 155-208 National Bureau of Economic Research, Inc.
  4. Francis A. Longstaff, 2004. "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers 10411, National Bureau of Economic Research, Inc.
  5. Oxelheim, Lars & Rafferty, Michael, 2005. "On the static efficiency of secondary bond markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 15(2), pages 117-135, April.
  6. Paul Bennett & Kenneth Garbade & John Kambhu, 1999. "Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-083, New York University, Leonard N. Stern School of Business-.
  7. Longstaff, Francis A., 2001. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt7dc0t95b, Anderson Graduate School of Management, UCLA.
  8. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
  9. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers, Financial Markets Group dp709, Financial Markets Group.
  10. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc.
  11. Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003. "Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?," Journal of Financial Economics, Elsevier, Elsevier, vol. 67(3), pages 385-410, March.
  12. Francis A. Longstaff, 2004. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," The Journal of Business, University of Chicago Press, vol. 77(3), pages 511-526, July.
  13. 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.
  14. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.
  15. Piga, Gustavo, 1998. "In Search of an Independent Province for the Treasuries: How Should Public Debt Be Managed?," Journal of Economics and Business, Elsevier, Elsevier, vol. 50(3), pages 257-275, May.
  16. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, Springer, vol. 9(1), pages 1-32, 03.
  17. Zhiwu Chen & Peng Xiong, 2001. "Discounts On Illiquid Stocks: Evidence From China," Yale School of Management Working Papers, Yale School of Management ysm232, Yale School of Management, revised 01 Sep 2002.
  18. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(11), pages 2375-2389, November.
  19. Kahl, Matthias & Liu, Jun & Longstaff, Francis A, 2001. "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt8b3853z9, Anderson Graduate School of Management, UCLA.
  20. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-36, Board of Governors of the Federal Reserve System (U.S.).
  21. Marti G. Subrahmanyam & Young Ho Eom & Jun Uno, 2000. "Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-069, New York University, Leonard N. Stern School of Business-.
  22. Bogan, Vicki, 2009. "Bubbles or convenience yields? A theoretical explanation with evidence from technology company equity carve-outs," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(2), pages 248-281, March.
  23. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2013. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2013-48, School of Economics and Management, University of Aarhus.
  24. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  25. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(1), pages 1-24, April.
  26. 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, vol. 32(6), pages 947-960, June.
  27. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1331-1358, June.
  28. Redding, Lee S., 1999. "Negative nominal interest rates and the liquidity premium," Economics Letters, Elsevier, vol. 62(2), pages 213-216, February.
  29. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2004. "The Market Price Of Risk In Interest Rate Swaps: The Roles Of Default And Liquidity Risks," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt5z42g22g, Anderson Graduate School of Management, UCLA.
  30. Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt2458g38x, Anderson Graduate School of Management, UCLA.
  31. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3900, C.E.P.R. Discussion Papers.
  32. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de Espa�a Occasional Papers 0501, Banco de Espa�a.