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Gur Huberman

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Huberman, Gur & Leshno, Jacob & Moallemi, Ciamac C., 2017. "Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System," CEPR Discussion Papers 12322, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jonathan Chiu & Thorsten V. Koeppl, 2018. "Blockchain-based Settlement For Asset Trading," Working Paper 1397, Economics Department, Queen's University.
    2. Makarov, Igor & Schoar, Antoinette, 2018. "Trading and Arbitrage in Cryptocurrency Markets," LSE Research Online Documents on Economics 118909, London School of Economics and Political Science, LSE Library.
    3. Uhlig, Harald & Schilling, Linda, 2018. "Some simple Bitcoin Economics," CEPR Discussion Papers 12831, C.E.P.R. Discussion Papers.
    4. Jonathan Chiu, 2019. "The Economics of Cryptocurrencies -- Bitcoin and Beyond," 2019 Meeting Papers 425, Society for Economic Dynamics.
    5. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
    6. Makarov, Igor & Schoar, Antoinette, 2020. "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics 100409, London School of Economics and Political Science, LSE Library.
    7. Hitoshi Matsushima & Shunya Noda, 2020. "Mechanism Design with Blockchain Enforcement," KIER Working Papers 1027, Kyoto University, Institute of Economic Research.
    8. Grym, Aleksi, 2018. "The great illusion of digital currencies," BoF Economics Review 1/2018, Bank of Finland.
    9. Zimmerman, Peter, 2020. "Blockchain structure and cryptocurrency prices," Bank of England working papers 855, Bank of England.
    10. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2018. "Between Cash, Deposit And Bitcoin: Would We Like A Central Bank Digital Currency? Money Demand And Experimental Economics," BAFFI CAREFIN Working Papers 1875, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Auer, Raphael, 2019. "Embedded supervision: how to build regulation into blockchain finance," CEPR Discussion Papers 14095, C.E.P.R. Discussion Papers.
    12. Bruno Biais & Albert Menkveld & Catherine Casamatta & Christophe Bisière & Matthieu Bouvard, 2019. "Equilibrium Bitcoin Pricing," 2019 Meeting Papers 360, Society for Economic Dynamics.
    13. Raphael A. Auer, 2022. "Embedded Supervision: How to Build Regulation into Decentralised Finance," CESifo Working Paper Series 9771, CESifo.
    14. Linda Schilling & Jesús Fernández-Villaverde & Harald Uhlig, 2020. "Central Bank Digital Currency: When Price and Bank Stability Collide," NBER Working Papers 28237, National Bureau of Economic Research, Inc.
    15. Julien Prat & Benjamin Walter, 2018. "An Equilibrium Model of the Market for Bitcoin Mining," CESifo Working Paper Series 6865, CESifo.
    16. Jonathan Chiu & Thorsten V. Koeppl, 2022. "The economics of cryptocurrency: Bitcoin and beyond," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1762-1798, November.
    17. Easley, David & O'Hara, Maureen & Basu, Soumya, 2019. "From mining to markets: The evolution of bitcoin transaction fees," Journal of Financial Economics, Elsevier, vol. 134(1), pages 91-109.
    18. Muhammad Athar Nadeem & Zhiying Liu & Abdul Hameed Pitafi & Amna Younis & Yi Xu, 2021. "Investigating the Adoption Factors of Cryptocurrencies—A Case of Bitcoin: Empirical Evidence From China," SAGE Open, , vol. 11(1), pages 21582440219, March.
    19. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
    20. Benigno, Pierpaolo & Uhlig, Harald & Schilling, Linda, 2022. "Cryptocurrencies, Currency Competition, and The Impossible Trinity," CEPR Discussion Papers 13943, C.E.P.R. Discussion Papers.
    21. Lin William Cong & Zhiguo He & Jiasun Li, 2019. "Decentralized Mining in Centralized Pools," NBER Working Papers 25592, National Bureau of Economic Research, Inc.
    22. Brunnermeier, Markus & Abadi, Joseph, 2018. "Blockchain Economics," CEPR Discussion Papers 13420, C.E.P.R. Discussion Papers.
    23. Rahman, Adib J., 2018. "Deflationary policy under digital and fiat currency competition," Research in Economics, Elsevier, vol. 72(2), pages 171-180.
    24. W. Scott Frame & Larry Wall & Lawrence J. White, 2018. "Technological Change and Financial Innovation in Banking: Some Implications for FinTech," Working Papers 18-28, New York University, Leonard N. Stern School of Business, Department of Economics.
    25. Yu Zhu & Scott Hendry, 2019. "A Framework for Analyzing Monetary Policy in an Economy with E-money," Staff Working Papers 19-1, Bank of Canada.
    26. Borgonovo, Emanuele & Caselli, Stefano & Cillo, Alessandra & Masciandaro, Donato & Rabitti, Giovanni, 2021. "Money, privacy, anonymity: What do experiments tell us?," Journal of Financial Stability, Elsevier, vol. 56(C).
    27. Rico-Peña, Juan Jesús & Arguedas-Sanz, Raquel & López-Martin, Carmen, 2023. "Models used to characterise blockchain features. A systematic literature review and bibliometric analysis," Technovation, Elsevier, vol. 123(C).
    28. Lambrecht, Marco & Sofianos, Andis & Xu, Yilong, 2020. "Does mining fuel bubbles? An experimental study on cryptocurrency markets," Working Papers 0690, University of Heidelberg, Department of Economics.
    29. Ferreira, Daniel & Li, Jin & Nikolowa, Radoslawa, 2019. "Corporate Capture of Blockchain Governance," CEPR Discussion Papers 13493, C.E.P.R. Discussion Papers.
    30. Raphael Auer, 2019. "Beyond the doomsday economics of "proof-of-work" in cryptocurrencies," BIS Working Papers 765, Bank for International Settlements.
    31. Chiu, Jonathan & Wong, Tsz-Nga, 2022. "Payments on digital platforms: Resiliency, interoperability and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 142(C).
    32. Yukun Liu & Aleh Tsyvinski, 2019. "Risks and Returns of Cryptocurrency," 2019 Meeting Papers 160, Society for Economic Dynamics.
    33. Jun Aoyagi & Daisuke Adachi, 2018. "Economic Implications of Blockchain Platforms," Papers 1802.10117, arXiv.org, revised Oct 2018.
    34. Hosain, Md Sajjad, 2018. "Bitcoin: Future transaction currency?," MPRA Paper 87588, University Library of Munich, Germany.
    35. Andrew Detzel & Hong Liu & Jack Strauss & Guofu Zhou & Yingzi Zhu, 2021. "Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals," Financial Management, Financial Management Association International, vol. 50(1), pages 107-137, March.
    36. Charles Bertucci & Louis Bertucci & Jean-Michel Lasry & Pierre-Louis Lions, 2020. "Mean Field Game Approach to Bitcoin Mining," Papers 2004.08167, arXiv.org.
    37. Gilles Hilary & Laura Xiaolei Liu, 2021. "Blockchain and Other Distributed Ledger Technologies in Finance," Springer Books, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales (ed.), The Palgrave Handbook of Technological Finance, pages 243-268, Springer.
    38. Feng Dong & Zhiwei Xu & Yu Zhang, 2022. "Bubbly Bitcoin," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(3), pages 973-1015, October.
    39. Sahebi, Iman Ghasemian & Masoomi, Behzad & Ghorbani, Shahryar, 2020. "Expert oriented approach for analyzing the blockchain adoption barriers in humanitarian supply chain," Technology in Society, Elsevier, vol. 63(C).
    40. Canidio, Andrea, 2018. "Financial incentives for open source development: the case of Blockchain," MPRA Paper 85352, University Library of Munich, Germany.
    41. Jermann, Urban J., 2021. "Cryptocurrencies and Cagan’s model of hyperinflation," Journal of Macroeconomics, Elsevier, vol. 69(C).
    42. Juanjuan Li & Yong Yuan & Fei-Yue Wang, 2022. "Analyzing Bitcoin transaction fees using a queueing game model," Electronic Commerce Research, Springer, vol. 22(1), pages 135-155, March.
    43. Lin William Cong & Zhiguo He, 2019. "Blockchain Disruption and Smart Contracts," The Review of Financial Studies, Society for Financial Studies, vol. 32(5), pages 1754-1797.
    44. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro & Giovanno Rabitti, 2018. "Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?," BAFFI CAREFIN Working Papers 1895, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    45. Bonaparte, Yosef & Bernile, Gennaro, 2023. "A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 52(C).
    46. Wolfgang Karl Härdle & Campbell R Harvey & Raphael C G Reule, 2020. "Understanding Cryptocurrencies," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 181-208.
    47. Carlo Gola & Andrea Caponera, 2019. "Policy issues on crypto-assets," LIUC Papers in Economics 2019-7, Cattaneo University (LIUC).
    48. Marcelo A. T. Aragão, 2021. "A Few Things You Wanted to Know about the Economics of CBDCs, but were Afraid to Model: a survey of what we can learn from who has done," Working Papers Series 554, Central Bank of Brazil, Research Department.
    49. Ye Wang & Yan Chen & Haotian Wu & Liyi Zhou & Shuiguang Deng & Roger Wattenhofer, 2021. "Cyclic Arbitrage in Decentralized Exchanges," Papers 2105.02784, arXiv.org, revised Jan 2022.
    50. Raphael Auer & Stijn Claessens, 2018. "Regulating cryptocurrencies: assessing market reactions," BIS Quarterly Review, Bank for International Settlements, September.
    51. Carlos Viñuela & Juan Sapena & Gonzalo Wandosell, 2020. "The Future of Money and the Central Bank Digital Currency Dilemma," Sustainability, MDPI, vol. 12(22), pages 1-22, November.
    52. Raffaella Barone & Donato Masciandaro, 2019. "Cryptocurrency or usury? Crime and alternative money laundering techniques," European Journal of Law and Economics, Springer, vol. 47(2), pages 233-254, April.
    53. Balvers, Ronald J. & McDonald, Bill, 2021. "Designing a global digital currency," Journal of International Money and Finance, Elsevier, vol. 111(C).
    54. Nadler, Philip & Guo, Yike, 2020. "The fair value of a token: How do markets price cryptocurrencies?," Research in International Business and Finance, Elsevier, vol. 52(C).
    55. Anil Savio Kavuri & Alistair Milne, 2019. "FinTech and the future of financial services: What are the research gaps?," CAMA Working Papers 2019-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    56. Svetlana V. Krivoruchko, 2018. "Cryptocurrencies and Approaches to Their Regulation," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 120-129, October.
    57. Andreas Freund & Danielle Stanko, 2018. "The Wolf and the Caribou: Coexistence of Decentralized Economies and Competitive Markets," JRFM, MDPI, vol. 11(2), pages 1-38, May.

  2. Huberman, Gur & Guasoni, Paolo & Ren, Dan, 2014. "Shortfall Aversion," CEPR Discussion Papers 10064, C.E.P.R. Discussion Papers.

    Cited by:

    1. Curatola, Giuliano, 2017. "Optimal portfolio choice with loss aversion over consumption," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 345-358.

  3. Gur Huberman & Rafael Repullo, 2013. "Moral Hazard and Debt Maturity," Working Papers wp2013_1311, CEMFI.

    Cited by:

    1. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    2. Zhou, Yimin & Wei, Xu, 2023. "Bond liquidity, debt maturity and bond risk premium," Finance Research Letters, Elsevier, vol. 54(C).
    3. Zou, Jingxian & Shen, Guangjun & Gong, Yaxian, 2019. "The effect of value-added tax on leverage: Evidence from China’s value-added tax reform," China Economic Review, Elsevier, vol. 54(C), pages 135-146.
    4. Wei, Xu & Gong, Yaxian & Wu, Ho-Mou, 2017. "The impacts of Net Stable Funding Ratio requirement on Banks’ choices of debt maturity," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 229-243.
    5. Wei, Xu & Xiao, Xiao & Zhou, Yi & Zhou, Yimin, 2023. "Spillover effects between liquidity risks through endogenous debt maturity," Journal of Financial Markets, Elsevier, vol. 64(C).
    6. Gong, Yaxian & Wei, Xu, 2019. "Asset quality, debt maturity, and market liquidity," Finance Research Letters, Elsevier, vol. 31(C).
    7. Gong, Yaxian & Wei, Xu, 2022. "Asset quality, financing structure, and bank regulations," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1061-1075.

  4. Huberman, Gur & Guasoni, Paolo & Wang, Zhenyu, 2010. "Performance Maximization of Actively Managed Funds," CEPR Discussion Papers 7676, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009. "Risk Shifting and Mutual Fund Performance," NBER Working Papers 14903, National Bureau of Economic Research, Inc.
    2. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "An extended Merton problem with relaxed benchmark tracking," Papers 2304.10802, arXiv.org, revised Mar 2024.
    3. Wang, Zhenyu & Zhang, Xiaoyan, 2012. "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 65-78.

  5. Huberman, Gur & Dorn, Daniel, 2007. "Preferred Risk Habitat of Individual Investors," CEPR Discussion Papers 6532, C.E.P.R. Discussion Papers.

    Cited by:

    1. León, Anja Köbrich & Pfeifer, Christian, 2017. "Religious activity, risk-taking preferences and financial behaviour: Empirical evidence from German survey data," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 69(C), pages 99-107.
    2. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    3. D’Hondt, Catherine & De Winne, Rudy & Merli, Maxime, 2021. "Do retail investors bite off more than they can chew? A close look at their return objectives," LIDAM Reprints LFIN 2021015, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Jiang, Danling & Peterson, David R. & Doran, James S., 2014. "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 36-59.
    5. Barbara Alemanni & Pierpaolo Uberti, 2019. "What Are Investors Afraid of? Finding the Big Bad Wolf," IJFS, MDPI, vol. 7(3), pages 1-12, July.
    6. Xiaoyu Wu & Jianmei Zhao, 2020. "Risk sharing, siblings, and household equity investment: evidence from urban China," Journal of Population Economics, Springer;European Society for Population Economics, vol. 33(2), pages 461-482, April.
    7. Cornil, Yann & Hardisty, David J. & Bart, Yakov, 2019. "Easy, breezy, risky: Lay investors fail to diversify because correlated assets feel more fluent and less risky," Organizational Behavior and Human Decision Processes, Elsevier, vol. 153(C), pages 103-117.
    8. Yingxiu Zhao & Wei Zhang & Yuelei Li & Shuxing Yin & Yang Yang, 2021. "Crazy gamblers or cautious investors? Evidence from a peer‐to‐peer market in China," Manchester School, University of Manchester, vol. 89(5), pages 507-525, September.
    9. Klöckner, Maximilian & Schmidt, Christoph G. & Wagner, Stephan M. & Swink, Morgan, 2023. "Firms’ responses to the COVID-19 pandemic," Journal of Business Research, Elsevier, vol. 158(C).
    10. Badarinza, Cristian & Ramadorai, Tarun, 2018. "Home away from home? Foreign demand and London house prices," Journal of Financial Economics, Elsevier, vol. 130(3), pages 532-555.
    11. Bartram, Sohnke M. & Griffin, John & Ng, David, 2010. "How Important Are Foreign Ownership Linkages for International Stock Returns?," Working Papers 10-21, University of Pennsylvania, Wharton School, Weiss Center.
    12. Andreas Ek & Gunes Gokmen & Kaveh Majlesi, 2022. "Cultural Origins of Investment Behavior," Monash Economics Working Papers 2022-16, Monash University, Department of Economics.
    13. Kulabutr Komenkul & Mohamed Sherif & Bing Xu, 2017. "IPOs’ signalling effects for speculative stock detection: evidence from the Stock Exchange of Thailand," Applied Economics, Taylor & Francis Journals, vol. 49(31), pages 3067-3085, July.
    14. Meng, Yun & Pantzalis, Christos, 2018. "Monthly cyclicality in retail Investors’ liquidity and lottery-type stocks at the turn of the month," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 176-191.
    15. Miguel Fuentes & Pablo Pincheira & Juan Manuel Julio & Hernán Rincón, 2014. "The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru," Borradores de Economia 12258, Banco de la Republica.
    16. Mark Browne & Verena Jaeger & Petra Steinorth, 2019. "The impact of economic conditions on individual and managerial risk taking," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 27-53, March.
    17. ap Gwilym, O. & Kita, A. & Wang, Q., 2014. "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 212-221.
    18. Khan, Kanwal Iqbal & Ghafoor, Muhammad Mudassar & Sheeraz, Muhammad & Mahmood, Shahid, 2018. "Pay or not to Pay Dividends: Company Policy and Investor Expectations," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 7(1), pages 137-157.
    19. Lee, Kuan-Hui & Yang, Cheol-Won, 2022. "The world price of tail risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    20. Owain Ap Gwilym & Iftekhar Hasan & Qingwei Wang & Ru Xie, 2016. "In Search of Concepts: The Effects of Speculative Demand on Stock Returns," European Financial Management, European Financial Management Association, vol. 22(3), pages 427-449, June.
    21. Mark Browne & Verena Jaeger & Petra Steinorth, 2019. "The impact of economic conditions on individual and managerial risk taking," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 27-53, March.
    22. Mehmet Asutay & Primandanu Febriyan Aziz & Banjaran S. Indrastomo & Yusuf Karbhari, 2023. "Religiosity and Charitable Giving on Investors’ Trading Behaviour in the Indonesian Islamic Stock Market: Islamic vs Market Logic," Journal of Business Ethics, Springer, vol. 188(2), pages 327-348, November.
    23. Gennaro Bernile & Vineet Bhagwat & Ambrus Kecskés & Phuong‐Anh Nguyen, 2021. "Are the risk attitudes of professional investors affected by personal catastrophic experiences?," Financial Management, Financial Management Association International, vol. 50(2), pages 455-486, June.
    24. Zhimin Li & Leslie Sheng Shen & Calvin Zhang, 2020. "Capital Flows, Asset Prices, and the Real Economy: A "China Shock" in the U.S. Real Estate Market," International Finance Discussion Papers 1286, Board of Governors of the Federal Reserve System (U.S.).
    25. Christian Ehm & Christine Kaufmann & Martin Weber, 2014. "Volatility Inadaptability: Investors Care About Risk, but Cannot Cope with Volatility," Review of Finance, European Finance Association, vol. 18(4), pages 1387-1423.
    26. Ashish Agarwal & Alvin Chung Man Leung & Prabhudev Konana & Alok Kumar, 2017. "Cosearch Attention and Stock Return Predictability in Supply Chains," Information Systems Research, INFORMS, vol. 28(2), pages 265-288, June.
    27. Vimal Balasubramaniam & John Y. Campbell & Tarun Ramadorai & Benjamin Ranish, 2023. "Who Owns What? A Factor Model for Direct Stockholding," Journal of Finance, American Finance Association, vol. 78(3), pages 1545-1591, June.
    28. TOMA, Filip-Mihai & CEPOI, Cosmin-Octavian & NEGREA, Bogdan, 2021. "Does it payoff to be overconfident? Evidence from an emerging market – a quantile regression approach," Finance Research Letters, Elsevier, vol. 38(C).
    29. Kerstin Lopatta & Reemda Jaeschke & Chen Chen, 2017. "Stakeholder Engagement and Corporate Social Responsibility (CSR) Performance: International Evidence," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 24(3), pages 199-209, May.
    30. Betül Çal & Mary Lambkin, 2017. "Brand equity of stock exchange as a mediator in financial decisions," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 22(1), pages 14-23, March.
    31. Christian Ehm & Christine Laudenbach & Martin Weber, 2018. "Focusing on volatility information instead of portfolio weights as an aid to investor decisions," Experimental Economics, Springer;Economic Science Association, vol. 21(2), pages 457-480, June.
    32. Merkle, Christoph & Weber, Martin, 2014. "Do investors put their money where their mouth is? Stock market expectations and investing behavior," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 372-386.
    33. Luciano Somoza & Antoine Didisheim, 2022. "The End of the Crypto-Diversification Myth," Swiss Finance Institute Research Paper Series 22-53, Swiss Finance Institute.
    34. Doina C. Chichernea & Haimanot Kassa & Steve L. Slezak, 2019. "Lottery preferences and the idiosyncratic volatility puzzle," European Financial Management, European Financial Management Association, vol. 25(3), pages 655-683, June.
    35. Ann Yang, 2013. "Decision Making for Individual Investors: A Measurement of Latent Difficulties," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(3), pages 303-329, December.
    36. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
    37. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    38. Lin, Mei-Chen, 2023. "Analyst coverage and the idiosyncratic skewness effect in the Taiwan stock market," International Review of Financial Analysis, Elsevier, vol. 85(C).
    39. Nicoletta Marinelli & Camilla Mazzoli & Fabrizio Palmucci, 2017. "Mind the Gap: Inconsistencies Between Subjective and Objective Financial Risk Tolerance," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 18(2), pages 219-230, April.
    40. Cronqvist, Henrik & Siegel, Stephan & Yu, Frank, 2015. "Value versus growth investing: Why do different investors have different styles?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 333-349.
    41. Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
    42. Merkle, Christoph, 2017. "Financial overconfidence over time: Foresight, hindsight, and insight of investors," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 68-87.
    43. Jungmu Kim & Yuen Jung Park, 2019. "Is Low-Volatility Investing Sustainable in the SME Stock Market of Korea? A Risk and Return Analysis," Sustainability, MDPI, vol. 11(13), pages 1-17, July.
    44. Hsu, Yuan-Lin & Chow, Edward H., 2013. "The house money effect on investment risk taking: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1102-1115.
    45. Eun, Cheol S. & Wang, Lingling & Xiao, Steven C., 2015. "Culture and R2," Journal of Financial Economics, Elsevier, vol. 115(2), pages 283-303.

  6. Sengmüller, Paul & Huberman, Gur & Dorn, Daniel, 2007. "Correlated Trading and Returns," CEPR Discussion Papers 6530, C.E.P.R. Discussion Papers.

    Cited by:

    1. Antonio Mele, 2008. "Information Linkages and Correlated Trading," FMG Discussion Papers dp620, Financial Markets Group.
    2. Phil Holmes & Vasileios Kallinterakis & M P Leite Ferreira, 2013. "Herding in a Concentrated Market: a Question of Intent," European Financial Management, European Financial Management Association, vol. 19(3), pages 497-520, June.
    3. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    4. Reza Bradrania & Andrew Grant & Peter Joakim Westerholm & Wei Wu, 2017. "Fool's mate: What does CHESS tell us about individual investor trading performance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 981-1017, December.
    5. Sumit Agarwal & I‐Ming Chiu & Chunlin Liu & S. Ghon Rhee, 2011. "The Brokerage Firm Effect In Herding: Evidence From Indonesia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(3), pages 461-479, September.
    6. Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
    7. Chen, Hung-Ling & Chow, Edward H. & Shiu, Cheng-Yi, 2015. "The informational role of individual investors in stock pricing: Evidence from large individual and small retail investors," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 36-56.
    8. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
    9. Fong, Kingsley & Krug, Juliane D. & Leung, Henry & Westerholm, Joakim P., 2020. "Determinants of household broker choices and their impacts on performance," Journal of Banking & Finance, Elsevier, vol. 112(C).
    10. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
    11. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2012. "Decomposing Performance," Working Papers on Finance 1216, University of St. Gallen, School of Finance, revised Nov 2015.
    12. Olkhov, Victor, 2023. "The Market-Based Probability of Stock Returns," MPRA Paper 116234, University Library of Munich, Germany.
    13. Andrikopoulos, Panagiotis & Gebka, Bartosz & Kallinterakis, Vasileios, 2021. "Regulatory mood-congruence and herding: Evidence from cannabis stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 842-864.
    14. Choi, Paul Moon Sub & Choi, Joung Hwa, 2018. "Is individual trading priced in stocks?," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 76-92.
    15. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
    16. Shih-Chuan Tsai, 2014. "Individuals’ Trading Prior to Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1124-1156, November.
    17. Kallinterakis, Vasileios & Liu, Fei & Pantelous, Athanasios A. & Shao, Jia, 2020. "Pricing inefficiencies and feedback trading: Evidence from country ETFs," International Review of Financial Analysis, Elsevier, vol. 70(C).
    18. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
    19. García, Diego & Norli, Øyvind, 2012. "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, vol. 106(3), pages 547-565.
    20. Thomas Wu & Jordi Mondria, 2011. "Asymmetric Attention and Stock Returns," 2011 Meeting Papers 134, Society for Economic Dynamics.
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    Cited by:

    1. Uri Gneezy & Muriel Niederle & Aldo Rustichini, 2003. "Performance in Competitive Environments: Gender Differences," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(3), pages 1049-1074.
    2. Colin Camerer & Teck-Hua Ho & Juin Kuan Chong, 2003. "A cognitive hierarchy theory of one-shot games: Some preliminary results," Levine's Bibliography 506439000000000495, UCLA Department of Economics.
    3. Dennis Dittrich & Werner Güth & Boris Maciejovsky, "undated". "Overconfidence in Investment Decisions: An Experimental Approach," Papers on Strategic Interaction 2001-03, Max Planck Institute of Economics, Strategic Interaction Group.
    4. Shavit, Tal & Sonsino, Doron & Benzion, Uri, 2001. "A comparative study of lotteries-evaluation in class and on the Web," Journal of Economic Psychology, Elsevier, vol. 22(4), pages 483-491, August.

  10. Werner Stanzl & Gur Huberman, 2000. "Arbitrage-Free Price-Update and Price-Impact Functions," Yale School of Management Working Papers ysm164, Yale School of Management, revised 01 Jan 2001.

    Cited by:

    1. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
    2. Liu, Hong & Yong, Jiongmin, 2005. "Option pricing with an illiquid underlying asset market," Journal of Economic Dynamics and Control, Elsevier, vol. 29(12), pages 2125-2156, December.

  11. Gur Huberman & Werner Stanzl, 2000. "Optimal Liquidity Trading," Yale School of Management Working Papers ysm165, Yale School of Management, revised 01 Aug 2001.

    Cited by:

    1. Sim, Min Kyu & Deng, Shijie, 2020. "Estimation of level-I hidden liquidity using the dynamics of limit order-book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    2. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    3. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    4. Jackie Jianhong Shen, 2020. "A Stochastic LQR Model for Child Order Placement in Algorithmic Trading," Papers 2004.13797, arXiv.org.
    5. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
    6. Elias Strehle, 2016. "Optimal Execution in a Multiplayer Model of Transient Price Impact," Papers 1609.00599, arXiv.org, revised Mar 2019.
    7. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    8. Jan Kallsen & Johannes Muhle-Karbe, 2014. "High-Resilience Limits of Block-Shaped Order Books," Papers 1409.7269, arXiv.org.
    9. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2015. "Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana," Financial Management, Financial Management Association International, vol. 44(4), pages 905-945, October.
    10. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
    11. Cong Zheng & Jiafa He & Can Yang, 2023. "Optimal Execution Using Reinforcement Learning," Papers 2306.17178, arXiv.org.
    12. Tan Yeng May & Cheng Fan Fah & Taufiq Hassan, 2018. "Impacts of Ownership Concentration and Liquidity on Stock Momentum Profitability in Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 14(1), pages 57-81.
    13. Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research.
    14. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    15. Jackie Jianhong Shen, 2013. "A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)," Papers 1309.5046, arXiv.org, revised Sep 2013.
    16. Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002. "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers ysm251, Yale School of Management, revised 08 Jun 2006.
    17. Arti Singh & Dharmaraja Selvamuthu, 2017. "Mean–variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 29-69, August.
    18. Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
    19. Somayeh Moazeni & Thomas F. Coleman & Yuying Li, 2016. "Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy," Annals of Operations Research, Springer, vol. 237(1), pages 99-120, February.
    20. Oehmke, Martin, 2014. "Liquidating illiquid collateral," LSE Research Online Documents on Economics 84518, London School of Economics and Political Science, LSE Library.
    21. Griese, Knut & Kempf, Alexander, 2005. "Liquiditätsdynamik am deutschen Aktienmarkt," CFR Working Papers 05-12, University of Cologne, Centre for Financial Research (CFR).
    22. Reshma Khemchandani & Avikant Bhardwaj & Suresh Chandra, 2016. "Single asset optimal trading strategies with stochastic dominance constraints," Annals of Operations Research, Springer, vol. 243(1), pages 211-228, August.
    23. Weston Barger & Matthew Lorig, 2018. "Optimal liquidation under stochastic price impact," Papers 1804.04170, arXiv.org.
    24. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
    25. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
    26. Simon Clinet & Jean-Franc{c}ois Perreton & Serge Reydellet, 2021. "Optimal trading: a model predictive control approach," Papers 2110.11008, arXiv.org, revised Nov 2021.
    27. Pekka Malo & Teemu Pennanen, 2012. "Reduced form modeling of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1025-1036, April.
    28. Somayeh Moazeni & Thomas Coleman & Yuying Li, 2016. "Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy," Annals of Operations Research, Springer, vol. 237(1), pages 99-120, February.
    29. Takashi Kato, 2011. "An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process," Papers 1107.1787, arXiv.org, revised Jul 2014.
    30. Thomas Conlon & John Cotter & Ramazan Gençay, 2016. "Commodity futures hedging, risk aversion and the hedging horizon," The European Journal of Finance, Taylor & Francis Journals, vol. 22(15), pages 1534-1560, December.
    31. Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
    32. Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2018. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution," Papers 1811.05524, arXiv.org.
    33. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    34. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, August.
    35. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
    36. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    37. Saerom Park & Jaewook Lee & Youngdoo Son, 2016. "Predicting Market Impact Costs Using Nonparametric Machine Learning Models," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.
    38. Alexander Weiss, 2009. "Executing large orders in a microscopic market model," Papers 0904.4131, arXiv.org, revised Jan 2010.
    39. Yi Li & Ju’e Guo & Kin Keung Lai & Jinzhao Shi, 2022. "Optimal portfolio liquidation with cross-price impacts on trading," Operational Research, Springer, vol. 22(2), pages 1083-1102, April.
    40. Oehmke, Martin, 2014. "Liquidating illiquid collateral," Journal of Economic Theory, Elsevier, vol. 149(C), pages 183-210.
    41. Alexander Weiss, 2008. "Escaping the Brownian stalkers," Papers 0803.3590, arXiv.org.
    42. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2010. "Optimal Portfolio Liquidation with Distress Risk," Management Science, INFORMS, vol. 56(11), pages 1997-2014, November.
    43. Weston Barger & Matthew Lorig, 2019. "Optimal Liquidation Under Stochastic Price Impact," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-28, March.
    44. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
    45. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009. "On the Scholes Liquidation Problem," NBER Working Papers 15381, National Bureau of Economic Research, Inc.
    46. Michael J. O'Neill & Geoffrey J. Warren, 2019. "Evaluating fund capacity: issues and methods," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 773-800, April.
    47. Xiaodong Li & Pangjing Wu & Chenxin Zou & Qing Li, 2022. "Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization," Papers 2212.14670, arXiv.org.
    48. Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
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    50. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
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  12. Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.

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    1. Inekwe, John Nkwoma, 2020. "Liquidity connectedness and output synchronisation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    2. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
    3. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 208-220.
    4. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
    5. Norman Strong, 2003. "Discussion of Contrarian Investment and Macroeconomic Risk," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 257-262, January.
    6. Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
    7. Rapheedah Musneh & Mohd. Rahimie Abdul Karim & Caroline Geetha A/P Arokiadasan Baburaw, 2021. "Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
    8. Moshirian, Fariborz & Qian, Xiaolin & Wee, Claudia Koon Ghee & Zhang, Bohui, 2017. "The determinants and pricing of liquidity commonality around the world," Journal of Financial Markets, Elsevier, vol. 33(C), pages 22-41.
    9. Sergio Bianchi & Massimiliano Frezza, 2018. "Liquidity, Efficiency and the 2007-2008 Global Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 375-404, November.
    10. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    11. Ignacio Arango & Diego A. Agudelo, 2017. "How does information disclosure affect liquidity?Evidence from an Emerging Market," Documentos de Trabajo de Valor Público 16990, Universidad EAFIT.
    12. Gao, Xing & Ladley, Daniel, 2022. "Statistical arbitrage and risk contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    13. Cui, Wei, 2016. "Monetary–fiscal interactions with endogenous liquidity frictions," European Economic Review, Elsevier, vol. 87(C), pages 1-25.
    14. Emilios C. C Galariotis & Evangelos Giouvris, 2015. "On the stock market liquidity and the business cycle: A multi country approach," Post-Print hal-01119042, HAL.
    15. Chuliá, Helena & Koser, Christoph & Uribe, Jorge M., 2020. "Uncovering the time-varying relationship between commonality in liquidity and volatility," International Review of Financial Analysis, Elsevier, vol. 69(C).
    16. Zintle Twala & Riza Demirer & Rangan Gupta, 2018. "Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities," Journal of Economics and Behavioral Studies, AMH International, vol. 10(2), pages 120-132.
    17. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    18. Nyborg, Kjell & Fecht, Falko & Rocholl, Jörg, 2010. "The Price of Liquidity: Bank Characteristics and Market Conditions," CEPR Discussion Papers 7794, C.E.P.R. Discussion Papers.
    19. Klein, Olga & Song, Shiyun, 2021. "Commonality in intraday liquidity and multilateral trading facilities: Evidence from Chi-X Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    20. Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
    21. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    22. Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2017. "Commonality in Liquidity and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 55(1), pages 65-105, July.
    23. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
    24. Gaurav Kumar & Arun Kumar Misra & Abhay Pant & Molla Ramizur Rahman, 2024. "Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks," Global Business Review, International Management Institute, vol. 25(2), pages 302-322, April.
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    91. Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.
    92. Joanna Olbry�, 2014. "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 513�536-5.
    93. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
    94. Byomakesh Debata & Jitendra Mahakud, 2018. "Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 12(4), pages 387-413, November.
    95. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
    96. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School.
    97. Chitru S. Fernando, 2002. "Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities," Center for Financial Institutions Working Papers 02-43, Wharton School Center for Financial Institutions, University of Pennsylvania.
    98. Chacko, George & Das, Sanjiv & Fan, Rong, 2016. "An index-based measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 162-178.
    99. Sensoy, Ahmet, 2019. "Commonality in ask-side vs. bid-side liquidity," Finance Research Letters, Elsevier, vol. 28(C), pages 198-207.
    100. Bank for International Settlements, 2014. "Market-making and proprietary trading: industry trends, drivers and policy implications," CGFS Papers, Bank for International Settlements, number 52, december.
    101. Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
    102. 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 qt6z81z2wc, Anderson Graduate School of Management, UCLA.
    103. Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500.
    104. Parida, Sitikantha & Teo, Terence, 2018. "The impact of more frequent portfolio disclosure on mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 427-445.
    105. Gibson, Rajna & Mougeot, Nicolas, 2004. "The pricing of systematic liquidity risk: Empirical evidence from the US stock market," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 157-178, January.
    106. Sensoy, Ahmet, 2016. "Commonality in liquidity: Effects of monetary policy and macroeconomic announcements," Finance Research Letters, Elsevier, vol. 16(C), pages 125-131.
    107. He, Peng William & Jarnecic, Elvis & Liu, Yubo, 2015. "The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X," Journal of Financial Markets, Elsevier, vol. 22(C), pages 27-49.
    108. Chiu, Yen-Chen, 2020. "Macroeconomic uncertainty, information competition, and liquidity," Finance Research Letters, Elsevier, vol. 34(C).
    109. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
    110. Ying Chen & Wee Song Chua & Wolfgang Karl Härdle, 2019. "Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1473-1489, September.
    111. Chung, Kee H. & Chuwonganant, Chairat, 2014. "Uncertainty, market structure, and liquidity," Journal of Financial Economics, Elsevier, vol. 113(3), pages 476-499.
    112. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York.
    113. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
    114. Bai, Min & Qin, Yafeng, 2015. "Commonality in liquidity in emerging markets: Another supply-side explanation," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 90-106.
    115. Jelena Z. Minović & Boško R. Živković, 2010. "Open Issues In Testing Liquidity In Frontier Financial Markets: The Case Of Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 55(185), pages 33-62, April - J.
    116. Chen, Jiayuan & Gong, Di & Muckley, Cal, 2020. "Stock market illiquidity, bargaining power and the cost of borrowing," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 181-206.
    117. Glenn Boyle & Sanghyun Hong, 2020. "Systematic Liquidity Risk Premia," Working Papers in Economics 20/15, University of Canterbury, Department of Economics and Finance.
    118. Abhinava Tripathi & Vipul & Alok Dixit, 2020. "Liquidity commonality beyond best prices: Indian evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 355-373, July.
    119. Hryckiewicz, Aneta & Kozlowski, Lukasz, 2018. "The consequences of liquidity imbalance: When net lenders leave interbank markets," Journal of Financial Stability, Elsevier, vol. 36(C), pages 82-97.
    120. Qi Deng & Zhong-guo Zhou, 2024. "Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets," Papers 2404.07222, arXiv.org, revised Apr 2024.
    121. 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 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    122. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    123. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.
    124. Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
    125. Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
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    129. Peranginangin, Yessy & Ali, Akbar Z. & Brockman, Paul & Zurbruegg, Ralf, 2016. "The impact of foreign trades on emerging market liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 1-16.
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    135. Richter, Thomas Julian, 2022. "Liquidity commonality in sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 501-518.
    136. Lin, Zih-Ying & Chang, Chuang-Chang & Wang, Yaw-Huei, 2018. "The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 152-165.
    137. Marcelo Brutti Righi & Kelmara Mendes Vieira & Daniel Arruda Coronel & Reisoli Bender Filho & Paulo Sergio Ceretta, 2014. "Decomposing the bid-ask spread in the Brazilian market: an intraday framework," Economics Bulletin, AccessEcon, vol. 34(3), pages 2010-2023.
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    139. Lambertides, Neophytos & Savva, Christos S. & Tsouknidis, Dimitris A., 2017. "The effects of oil price shocks on U.S. stock order flow imbalances and stock returns," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 137-146.
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  13. Goetzmann, W.N. & Greenward, B. & Huberman, G., 1992. "Market Response to Mutual Fund Performance," Papers 92-25, Columbia - Graduate School of Business.

    Cited by:

    1. Ciccotello, Conrad S. & Grant, C. Terry, 1996. "Equity fund size and growth: Implications for performance and selection," Financial Services Review, Elsevier, vol. 5(1), pages 1-12.
    2. R. Anton Braun & Arijit Mukherji & David E. Runkle, 1996. "Delayed financial disclosure: Mexico's recent experience," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 20(Fall), pages 13-21.

  14. Huberman, G. & Kandel, S., 1991. "On the Incentives for Money Nanagers: A Signalling Approach," Papers 92-16, Columbia - Graduate School of Business.

    Cited by:

    1. Huddart, Steven, 1999. "Reputation and performance fee effects on portfolio choice by investment advisers1," Journal of Financial Markets, Elsevier, vol. 2(3), pages 227-271, August.
    2. Citci, Haluk & Inci, Eren, 2012. "The Masquerade Ball of the CEOs and the Mask of Excessive Risk," MPRA Paper 35979, University Library of Munich, Germany.
    3. Sokolovskyi, Dmytro, 2018. "The factors inefficient allocation of investment between economies," MPRA Paper 87032, University Library of Munich, Germany.
    4. Stracca, Livio, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 520, European Central Bank.
    5. García, Diego & Vanden, Joel M., 2009. "Information acquisition and mutual funds," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1965-1995, September.
    6. Sokolovska, Olena & Sokolovskyi, Dmytro, 2012. "Genesis of market failure of adverse-selection-type in problem of effective capital allocation," MPRA Paper 41868, University Library of Munich, Germany.
    7. Judy Qiu & Leilei Tang & Ingo Walter, 2018. "Hedge fund incentives, management commitment and survivorship," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 115-142, May.
    8. Ping Hu & Jayant Kale & Ajay Subramanian, 2003. "Compensation, Career Concerns, and Relative Risk Choices by Mutual Fund Managers: Theory and Evidence," Levine's Bibliography 666156000000000349, UCLA Department of Economics.
    9. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
    10. Saltuk Ozerturk, 2004. "Equilibrium Incentives to Acquire Precise Information in Delegated Portfolio Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 25(1), pages 25-36, February.

Articles

  1. Gur Huberman & Jacob D. Leshno & Ciamac Moallemi, 2019. "An Economist's Perspective on the Bitcoin Payment System," AEA Papers and Proceedings, American Economic Association, vol. 109, pages 93-96, May.

    Cited by:

    1. Jiang, Shangrong & Li, Yuze & Wang, Shouyang & Zhao, Lin, 2022. "Blockchain competition: The tradeoff between platform stability and efficiency," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1084-1097.
    2. Brunnermeier, Markus & Abadi, Joseph, 2018. "Blockchain Economics," CEPR Discussion Papers 13420, C.E.P.R. Discussion Papers.
    3. Chen, Yan & Bellavitis, Cristiano, 2020. "Blockchain disruption and decentralized finance: The rise of decentralized business models," Journal of Business Venturing Insights, Elsevier, vol. 13(C).
    4. Prateek Saxena, 2020. "Comments on “Cellular Structure for a Digital Fiat Currency” — Cellular DFC Design: Technological Perspectives," World Scientific Book Chapters, in: Bernard Yeung (ed.), DIGITAL CURRENCY ECONOMICS AND POLICY, chapter 11, pages 103-109, World Scientific Publishing Co. Pte. Ltd..

  2. Gur Huberman & Tobias Konitzer & Masha Krupenkin & David Rothschild & Shawndra Hill, 2018. "Economic Expectations, Voting, and Economic Decisions around Elections," AEA Papers and Proceedings, American Economic Association, vol. 108, pages 597-602, May.

    Cited by:

    1. Alexander Maas & Liang Lu, 2021. "Elections have Consequences: Partisan Politics may be Literally Killing Us," Applied Health Economics and Health Policy, Springer, vol. 19(1), pages 45-56, January.
    2. David Mitchell, 2023. "Covid-19 and the 2020 presidential election," Constitutional Political Economy, Springer, vol. 34(2), pages 188-209, June.
    3. Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan Simester, 2022. "Belief Disagreement and Portfolio Choice," Journal of Finance, American Finance Association, vol. 77(6), pages 3191-3247, December.

  3. Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011. "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, vol. 101(3), pages 574-595, September.
    See citations under working paper version above.
  4. Dorn, Daniel & Huberman, Gur, 2010. "Preferred risk habitat of individual investors," Journal of Financial Economics, Elsevier, vol. 97(1), pages 155-173, July.
    See citations under working paper version above.
  5. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008. "Correlated Trading and Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 885-920, April.
    See citations under working paper version above.
  6. Gur Huberman & Sheena Iyengar & Wei Jiang, 2007. "Defined Contribution Pension Plans: Determinants of Participation and Contributions Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 31(1), pages 1-32, February.

    Cited by:

    1. Renuka Sane & Susan Thomas, 2013. "In search of inclusion: informal sector participation in a voluntary, defined contribution pension system," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    2. Kevin X. D. Huang & Frank Caliendo, 2011. "Rationalizing Multiple Consumption-Saving Puzzles in a Unified Framework," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 6(3), pages 359-388, September.
    3. Giovanni Gallo & Costanza Torricelli & Arthur van Soest, 2016. "Individual heterogeneity and pension choices: How to communicate an effective message?," Center for the Analysis of Public Policies (CAPP) 0136, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    4. Nicolas Aubert, 2006. "Understanding Employer's Stock Holdings in the French Company Savings Plans Using the Literature on the American 401(k) plans," Post-Print halshs-00188518, HAL.
    5. Cardella, Eric & Kalenkoski, Charlene M. & Parent, Michael, 2018. "Less Is Not More: Information Presentation Complexity and 401(k) Planning Choices," IZA Discussion Papers 11538, Institute of Labor Economics (IZA).
    6. Metrick, Andrew & Laibson, David I. & Choi, James J. & Madrian, Brigitte, 2009. "Reinforcement Learning and Savings Behavior," Scholarly Articles 4686777, Harvard University Department of Economics.
    7. Justin Falk & Nadia Karamcheva, 2019. "The Effect of the Employer Match and Defaults on Federal Workers’ Savings Behavior in the Thrift Savings Plan: Working Paper 2019-06," Working Papers 55447, Congressional Budget Office.
    8. Jeffrey R. Brown & Nellie Liang & Scott Weisbenner, 2007. "Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans," NBER Working Papers 13169, National Bureau of Economic Research, Inc.
    9. Karamcheva, Nadia S & Sanzenbacher, Geoffrey, 2013. "Bridging the Gap in Pension Participation: How Much Can Universal Tax-Deferred Pension Coverage Hope to Achieve?," IZA Discussion Papers 7518, Institute of Labor Economics (IZA).
    10. Mitchell, O.S. & Piggott, J., 2016. "Workplace-Linked Pensions for an Aging Demographic," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 865-904, Elsevier.
    11. Ahrens, Carolin & Oehmichen, Jana & Wolff, Michael, 2018. "Expatriates as influencers in global work arrangements: Their impact on foreign-subsidiary employees’ ESOP participation," Journal of World Business, Elsevier, vol. 53(4), pages 452-462.
    12. Keenan Dworak-Fisher, 2011. "Matching Matters in 401(k) Plan Participation," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 50(4), pages 713-737, October.
    13. Mitchell, Olivia S. & Utkus, Stephen P. & Yang, Tongxuan (Stella), 2007. "Turning Workers Into Savers? Incentives, Liquidity, and Choice in 401(K) Plan Design," National Tax Journal, National Tax Association;National Tax Journal, vol. 60(3), pages 469-489, September.
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    15. Johannes Hagen & Daniel Hallberg & Gabriella Sjögren, 2022. "A Nudge to Quit? The Effect of a Change in Pension Information on Annuitisation, Labour Supply and Retirement Choices Among Older Workers," The Economic Journal, Royal Economic Society, vol. 132(643), pages 1060-1094.
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    Cited by:

    1. Korniotis, George & Bonaparte, Yosef & Kumar, Alok, 2020. "Income Risk and Stock Market Entry/Exit Decisions," CEPR Discussion Papers 15370, C.E.P.R. Discussion Papers.
    2. Cardella, Eric & Kalenkoski, Charlene M. & Parent, Michael, 2018. "Less Is Not More: Information Presentation Complexity and 401(k) Planning Choices," IZA Discussion Papers 11538, Institute of Labor Economics (IZA).
    3. William F. Johnson & Ha-Chin Yi, 2017. "Do target date mutual funds meet their targets?," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 566-579, December.
    4. Jeffrey R. Brown & Nellie Liang & Scott Weisbenner, 2007. "Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans," NBER Working Papers 13169, National Bureau of Economic Research, Inc.
    5. Nittai K. Bergman & Dirk Jenter, 2005. "Employee Sentiment and Stock Option Compensation," NBER Working Papers 11409, National Bureau of Economic Research, Inc.
    6. Tang, Ning & Mitchell, Olivia S. & Mottola, Gary R. & Utkus, Stephen P., 2010. "The efficiency of sponsor and participant portfolio choices in 401(k) plans," Journal of Public Economics, Elsevier, vol. 94(11-12), pages 1073-1085, December.
    7. Mathias Kronlund & Veronika K. Pool & Clemens Sialm & Irina Stefanescu, 2020. "Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations," NBER Working Papers 27573, National Bureau of Economic Research, Inc.
    8. Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
    9. Elton, Edwin J. & Gruber, Martin J. & Blake, Christopher R., 2006. "The adequacy of investment choices offered by 401(k) plans," Journal of Public Economics, Elsevier, vol. 90(6-7), pages 1299-1314, August.
    10. Thomas Steinberger, 2005. "Pension benefit default risk and welfare effects of funding regulation," CSEF Working Papers 147, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
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    15. Bahaji, Hamza & Casta, Jean-François, 2016. "Employee stock option-implied risk attitude under Rank-Dependent Expected Utility," Economic Modelling, Elsevier, vol. 52(PA), pages 144-154.
    16. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
    17. Massa, Massimo & Simonov, Andrei & Stenkrona, Anders, 2015. "Style representation and portfolio choice," Journal of Financial Markets, Elsevier, vol. 23(C), pages 1-25.
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    21. Chen, Hsuan-Chi & Lai, Christine W. & Wu, Sheng-Ching, 2016. "Mutual fund selection and performance persistence in 401(k) Plans," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 78-100.
    22. Djaoudath Alidou, 2011. "Les augmentations de capital réservées aux salariés en France - Employee Equity Issue:Evidence from France," Working Papers CREGO 1110603, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    23. Mao, Mike Qinghao & Wong, Ching Hin, 2022. "Managerial commitment and heterogeneity in target-date funds," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 1-19.
    24. Ning Tang & Olivia S. Mitchell, 2008. "The Efficiency of Pension Plan Investment Menus: Investment Choices in Defined Contribution Pension Plans," Working Papers wp176, University of Michigan, Michigan Retirement Research Center.

  12. Gur Huberman & Werner Stanzl, 2004. "Price Manipulation and Quasi-Arbitrage," Econometrica, Econometric Society, vol. 72(4), pages 1247-1275, July.

    Cited by:

    1. Sim, Min Kyu & Deng, Shijie, 2020. "Estimation of level-I hidden liquidity using the dynamics of limit order-book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
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    3. Xiangge Luo & Alexander Schied, 2018. "Nash equilibrium for risk-averse investors in a market impact game with transient price impact," Papers 1807.03813, arXiv.org, revised Jun 2019.
    4. Nico Achtsis & Dirk Nuyens, 2013. "A Monte Carlo method for optimal portfolio executions," Papers 1312.5919, arXiv.org.
    5. Shino Takayama & Han Ozsoylev, 2005. "Price, Trade Size, and Information Revelation in Multi-Period Securities Markets," Finance 0510031, University Library of Munich, Germany.
    6. Florian Klock & Alexander Schied & Yuemeng Sun, 2012. "Price manipulation in a market impact model with dark pool," Papers 1205.4008, arXiv.org, revised May 2014.
    7. Aurélien Alfonsi & Alexander Schied, 2010. "Optimal trade execution and absence of price manipulations in limit order book models," Post-Print hal-00397652, HAL.
    8. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
    10. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    11. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008. "Correlated Trading and Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 885-920, April.
    12. Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
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    16. Shino Takayama, 2020. "Price Manipulation, Dynamic Informed Trading, and the Uniqueness of Equilibrium in Sequential Trading," Discussion Papers Series 621, School of Economics, University of Queensland, Australia.
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    Cited by:

    1. Anna Faelten & Miles Gietzmann & Valeriya Vitkova, 2014. "Naked M&A Transactions: How the Lack of Local Expertise in Cross-Border Deals Can Negatively Affect Acquirer Performance – and How Informed Institutional Investors can Mitigate This Effect," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(3-4), pages 469-506, April.
    2. Marc Correa & Lucinio González-Sabaté & Ignacio Serrano, 2013. "Home bias effect in the management literature," Scientometrics, Springer;Akadémiai Kiadó, vol. 95(1), pages 417-433, April.
    3. Dähler, Timo, 2020. "Bias or ignorance? The politics and economics behind sovereign credit ratings," MPRA Paper 103965, University Library of Munich, Germany.
    4. Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
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    5. Herjuna Qobush Izzahdi & Ani Wilujeng Suryani, 2023. "COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 117-135.
    6. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021. "The Voice of Monetary Policy," Discussion Papers 21-02, Department of Economics, University of Birmingham.
    7. Yuan, Yu, 2015. "Market-wide attention, trading, and stock returns," Journal of Financial Economics, Elsevier, vol. 116(3), pages 548-564.
    8. Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat, 2020. "Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis," Risks, MDPI, vol. 9(1), pages 1-15, December.
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    10. Nian Li & Chunling Li & Runsen Yuan & Muhammad Asif Khan & Xiaoran Sun & Nosherwan Khaliq, 2021. "Investor Attention and Corporate Innovation Performance: Evidence from Web Search Volume Index of Chinese Listed Companies," Mathematics, MDPI, vol. 9(9), pages 1-23, April.
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    27. Quoc-Anh Do & Roberto Galbiati & Benjamin Marx & Miguel Ortiz Serrano, 2020. "J'Accuse! Antisemitism and Financial Markets in the Time of the Dreyfus Affair," Sciences Po Economics Discussion Papers 2020-08, Sciences Po Departement of Economics.
    28. Wen, Fenghua & Xu, Longhao & Ouyang, Guangda & Kou, Gang, 2019. "Retail investor attention and stock price crash risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 65(C).
    29. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
    30. Smales, L.A., 2021. "Investor attention and global market returns during the COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 73(C).
    31. Yajie Chen & Qinlin Zhong & Fuxiu Jiang, 2020. "The capital market spillover effect of product market advertising: Evidence from stock price synchronicity," Frontiers of Business Research in China, Springer, vol. 14(1), pages 1-21, December.
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    34. Wagner, Alexander F. & Ramelli, Stefano, 2020. "Feverish Stock Price Reactions to COVID-19," CEPR Discussion Papers 14511, C.E.P.R. Discussion Papers.
    35. Gur Huberman & Simon Gilchrist & Charles Himmelberg, 2004. "Do Stock Price Bubbles Influence Corporate Investment?," 2004 Meeting Papers 147, Society for Economic Dynamics.
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    37. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
    38. Yi Dong & Chenkai Ni, 2014. "Does Limited Attention Constrain Investors’ Acquisition of Firm-specific Information?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1361-1392, November.
    39. Campbell, Gareth & Turner, John D. & Walker, Clive B., 2012. "The role of the media in a bubble," Explorations in Economic History, Elsevier, vol. 49(4), pages 461-481.
    40. Rizova, Savina, 2013. "Trade momentum," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 258-293.
    41. Songur, Hilmi & Heavilin, Jason E., 2017. "Abnormal research and development investments and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 237-249.
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    2. Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, LAR Center Press, vol. 3(7), pages 84-102, July.
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  21. Huberman, Gur & Kahn, Charles M, 1988. "Limited Contract Enforcement and Strategic Renegotiation," American Economic Review, American Economic Association, vol. 78(3), pages 471-484, June.

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    7. Bengtsson, Niklas, 2011. "Regulation Failure and CO2-emissions: An Experimental Investigation of the Cape Town Taxi Market," Working Paper Series, Center for Labor Studies 2011:13, Uppsala University, Department of Economics, revised 12 Aug 2013.
    8. Gilliland, David I. & Rudd, John M., 2013. "Control of electronic channel affiliates: An exploratory study and research propositions," Journal of Business Research, Elsevier, vol. 66(12), pages 2650-2656.
    9. Schmitz, Patrick W., 2017. "Incomplete Contracts, Shared Ownership, and Investment Incentives," CEPR Discussion Papers 12258, C.E.P.R. Discussion Papers.
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    12. Kauffman, Kyle D. & Cribari-Neto, Francisco, 1995. "To pay or not to pay: Positive incentives as a calibrating device in the white indenture system," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(3), pages 257-269.
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    14. Squintani, Francesco, 2003. "Moral hazard, renegotiation, and forgetfulness," Games and Economic Behavior, Elsevier, vol. 44(1), pages 98-113, July.
    15. Freudenberg, Felix & Imbierowicz, Björn & Saunders, Anthony & Steffen, Sascha, 2017. "Covenant violations and dynamic loan contracting," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 540-565.
    16. Bengtsson, Niklas, 2015. "Efficient informal trade: Theory and experimental evidence from the Cape Town taxi market," Journal of Development Economics, Elsevier, vol. 115(C), pages 85-98.
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    18. Sander, Birgit, 1998. "Strategisches Nachverhandeln zur Lösung von Anreizproblemen in unvollständigen Verträgen am Beispiel der Wohnungsprivatisierung nach dem Altschuldenhilfegesetz," Kiel Working Papers 901, Kiel Institute for the World Economy (IfW Kiel).
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    7. Nikolaev, Valeri V., 2018. "Scope for renegotiation in private debt contracts," Journal of Accounting and Economics, Elsevier, vol. 65(2), pages 270-301.
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  25. Huberman, Gur & Kandel, Shmuel, 1987. "Value Line Rank and Firm Size," The Journal of Business, University of Chicago Press, vol. 60(4), pages 577-589, October.

    Cited by:

    1. Schmidt, Reinhart, 1989. "Rating börsennotierter Unternehmen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 232, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    2. Gur Huberman & Dominika Halka, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
    3. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
    4. Szakmary, Andrew C. & Conover, C. Mitchell & Lancaster, Carol, 2008. "An examination of Value Line's long-term projections," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 820-833, May.
    5. Lawrence D. Brown & Gordon D. Richardson & Charles A. Trzcinka, 1990. "Strong†form efficiency on the Toronto Stock Exchange: An examination of analyst price forecasts," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 323-346, September.
    6. Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
    7. Nandkumar Nayar & Ajai Singh & Wen Yu, 2011. "Unraveling a puzzle: the case of value line timeliness rank upgrades," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 379-409, December.
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    9. Bandyopadhyay, Sati P. & Brown, Lawrence D. & Richardson, Gordon D., 1995. "Analysts' use of earnings forecasts in predicting stock returns: Forecast horizon effects," International Journal of Forecasting, Elsevier, vol. 11(3), pages 429-445, September.

  26. Huberman, Gur & Kandel, Shmuel, 1987. "Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-888, September.

    Cited by:

    1. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
    2. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
    3. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    4. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
    5. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
    6. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
    7. Balbás, Alejandro & Laborda Herrero, Ricardo, 2017. "Interest Rate Future Quality Options and Negative Interest Rates," INDEM - Working Paper Business Economic Series 24859, Instituto para el Desarrollo Empresarial (INDEM).
    8. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
    9. Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers 539, China Economics and Management Academy, Central University of Finance and Economics.
    10. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023. "Factor mimicking portfolios for climate risk," ECON - Working Papers 429, Department of Economics - University of Zurich, revised Mar 2024.
    11. Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001. "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series wpie006, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
    12. Chen, Hsuan-Chi & Ho, Keng-Yu, 2009. "Do IPO index portfolios improve the investment opportunities for mean-variance investors?," Finance Research Letters, Elsevier, vol. 6(3), pages 159-170, September.
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    7. João Pedro Pereira & António Rua, 2018. "Asset Pricing with a Bank Risk Factor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 993-1032, August.
    8. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
    9. Lubos Pástor & Robert F. Stambaugh, "undated". "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers 04-98, Wharton School Rodney L. White Center for Financial Research.
    10. Andrew W. Lo & A. Craig MacKinlay, 1989. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," NBER Working Papers 3001, National Bureau of Economic Research, Inc.
    11. Mirakhor, Abbas, 2012. "Islamic Finance, Risk Sharing and Macroeconomic Policies," MPRA Paper 56338, University Library of Munich, Germany.
    12. Abbas Mirakhor, 2014. "Foundations of risk-sharing finance: an Islamic view," Chapters, in: Mervyn K. Lewis & Mohamed Ariff & Shamsher Mohamad (ed.), Risk and Regulation of Islamic Banking, chapter 6, pages 107-128, Edward Elgar Publishing.
    13. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
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    17. Kim, Jinyong & Kim, Kun Ho & Lee, Jeong Hwan, 2021. "Cross-sectional tests of asset pricing models with full-rank mimicking portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
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    24. Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.
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    42. Chaibi Hasna & Ben Naceur Sami, 2010. "The Best Asset Pricing Model for Estimating Industry Costs of Equity in Tunisia," Review of Middle East Economics and Finance, De Gruyter, vol. 5(3), pages 63-90, February.
    43. A. Craig MacKinlay, 1994. "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers 4756, National Bureau of Economic Research, Inc.
    44. Lubos Pastor & Robert F. Stambaugh, "undated". "Comparing Asset Pricing Models: An Investment Perspective," Rodney L. White Center for Financial Research Working Papers 16-99, Wharton School Rodney L. White Center for Financial Research.
    45. Wayne E. Ferson & Dennis H. Locke, 1998. "Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error," Management Science, INFORMS, vol. 44(4), pages 485-500, April.
    46. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2005-04, Federal Reserve Bank of Atlanta.
    47. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    48. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
    49. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    50. Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 353-362.
    51. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
    52. Flannery, Mark J. & Hameed, Allaudeen S. & Harjes, Richard H., 1997. "Asset pricing, time-varying risk premia and interest rate risk," Journal of Banking & Finance, Elsevier, vol. 21(3), pages 315-335, March.
    53. Nadler, Philip & Guo, Yike, 2020. "The fair value of a token: How do markets price cryptocurrencies?," Research in International Business and Finance, Elsevier, vol. 52(C).
    54. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
    55. Balvers, Ronald J. & Huang, Dayong, 2009. "Evaluation of linear asset pricing models by implied portfolio performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1586-1596, September.
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  28. Huberman, Gur & Schwert, G William, 1985. "Information Aggregation, Inflation, and the Pricing of Indexed Bonds," Journal of Political Economy, University of Chicago Press, vol. 93(1), pages 92-114, February.

    Cited by:

    1. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
    2. Malek Lashgari, 2000. "Information content of U.S. treasury inflation-indexed bonds," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(3), pages 520-530, August.
    3. John Ammer, 1994. "Inflation, inflation risk, and stock returns," International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System (U.S.).
    4. Manuel Lobato Osario, 2004. "Insider Trading At The Mexican Stock Exchange: Evidence From Data Augmentation," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(2), pages 169-222, Junio 200.
    5. Thomas Gilbert & Shimon Kogan & Lars Lochstoer & Ataman Ozyildirim, 2007. "Investor Inattention and the Market Impact of Summary Statistics," GSIA Working Papers 2006-E24, Carnegie Mellon University, Tepper School of Business.
    6. Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 1998. "When an event is not an event: The curious case of an emerging market," CFS Working Paper Series 1998/12, Center for Financial Studies (CFS).
    7. Mucahit Kochan & Cigdem Gonul Kochan, 2024. "Impact of US Trade with China on Shareholders’ Wealth: Insights from Shipment Data in the COVID-19 Era," Economies, MDPI, vol. 12(3), pages 1-13, March.
    8. Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity," MPRA Paper 34725, University Library of Munich, Germany.
    9. Subhani, Muhammad Imtiaz & Osman, Amber & Gul, Ameet, 2010. "Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data," MPRA Paper 26375, University Library of Munich, Germany, revised 02 Nov 2010.
    10. Daniel C. L. Hardy, 2022. "Alternatives in the Design of Sovereign Green Bonds," wiiw Policy Notes 62, The Vienna Institute for International Economic Studies, wiiw.
    11. Ayelet Balsam & Shmuel Kandel & Ori Levy, "undated". "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research.
    12. John Ammer, 1993. "Macroeconomic risk and asset pricing: estimating the apt with observable factors," International Finance Discussion Papers 448, Board of Governors of the Federal Reserve System (U.S.).
    13. Brennan, Michael J. & Xia, Yihong, 2005. "tay's as good as cay," Finance Research Letters, Elsevier, vol. 2(1), pages 1-14, March.
    14. Anderson, Christopher W., 1999. "Financial contracting under extreme uncertainty:: an analysis of Brazilian corporate debentures," Journal of Financial Economics, Elsevier, vol. 51(1), pages 45-84, January.
    15. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    16. Kahn, Michael & Kandel, Shmuel & Sarig, Oded, 2002. "Real and nominal effects of central bank monetary policy," Journal of Monetary Economics, Elsevier, vol. 49(8), pages 1493-1519, November.

  29. Huberman, Gur, 1984. "Capital asset pricing in an overlapping generations model," Journal of Economic Theory, Elsevier, vol. 33(2), pages 232-248, August.

    Cited by:

    1. Karp, Larry S. & Rezai, Amon, 2012. "The Political economy of environmental policy with overlapping generations," CUDARE Working Papers 123718, University of California, Berkeley, Department of Agricultural and Resource Economics.
    2. Karp, Larry & Rezai, Armon, 2017. "Asset prices and climate policy," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt6fx579fp, Department of Agricultural & Resource Economics, UC Berkeley.

  30. Huberman, Gur, 1984. "External Financing and Liquidity," Journal of Finance, American Finance Association, vol. 39(3), pages 895-908, July.

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    1. Manish Gupta, 2011. "Dividends and Cost of Capital - An Empirical Study on REITs," ERES eres2011_56, European Real Estate Society (ERES).
    2. Chase P. Ross & Landon J. Ross, 2022. "Cash-Hedged Stock Returns," Finance and Economics Discussion Series 2022-055, Board of Governors of the Federal Reserve System (U.S.).
    3. Bhattacharya, Sudipto & Nyborg, Kjell, 2010. "Bank Bailout Menus," CEPR Discussion Papers 7906, C.E.P.R. Discussion Papers.
    4. Arnold, Marc, 2014. "Managerial cash use, default, and corporate financial policies," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 305-325.
    5. Kjell G. Nyborg & Zexi Wang, 2019. "The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motive," Swiss Finance Institute Research Paper Series 19-30, Swiss Finance Institute, revised Dec 2020.
    6. Almeida, Heitor & Campello, Murillo & Weisbach, Michael S., 2011. "Corporate financial and investment policies when future financing is not frictionless," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 675-693, June.
    7. Stewart C. Myers & Raghuram G. Rajan, 1995. "The Paradox of Liquidity," NBER Working Papers 5143, National Bureau of Economic Research, Inc.
    8. Steven Fazzari & R. Glenn Hubbard & Bruce C. Petersen, 1987. "Financing Constraints and Corporate Investment," NBER Working Papers 2387, National Bureau of Economic Research, Inc.
    9. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
    10. Nyborg, Kjell & Wang, Zexi, 2019. "Corporate cash holdings: Stock liquidity and the repurchase motive," CEPR Discussion Papers 13791, C.E.P.R. Discussion Papers.
    11. Palazzo, Berardino, 2012. "Cash holdings, risk, and expected returns," Journal of Financial Economics, Elsevier, vol. 104(1), pages 162-185.
    12. Bing Wang & Kung‐Cheng Ho & Xinyu Liu & Yan Gu, 2022. "Industry cash flow volatility and stock price crash risk," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(2), pages 356-371, March.
    13. Zélia Serrasqueiro & Paulo Maçãs Nunes, 2008. "Performance and size: empirical evidence from Portuguese SMEs," Small Business Economics, Springer, vol. 31(2), pages 195-217, August.
    14. Hobdari, Bersant & Jones, Derek C. & Mygind, Niels, 2009. "Capital investment and determinants of financial constraints in Estonia," Economic Systems, Elsevier, vol. 33(4), pages 344-359, December.

  31. Huberman, Gur & Ross, Stephen, 1983. "Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions," Econometrica, Econometric Society, vol. 51(5), pages 1345-1361, September.

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    1. Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
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    6. Asimit, Alexandru V. & Boonen, Tim J. & Chi, Yichun & Chong, Wing Fung, 2021. "Risk sharing with multiple indemnity environments," European Journal of Operational Research, Elsevier, vol. 295(2), pages 587-603.
    7. Tan, Ken Seng & Wei, Pengyu & Wei, Wei & Zhuang, Sheng Chao, 2020. "Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle," European Journal of Operational Research, Elsevier, vol. 282(1), pages 345-362.
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    Cited by:

    1. Chakravarty, A. K. & Orlin, James B., 1953-. & Rothblum, U. G., 1982. "Consecutive optimizors for a partitioning problem with applications to optimal inventory groupings for joint replenishment," Working papers 1383-82., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Huang, Rongbing & Menezes, Mozart B.C. & Kim, Seokjin, 2012. "The impact of cost uncertainty on the location of a distribution center," European Journal of Operational Research, Elsevier, vol. 218(2), pages 401-407.
    3. Konstantaras, Ioannis & Skouri, Konstantina & Benkherouf, Lakdere, 2021. "Optimizing inventory decisions for a closed–loop supply chain model under a carbon tax regulatory mechanism," International Journal of Production Economics, Elsevier, vol. 239(C).

Chapters

  1. Gur Huberman, 2005. "A Simple Approach to Arbitrage Pricing Theory," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 9, pages 289-308, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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