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Citations for "Security Baskets and Index-Linked Securities"

by Gorton, Gary B & Pennacchi, George G

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  1. G├╝rtler, Marc & Hibbeln, Martin, 2012. "How smart are investors after the subprime mortgage crisis? Evidence from the securitization market," Working Papers IF39V1, Technische Universit├Ąt Braunschweig, Institute of Finance.
  2. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity Based Asset Pricing Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, Elsevier, vol. 89(3), pages 444-466, September.
  4. Radislav Jovovic & Nebojsa Jovovic, 2013. "Understanding Shadow Banking And It'S Role In The Recent Financial Crisis," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), Economic Laboratory for Transition Research (ELIT), vol. 9(1), pages 75-84.
  5. Jean Tirole, 2010. "Illiquidity and all its friends," BIS Working Papers 303, Bank for International Settlements.
  6. Salvatore Cantale & Dmitry Lukin, 2012. "Multiple-Project Financing with Informed Trading," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, Pepperdine University, Graziadio School of Business and Management, vol. 16(1), pages 1-28, Spring.
  7. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Research Paper, Federal Reserve Bank of New York 9820, Federal Reserve Bank of New York.
  8. Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(5), pages 695-708, December.
  9. Huson, Mark R. & MacKinnon, Gregory, 2003. "Corporate spinoffs and information asymmetry between investors," Journal of Corporate Finance, Elsevier, Elsevier, vol. 9(4), pages 481-503, September.
  10. Kenneth Small & James Wansley & Matthew Hood, 2012. "The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds," Journal of Economics and Finance, Springer, Springer, vol. 36(2), pages 261-281, April.
  11. Rochet, Jean-Charles. & Vila, Jean-Luc., 1991. "Insider trading and market manipulations--existence and uniqueness of equilibrium," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 3318-91., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  12. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2005. "Correlated Trading and Returns," DNB Working Papers, Netherlands Central Bank, Research Department 072, Netherlands Central Bank, Research Department.
  13. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(8), pages 2056-2069, August.
  14. Deville, Laurent, 2008. "Exchange traded funds : history, trading and research," Economics Papers from University Paris Dauphine 123456789/903, Paris Dauphine University.
  15. Datar, Vinay, 2001. "Impact of liquidity on premia/discounts in closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 41(1), pages 119-135.
  16. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  17. Nanda, Vikram & Narayanan, M. P., 1999. "Disentangling Value: Financing Needs, Firm Scope, and Divestitures," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 8(3), pages 174-204, July.
  18. Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
  19. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  20. Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-22, Board of Governors of the Federal Reserve System (U.S.).
  21. Qi, Jianping, 1996. "Efficient investment and financial intermediation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(5), pages 891-900, June.
  22. Bengtsson, E., 2013. "Fund Management and Systemic Risk - Lessons from the Global Financial Crisis," CITYPERC Working Paper Series 2013-06, Department of International Politics, City University London.
  23. Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1991. "Index-Based Futures and Options Markets in Real Estate," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1006, Cowles Foundation for Research in Economics, Yale University.
  24. Xavier Freixas, 2003. "An overall perspective on banking regulation," Economics Working Papers 664, Department of Economics and Business, Universitat Pompeu Fabra.
  25. Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(1), pages 65-76, January.
  26. Beniamino Moro, 2013. "The Run On Repo and the Liquidity Shortage Problems of the Current Global Financial Crisis: Europe vs. The US," Ekonomi-tek - International Economics Journal, Turkish Economic Association, Turkish Economic Association, vol. 2(1), pages 41-77, January.
  27. Lipson, Marc L., 2003. "Market microstructure and corporate finance," Journal of Corporate Finance, Elsevier, Elsevier, vol. 9(4), pages 377-384, September.
  28. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 27(9), pages 1667-1703, September.
  29. Blake, David & Biffs, Enrico, 2012. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," MPRA Paper 44680, University Library of Munich, Germany.
  30. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports, Federal Reserve Bank of New York 207, Federal Reserve Bank of New York.
  31. Mazouz, Khelifa & Bowe, Michael, 2006. "The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(1), pages 1-20.
  32. Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, Elsevier, vol. 11(4), pages 377-399, November.
  33. Clarke, Jonathan E. & Fee, C. Edward & Thomas, Shawn, 2004. "Corporate diversification and asymmetric information: evidence from stock market trading characteristics," Journal of Corporate Finance, Elsevier, Elsevier, vol. 10(1), pages 105-129, January.
  34. Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
  35. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, Elsevier, vol. 40(1), pages 105-134, January.
  36. Chen, Honghui & Morse, Joel N. & Nguyen, Hoang Huy, 2009. "Changes in the liquidity of closed-end country funds after the introduction of World Equity Benchmarks," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(3), pages 1081-1094, August.
  37. Ricardo Correa & Horacio Sapriza & Andrei Zlate, 2012. "Liquidity shocks, dollar funding costs, and the bank lending channel during the European sovereign crisis," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1059, Board of Governors of the Federal Reserve System (U.S.).
  38. 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.
  39. Li, Mingsheng & Zhao, Xin, 2014. "Impact of leveraged ETF trading on the market quality of component stocks," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 28(C), pages 90-108.
  40. Berkman, Henk & Brailsford, Tim & Frino, Alex, 2005. "A note on execution costs for stock index futures: Information versus liquidity effects," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(3), pages 565-577, March.