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The Cost of Short-Selling Liquid Securities

Author

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  • SNEHAL BANERJEE
  • JEREMY J. GRAVELINE

Abstract

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Suggested Citation

  • Snehal Banerjee & Jeremy J. Graveline, 2013. "The Cost of Short-Selling Liquid Securities," Journal of Finance, American Finance Association, vol. 68(2), pages 637-664, April.
  • Handle: RePEc:bla:jfinan:v:68:y:2013:i:2:p:637-664
    DOI: jofi.12009
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    File URL: http://hdl.handle.net/10.1111/jofi.12009
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    Citations

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    Cited by:

    1. D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. repec:wsi:rpbfmp:v:20:y:2017:i:02:n:s0219091517500084 is not listed on IDEAS
    3. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
    4. repec:eee:finmar:v:33:y:2017:i:c:p:42-74 is not listed on IDEAS
    5. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
    6. Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2016. "The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds," NBER Working Papers 22576, National Bureau of Economic Research, Inc.
    7. repec:eee:jfinec:v:125:y:2017:i:3:p:537-560 is not listed on IDEAS
    8. Peng, Emma Y. & Yan, An & Yan, Meng, 2016. "Accounting accruals, heterogeneous investor beliefs, and stock returns," Journal of Financial Stability, Elsevier, vol. 24(C), pages 88-103.
    9. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    10. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.
    11. Anh Le & Bruno Feunou & Christian Lundblad & Jean-S├ębastien Fontaine, 2015. "Tractable Term-Structure Models and the Zero Lower Bound," Staff Working Papers 15-46, Bank of Canada.

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