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Anna Pavlova

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. Bryzgalova, Svetlana & Pavlova, Anna & Sikorskaya, Taisiya, 2022. "Retail Trading in Options and the Rise of the Big Three Wholesalers," CEPR Discussion Papers 17688, Centre for Economic Policy Research.

    Cited by:

    1. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2026. "Retail option traders and the implied volatility surface," Journal of Financial Economics, Elsevier, vol. 177(C).
    2. Nina Klocke & Matthias Pelster, 2026. "Inside the mind of retail short sellers," Review of Derivatives Research, Springer, vol. 29(1), pages 1-49, December.
    3. Kim, Jinhwan & Cho, Hoon & Seok, Sangik, 2026. "How trading barriers in underlying markets impact ETF trading and characteristics," Research in International Business and Finance, Elsevier, vol. 81(C).
    4. Nguyen, Van Quoc Thinh, 2026. "Time variation of size premium in the options market," Finance Research Letters, Elsevier, vol. 99(C).
    5. Kim, Da-Hea, 2026. "Does options trading stabilize stock prices? : Evidence from a natural experiment," Journal of Banking & Finance, Elsevier, vol. 185(C).
    6. Leonardo P. Barcellos, 2026. "Overcoming Deceptive Evasions in Earnings Calls: The Role of Investor Suspicion," Management Science, INFORMS, vol. 72(6), pages 5443-5462, June.
    7. Freibauer, Jonas & Grawert, Silja, 2026. "Prolonged Neobroker usage: Analyzing investment behavior and its impact on trading specific financial products," Global Finance Journal, Elsevier, vol. 69(C).
    8. Galvani, Valentina & Razek, Noha A., 2026. "The U.S. shale energy sector navigating domestic policies in a fragmenting global economy," Energy Policy, Elsevier, vol. 210(C).
    9. Triki, Anis & Marquez-Illescas, Gilberto, 2025. "Do investors see the darkness in narcissism?," Advances in accounting, Elsevier, vol. 69(C).
    10. Adam Darmanin, 2026. "Retail Trader's Ruin: An Anatomy of Popular Signal Failure," Papers 2607.20093, arXiv.org.
    11. Babolmorad, N. & Bossaerts, P. & Massoud, N., 2025. "Viral but Vanishing: Investment Advisors, Social Media, and Regulation," Cambridge Working Papers in Economics 2576, Faculty of Economics, University of Cambridge.
    12. Evans, Richard B. & Moussawi, Rabih & Pagano, Michael S. & Sedunov, John, 2026. "Operational shorting and ETF liquidity provision," Journal of Financial Economics, Elsevier, vol. 180(C).
    13. Vacca, Matteo, 2026. "Insider trading with options: Evidence from rank-and-file employees," Journal of Corporate Finance, Elsevier, vol. 98(C).
    14. Flynn, Matthew & Liu, Yifan, 2026. "Gambling on Bitcoin options?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 49(C).
    15. Gordon, Kemar & Schneider, Mark & Strauss, Jack, 2025. "Stock market anomalies in the modern era," Finance Research Letters, Elsevier, vol. 86(PD).
    16. Ma, Jiantao & Zhang, Yuanyi, 2025. "Option price asymmetry, speculation and stock short-sale cost," Journal of Banking & Finance, Elsevier, vol. 180(C).
    17. David Ardia & Clément Aymard & Tolga Cenesizoglu, 2026. "Revisiting Boehmer et al. (2021): recent period, alternative method, different conclusions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 40(2), pages 273-306, June.

  2. Pavlova, Anna & Sikorskaya, Taisiya, 2022. "Benchmarking Intensity," CEPR Discussion Papers 16909, Centre for Economic Policy Research.

    Cited by:

    1. Chen, Huaizhi, 2025. "Diversification driven demand for large stock," Journal of Financial Economics, Elsevier, vol. 172(C).
    2. Chen, Huaizhi & Evans, Richard & Sun, Yang, 2025. "Self-Declared benchmarks and fund manager intent: “Cheating” or competing?," Journal of Financial Economics, Elsevier, vol. 165(C).
    3. Simon Glossner & Pedro Matos & Stefano Ramelli & Alexander F. Wagner, 2025. "Do Institutional Investors Stabilize Equity Markets in Crisis Periods? Evidence from COVID-19," Management Science, INFORMS, vol. 71(10), pages 8623-8641, October.
    4. Xinyu Cui & Olga Kolokolova & Jiaguo (George) Wang, 2024. "On the Other Side of Hedge Fund Equity Trades," Management Science, INFORMS, vol. 70(6), pages 3684-3710, June.
    5. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    6. Giovanni Bonfanti & Juri Marcucci, 2026. "A European safe asset? Not without the investors," Questioni di Economia e Finanza (Occasional Papers) 1010, Bank of Italy, Economic Research and International Relations Area.
    7. Michele Dathan & Sergei Davydenko, 2026. "Debt Issuance in the Era of Passive Investment," Management Science, INFORMS, vol. 72(3), pages 2565-2593, March.
    8. Sheng, Jiliang & Yang, Yanyan & Yang, Jun, 2025. "Optimal delegation contract with portfolio risk," Journal of Banking & Finance, Elsevier, vol. 171(C).
    9. Yin, Wenjing & Wang, Gaomiao & Yu, Yumiao, 2025. "Watchdogs of greenwashing: The role of long-term institutional cross-ownership," Global Finance Journal, Elsevier, vol. 67(C).
    10. Chaudhry, Aditya, 2025. "The impact of prices on analyst cash flow expectations: Reconciling subjective beliefs data with rational discount rate variation," Journal of Financial Economics, Elsevier, vol. 171(C).
    11. Davis, Carter & Kargar, Mahyar & Li, Jiacui, 2025. "Why do portfolio choice models predict inelastic demand?," Journal of Financial Economics, Elsevier, vol. 172(C).
    12. Galindo Gil, Hamilton & Lazo-Paz, Renato, 2025. "An ETF-based measure of stock price fragility," Journal of Financial Markets, Elsevier, vol. 72(C).
    13. Raddatz K., Claudio E., 2025. "Authorized participants’ regulatory constraints and limits to ETF arbitrage during market turmoil Evidence from the dash-for-cash episode," Journal of Banking & Finance, Elsevier, vol. 179(C).
    14. Chinco, Alex & Sammon, Marco, 2024. "The passive ownership share is double what you think it is," Journal of Financial Economics, Elsevier, vol. 157(C).
    15. Bossaerts, Peter & Duffy, John & Rabanal, Jean Paul & Rud, Olga A. & Yadav, Nitin, 2026. "ETF indexing strategies and asset prices: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 241(C).
    16. Aleksandra Rzeźnik, 2026. "Active Liquidity Management, Strategic Complementarities, and Market Price of Liquidity," Management Science, INFORMS, vol. 72(5), pages 4031-4061, May.
    17. Cassella, Stefano & Rizzo, A. Emanuele & Spalt, Oliver G. & Zimmerer, Leah, 2026. "Constrained by law: The impact of fiduciary duties on portfolios and prices in US equity markets," Journal of Financial Economics, Elsevier, vol. 177(C).

  3. Florian Berg & Julian F. Koelbel & Anna Pavlova & Roberto Rigobon, 2022. "ESG Confusion and Stock Returns: Tackling the Problem of Noise," NBER Working Papers 30562, National Bureau of Economic Research, Inc.

    Cited by:

    1. Birindelli, Giuliana & Quas, Anita & Rancan, Michela & Vandone, Daniela, 2025. "How important are ESG ratings for financial institutions? Evidence from corporate leverage ratios across Europe," International Review of Economics & Finance, Elsevier, vol. 102(C).
    2. Koji Takahashi & Sumiko Takaoka, 2023. "How much do firms need to satisfy employees? - Evidence from credit spreads and online employee reviews," BIS Working Papers 1111, Bank for International Settlements.
    3. Li, Hao & Guo, Hui & Hao, Xinyao & Zhang, Xuan, 2023. "The ESG rating, spillover of ESG ratings, and stock return: Evidence from Chinese listed firms," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    4. Xin Li & Yan Ke & Longbing Cao, 2026. "Beyond ESG Scores: Learning Dynamic Constraints for Sequential Portfolio Optimization," Papers 2605.09310, arXiv.org.
    5. Gianluca Gucciardi & Elisa Ossola & Lucia Parisio & Matteo Pelagatti, 2024. "Common factors behind companies' Environmental ratings," Working Papers 536, University of Milano-Bicocca, Department of Economics.
    6. Jin, Yurong & Yan, Jingzhou, 2024. "Sustainable investing with ESG ambiguous information," Economics Letters, Elsevier, vol. 241(C).
    7. Serge Darolles & Yuyi He & Gaëlle Le Fol, 2024. "Understanding the effect of ESG scores on stock returns using mediation theory," Post-Print hal-04594004, HAL.
    8. Fisman, Raymond & Ghosh, Pulak & Sarkar, Arkodipta & Zhang, Jian, 2026. "Dirty air and green investments: The impact of pollution information on portfolio allocations," Journal of Financial Economics, Elsevier, vol. 182(C).
    9. Yinong Liu & Yanying Li & Huiying Chen, 2025. "The Keywords in Corporate Social Responsibility: A Dictionary Construction Method Based on MNIR," Sustainability, MDPI, vol. 17(6), pages 1-23, March.
    10. Massimo Guidolin, Manuela Pedio, 2026. "Biodiversity Risk and Commodity Markets: Evidence, Theory, and an Agenda for Future Research," BAFFI CAREFIN Working Papers 26286, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Gonzalez-Ruiz, Juan David, 2024. "Does sustainability improve financial performance? An analysis of Latin American oil and gas firms," Resources Policy, Elsevier, vol. 88(C).
    12. Roman Kräussl & Tobi Oladiran & Denitsa Stefanova, 2024. "A review on ESG investing: Investors’ expectations, beliefs and perceptions," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 476-502, April.
    13. Konrad Adler & Oliver Rehbein & Matthias Reiner & Jing Zeng, 2026. "Market-Based Green Firms," ECONtribute Discussion Papers Series 421, University of Bonn and University of Cologne, Germany.
    14. Yan, Jingzhou & Shen, Jiahao & Zou, Jin & Zou, Yanchi, 2025. "ESG ratings and attention: The impact on stock market performance," Finance Research Letters, Elsevier, vol. 83(C).
    15. Xiaoquan (Michael) Zhang & DaPeng Xu & Hong Hong & Kalok Chan, 2026. "Attention or Sentiment: How Social Media React to ESG?," Information Systems Research, INFORMS, vol. 37(2), pages 1323-1336, June.
    16. Çiğdem Yerli, 2025. "Evaluating the Impact of ESG and Decarbonization Metrics on Stock Price Prediction," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(SI), pages 252-274.
    17. He, Feng & Duan, Lin & Lucey, Brian & Hao, Jing, 2025. "Biodiversity risk or climate risk? Which factor affects corporate ESG rating divergence," International Review of Financial Analysis, Elsevier, vol. 104(PA).
    18. Yikai Zhao & Jun Nagayasu & Xinyi Geng, 2024. "Measuring Climate Policy Uncertainty with LLMs: New Insights into Corporate Bond Credit Spreads," DSSR Discussion Papers 143, Graduate School of Economics and Management, Tohoku University.
    19. Liu, Dianhao & Zhou, Jun, 2025. "Do ESG rating changes matter? Evidence from Chinese stock market," Global Finance Journal, Elsevier, vol. 67(C).
    20. Wang, Xinyu & Zhao, Jing, 2023. "The green reputation: Corporate culture and environmental reputation risk," Finance Research Letters, Elsevier, vol. 58(PA).
    21. Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    22. Michele Costa, 2023. "The evaluation of the effects of ESG scores on financial markets," Working Papers wp1189, Dipartimento Scienze Economiche, Universita' di Bologna.
    23. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    24. Hou, Xiaojuan & Xie, Guanxia, 2024. "ESG divergence and corporate strategic green patenting," Finance Research Letters, Elsevier, vol. 67(PB).
    25. Lu, Xiaomeng & Zhang, Xianjun & Guo, Fusen & Li, Feng, 2024. "Evaluating ESG Investment Profitability: From the Perspective of Sophistication in Investment Decision-Making," Finance Research Letters, Elsevier, vol. 69(PA).
    26. Xuming Shangguan & Gengyan Shi & Zhou Yu, 2024. "ESG Performance and Enterprise Value in China: A Novel Approach via a Regulated Intermediary Model," Sustainability, MDPI, vol. 16(8), pages 1-18, April.
    27. Lioui, Abraham & Misra, Sanjay, 2026. "Which carbon factor?," Journal of Banking & Finance, Elsevier, vol. 188(C).
    28. Jin, Yurong & Yan, Jingzhou & Yan, Qianhui, 2024. "Unraveling ESG Ambiguity, Price Reaction, and Trading Volume," Finance Research Letters, Elsevier, vol. 61(C).
    29. Ricci, Ornella & Santilli, Gianluca & Scardozzi, Giulia & Stentella Lopes, Francesco Saverio, 2024. "ESG resilience in conflictual times," Research in International Business and Finance, Elsevier, vol. 71(C).

  4. Kashyap, Anil K & Li, Jian & Kovrijnykh, Natalia & Pavlova, Anna, 2021. "Is There Too Much Benchmarking in Asset Management?," CEPR Discussion Papers 16296, Centre for Economic Policy Research.

    Cited by:

    1. Ikeda, Akihiko & Osano, Hiroshi, 2026. "Information capacity investment and financial stability under delegated asset management," Journal of Banking & Finance, Elsevier, vol. 185(C).
    2. Chen, Huaizhi & Evans, Richard & Sun, Yang, 2025. "Self-Declared benchmarks and fund manager intent: “Cheating” or competing?," Journal of Financial Economics, Elsevier, vol. 165(C).
    3. Corum, Adrian Aycan & Malenko, Andrey & Malenko, Nadya, 2020. "Corporate Governance in the Presence of Active and Passive Delegated Investment," OSF Preprints 8n6xj, Center for Open Science.
    4. Kashyap, Anil K & Kovrijnykh, Natalia & Li, Jian & Pavlova, Anna, 2021. "The benchmark inclusion subsidy," Journal of Financial Economics, Elsevier, vol. 142(2), pages 756-774.
    5. Dimitri Vayanos & Paul Woolley, 2023. "Asset Management as Creator of Market Inefficiency," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(1), pages 1-11, March.
    6. Sheng, Jiliang & Yang, Yanyan & Yang, Jun, 2025. "Optimal delegation contract with portfolio risk," Journal of Banking & Finance, Elsevier, vol. 171(C).
    7. Nurisso, George C., 2026. "Learning by lending securities," Journal of Financial Economics, Elsevier, vol. 178(C).
    8. Acerbi, Carlo & Csoka, Peter & Herings, P.J.J., 2026. "Performance Attribution: the Harsanyi Method," Other publications TiSEM 5b97c500-9a5c-4b73-ac2a-1, Tilburg University, School of Economics and Management.
    9. Cassella, Stefano & Rizzo, A. Emanuele & Spalt, Oliver G. & Zimmerer, Leah, 2026. "Constrained by law: The impact of fiduciary duties on portfolios and prices in US equity markets," Journal of Financial Economics, Elsevier, vol. 177(C).

  5. Anil Kashyap & Anna Pavlova & Natalia Kovrijnykh, 2018. "Benchmarking Asset Managers," 2018 Meeting Papers 1030, Society for Economic Dynamics.

    Cited by:

    1. Kashyap, Anil K & Li, Jian & Kovrijnykh, Natalia & Pavlova, Anna, 2018. "The Benchmark Inclusion Subsidy," CEPR Discussion Papers 13356, Centre for Economic Policy Research.

  6. Kashyap, Anil K & Li, Jian & Kovrijnykh, Natalia & Pavlova, Anna, 2018. "The Benchmark Inclusion Subsidy," CEPR Discussion Papers 13356, Centre for Economic Policy Research.

    Cited by:

    1. Fernando Broner & Juan J. Cortina & Sergio L. Schmukler & Tomas Williams, 2026. "Demand Shocks in Equity Markets and Firm Responses," Mo.Fi.R. Working Papers 196, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    2. Mariana Escobar & Lorenzo Pandolfi & Alvaro Pedraza & Tomas Williams, 2021. "Who Trades Index Rebalancings? Evidence on Benchmarking and Inelastic Demand," CSEF Working Papers 621, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 05 May 2026.
    3. Tomas Williams & Sergio Schmukler & Mauricio Larrain & Charles Calomiris, 2019. "Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses," Working Papers 2019-15, The George Washington University, Institute for International Economic Policy.
    4. Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
    5. Calomiris, Charles W. & Larrain, Mauricio & Schmukler, Sergio L. & Williams, Tomas, 2022. "Large international corporate bonds: Investor behavior and firm responses," Journal of International Economics, Elsevier, vol. 137(C).
    6. Sotes-Paladino, Juan & Zapatero, Fernando, 2022. "Carrot and stick: A role for benchmark-adjusted compensation in active fund management," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    7. Pekka Honkanen & Daniel Schmidt & Bastian von Beschwitz, 2022. "Passive Ownership and Short Selling," International Finance Discussion Papers 1365, Board of Governors of the Federal Reserve System (U.S.).
    8. Broner, Fernando & Martin, Alberto & Pandolfi, Lorenzo & Williams, Tomas, 2021. "Winners and losers from sovereign debt inflows," Journal of International Economics, Elsevier, vol. 130(C).
    9. Pieter van Staden & Peter Forsyth & Yuying Li, 2024. "Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark," Papers 2412.05431, arXiv.org, revised Mar 2025.
    10. Xie, Ting & Chaudhuri, Kausik & Jin, Han & Shin, Yongcheol, 2026. "Systematic common components in ESG ratings across legal origins," International Review of Financial Analysis, Elsevier, vol. 109(C).
    11. Corum, Adrian Aycan & Malenko, Andrey & Malenko, Nadya, 2020. "Corporate governance in the presence of active and passive delegated investment," CEPR Discussion Papers 15230, Centre for Economic Policy Research.
    12. Escobar,Mariana & Pandolfi,Lorenzo & Pedraza Morales,Alvaro Enrique & Williams,Tomas, 2021. "The Anatomy of Index Rebalancings : Evidence from Transaction Data," Policy Research Working Paper Series 9770, The World Bank.
    13. Nenova, Tsvetelina, 2025. "Global or regional safe assets: evidence from bond substitution patterns," Working Paper Series 3159, European Central Bank.
    14. van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.

  7. Basak, Suleyman & Pavlova, Anna, 2015. "A Model of Financialization of Commodities," CEPR Discussion Papers 10651, Centre for Economic Policy Research.

    Cited by:

    1. Jiang, Yonghong & Wang, Jieru & Lie, Jiayi & Mo, Bin, 2021. "Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets," Energy, Elsevier, vol. 233(C).
    2. Ahmed Ayadi & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2021. "Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS," Post-Print hal-04450376, HAL.
    3. Melone, Alessandro & Randl, Otto & Sögner, Leopold & Zechner, Josef, 2025. "Stock-Oil Comovement: Cash Flows or Discount Rates?," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325398, Verein für Socialpolitik / German Economic Association.
    4. Antonakakis, Nikolaos & Chang, Tsangyao & Cunado, Juncal & Gupta, Rangan, 2018. "The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis," Finance Research Letters, Elsevier, vol. 24(C), pages 1-9.
    5. Ayadi, Ahmed & Gana, Marjène & Goutte, Stéphane & Guesmi, Khaled, 2023. "Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    6. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
    7. Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
    8. Gent Bajraj & Jorge Lorca & Juan M. Wlasiuk, 2022. "On Foreign Drivers of EMEs Fluctuations," Working Papers Central Bank of Chile 951, Central Bank of Chile.
    9. Karolina Safarzynska & Taras Kryvyy, 2025. "Integrating metals and minerals into climate-economic models: a review," Climatic Change, Springer, vol. 178(7), pages 1-23, July.
    10. McMillan, David G., 2019. "Cross-asset relations, correlations and economic implications," Global Finance Journal, Elsevier, vol. 41(C), pages 60-78.
    11. Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
    12. Chen, Wenting & Huo, Zhongyao & He, Xin-Jiang, 2025. "Analytically pricing commodity futures options in a regime-switching financialization framework," Finance Research Letters, Elsevier, vol. 85(PE).
    13. Lu, Fei & Ma, Feng & Bouri, Elie & Liao, Yin, 2024. "Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 94(C).
    14. Amelie Schischke & Andreas Rathgeber, 2025. "Time-varying spillover effects within and between industrial metal markets," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 38(4), pages 911-939, December.
    15. Aepli, Matthias D. & Füss, Roland & Henriksen, Tom Erik S. & Paraschiv, Florentina, 2017. "Modeling the multivariate dynamic dependence structure of commodity futures portfolios," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 66-87.
    16. Wen, Fenghua & Zhang, Minzhi & Xiao, Jihong & Yue, Wei, 2022. "The impact of oil price shocks on the risk-return relation in the Chinese stock market," Finance Research Letters, Elsevier, vol. 47(PB).
    17. Chen, Yang & Xu, Mengxia & Liu, Qing, 2026. "Systemically important commodity futures in China," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    18. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    19. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
    20. Miruna-Daniela Ivan & Chiara Banti & Neil Kellard, 2025. "Liquidity, monetary policy and the commodity futures market," Bank of England Staff Working Paper series 1114, Bank of England.
    21. Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    22. Urom, Christian & Anochiwa, Lasbrey & Yuni, Denis & Idume, Gabriel, 2019. "Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    23. Finta, Marinela Adriana, 2025. "Risk premia-return spillovers among commodity-U.S. equity markets," International Review of Economics & Finance, Elsevier, vol. 102(C).
    24. Yang Liu & Tongshuai Qiao & Liyan Han, 2022. "Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2068-2083, November.
    25. Qadan, Mahmoud & Nama, Hazar, 2018. "Investor sentiment and the price of oil," Energy Economics, Elsevier, vol. 69(C), pages 42-58.
    26. Ramesh, Shietal & Low, Rand Kwong Yew & Faff, Robert, 2025. "Modelling time-varying volatility spillovers across crises: Evidence from major commodity futures and the US stock market," Energy Economics, Elsevier, vol. 143(C).
    27. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    28. French, Joseph J. & Gurdgiev, Constantin & Lucey, Brian M. & Shin, Seungho, 2025. "Sailing the stormy seas: Energy hedge funds strategy innovation, and market uncertainties," Energy Economics, Elsevier, vol. 150(C).
    29. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
    30. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    31. Rangga Handika & Sania Ashraf, 2018. "Financialized Commodities and Stock Indices Volatilities," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 153-164.
    32. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
    33. Jamel Boukhatem & Ali M. Alhazmi, 2024. "COVID-19 pandemic, oil prices and Saudi stock market: empirical evidence from ARDL modeling and Bayer–Hanck cointegration approach," Future Business Journal, Springer, vol. 10(1), pages 1-14, December.
    34. Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
    35. Kocaarslan, Baris & Sari, Ramazan & Gormus, Alper & Soytas, Ugur, 2017. "Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 41-56.
    36. Bosch, David & Smimou, K., 2022. "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    37. Seiler, Volker, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
    38. Chen, Jinyu & Zhu, Xuehong & Zhong, Meirui, 2019. "Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 489-500.
    39. Karol Szafranek, 2018. "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 671-708.
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  9. rigobon, roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, Centre for Economic Policy Research.

    Cited by:

    1. Isoré, Marlène, 2016. "International propagation of financial shocks in a search and matching environment," Bank of Finland Research Discussion Papers 28/2016, Bank of Finland.
    2. Perri, Fabrizio & Kalemli-Ozcan, Sebnem & Papaioannou, Elias, 2012. "Global Banks and Crisis Transmission," CEPR Discussion Papers 9044, Centre for Economic Policy Research.
    3. Peiris, M. Udara & Tsomocos, Dimitrios P., 2015. "International monetary equilibrium with default," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 47-57.
    4. Fernando Broner & Tatiana Didier & Aitor Erce & Sergio L. Schmukler, 2011. "Gross capital flows: dynamics and crises," Working Papers 1039, Banco de España.
    5. Martin D. D. Evans, 2012. "Exchange-Rate Dark Matter," Working Papers gueconwpa~12-12-01, Georgetown University, Department of Economics.

  10. rigobon, roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, Centre for Economic Policy Research.

    Cited by:

    1. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    2. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
    3. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
    4. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
    5. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    6. Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
    7. Michael B Devereux & James Yetman, 2010. "Financial deleveraging and the international transmission of shocks," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 274-298, Bank for International Settlements.
    8. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2016. "The relation between sovereign credit rating revisions and economic growth," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 90-100.
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    11. Paulo Matos & Antonio Costa & Cristiano da Silva, 2024. "On the Risk-based Contagion of G7 Banking System and the COVID-19 Pandemic," Global Business Review, International Management Institute, vol. 25(6), pages 1634-1654, December.
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    1. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    2. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
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    4. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
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    7. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    8. YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers 2017-20, University of Connecticut, Department of Economics.
    9. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    10. Guillermo Hausmann-Guil, 2025. "Solving DSGE models with incomplete markets by perturbation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 57, July.
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    12. Gustavo Adler & Mr. Daniel Garcia-Macia, 2018. "The Stabilizing Role of Net Foreign Asset Returns," IMF Working Papers 2018/079, International Monetary Fund.
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    22. Sara Eugeni, 2017. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," Department of Economics Working Papers 2017_09, Durham University, Department of Economics.
    23. Masahiro Endoh, 2012. "Return Differentials of Foreign Investment among OECD Countries," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-016, Keio/Kyoto Joint Global COE Program.
    24. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    25. Chien, YiLi & Naknoi, Kanda, 2015. "The risk premium and long-run global imbalances," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 299-315.
    26. Ly-Dai, Hung, 2014. "Global Imbalances with Safe Assets in Eurozone," MPRA Paper 90238, University Library of Munich, Germany, revised May 2018.
    27. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
    28. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
    29. Maxime Sauzet, 2025. "Green Intermediary Asset Pricing," CESifo Working Paper Series 11944, CESifo.
    30. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    31. R. Colacito & M. M. Croce & Y. Liu & I. Shaliastovich, 2026. "Volatility (Dis)Connect in International Markets," Management Science, INFORMS, vol. 72(6), pages 4697-4714, June.

  12. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, Centre for Economic Policy Research.

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    2. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    3. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    4. Ibert, Markus & Kaniel, Ron & Van Nieuwerburgh, Stijn & Vestman, Roine, 2017. "Are Mutual Fund Managers Paid For Investment Skill?," CEPR Discussion Papers 12010, Centre for Economic Policy Research.
    5. Antonio Scalia & Benjamin Sahel, 2012. "Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management," Temi di discussione (Economic working papers) 840, Bank of Italy, Economic Research and International Relations Area.
    6. Emilio Barucci & Daniele Marazzina & Elisa Mastrogiacomo, 2021. "Optimal investment strategies with a minimum performance constraint," Annals of Operations Research, Springer, vol. 299(1), pages 215-239, April.
    7. Dai, Na & Nahata, Rajarishi & Brauner, Aaron, 2022. "Does individualism matter for hedge funds? A cross-country examination," Journal of Corporate Finance, Elsevier, vol. 72(C).
    8. Scheckenbach, Isabel & Wimmer, Maximilian & Dorfleitner, Gregor, 2021. "The higher you fly, the harder you try not to fall: An analysis of the risk taking behavior in social trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 239-259.
    9. Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
    10. Stefano Herzel & Marco Nicolosi, 2019. "Optimal strategies with option compensation under mean reverting returns or volatilities," Computational Management Science, Springer, vol. 16(1), pages 47-69, February.
    11. Jackwerth, Jens Carsten & Hodder, James E., 2006. "Incentive Contracts and Hedge Fund Management," MPRA Paper 11632, University Library of Munich, Germany.
    12. Sergey Nadtochiy & Thaleia Zariphopoulou, 2018. "Optimal contract for a fund manager, with capital injections and endogenous trading constraints," Papers 1802.09165, arXiv.org.
    13. Axel Stahmer, 2015. "Fund flows inducing mispricing of risk in competitive financial markets," ESMT Research Working Papers ESMT-15-04, ESMT European School of Management and Technology.
    14. Basak, Suleyman & Pavlova, Anna & Shapiro, Alexander, 2008. "Offsetting the implicit incentives: Benefits of benchmarking in money management," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1883-1893, September.
    15. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
    16. Basak, Suleyman & Makarov, Dmitry, 2011. "Strategic Asset Allocation in Money Management," CEPR Discussion Papers 8457, Centre for Economic Policy Research.
    17. Lewellen, Katharina, 2006. "Financing decisions when managers are risk averse," Journal of Financial Economics, Elsevier, vol. 82(3), pages 551-589, December.
    18. Kaniel, Ron & Tompaidis, Stathis & Zhou, Ti, 2017. "Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows," CEPR Discussion Papers 12285, Centre for Economic Policy Research.
    19. Cvitanic, Jaksa & Hugonnier, Julien, 2018. "Optimal fund menus," CEPR Discussion Papers 13127, Centre for Economic Policy Research.
    20. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
    21. Dai, Min & Jin, Hanqing & Liu, Hong, 2011. "Illiquidity, position limits, and optimal investment for mutual funds," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1598-1630, July.
    22. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2015. "Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families," Post-Print hal-01458357, HAL.
    23. Darren Duxbury & Robert Hudson & Kevin Keasey & Zhishu Yang & Songyao Yao, 2013. "How prior realized outcomes affect portfolio decisions," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 611-629, November.
    24. Ewald, Christian-Oliver & Zhang, Hai, 2016. "Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 45-59.
    25. Md Miran Hossain & David Javakhadze & David A. Maslar & Maya Thevenot, 2025. "Exploring the agency cost of debt: risk, information flow, and CEO social ties," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 505-536, February.
    26. Morales, Alvaro Pedraza, 2014. "Strategic interactions and portfolio choice in money management : evidence from Colombian pension funds," Policy Research Working Paper Series 6994, The World Bank.
    27. Joshua Shemesh, 2017. "CEO Social Status and Risk-Taking," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-35, June.
    28. Acharya,Sushant & Pedraza Morales,Alvaro Enrique, 2015. "Asset price effects of peer benchmarking : evidence from a natural experiment," Policy Research Working Paper Series 7239, The World Bank.
    29. Suleyman Basak & Dmitry Makarov, 2010. "Difference in Interim Performance and Risk Taking with Short-sale Constraints," Working Papers w0159, Center for Economic and Financial Research (CEFIR).
    30. Assaf Hamdani & Eugene Kandel & Yevgeny Mugerman & Yishay Yafeh, 2016. "Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment," NBER Working Papers 22634, National Bureau of Economic Research, Inc.
    31. Himick, Darlene, 2011. "Relative performance evaluation and pension investment management: A challenge for ESG investing," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 22(2), pages 158-171.
    32. Hallahan, Terrence & Faff, Robert, 2009. "Tournament behavior in Australian superannuation funds: A non-parametric analysis," Global Finance Journal, Elsevier, vol. 19(3), pages 307-322.
    33. Jackwerth, Jens Carsten & Hodder, James E., 2008. "Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management," MPRA Paper 11643, University Library of Munich, Germany.
    34. Kaniel, Ron & Parham, Robert, 2017. "WSJ Category Kings – The impact of media attention on consumer and mutual fund investment decisions," Journal of Financial Economics, Elsevier, vol. 123(2), pages 337-356.
    35. Servaes, Henri & Sigurdsson, Kari, 2022. "The Costs and Benefits of Performance Fees in Mutual Funds," Journal of Financial Intermediation, Elsevier, vol. 50(C).
    36. Cujean, Julien, 2018. "Idea Sharing and the Performance of Mutual Funds," CEPR Discussion Papers 13111, Centre for Economic Policy Research.
    37. Suleyman Basak & Dmitry Makarov, 2013. "Competition among Portfolio Managers and Asset Specialization," Working Papers w0194, New Economic School (NES).
    38. Guo, Rui & Jiang, Ying & Li, Ao & Qiu, Zhigang & Wang, Hefei, 2021. "A model of delegation with a VaR constraint," Finance Research Letters, Elsevier, vol. 42(C).
    39. Zongxia Liang & Yang Liu & Litian Zhang, 2025. "A framework of state-dependent utility optimisation with general benchmarks," Finance and Stochastics, Springer, vol. 29(2), pages 469-518, April.
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    44. Emanuele Borgonovo & An Chen & Massimo Marinacci & Shihao Zhu, 2026. "Nonconcave Portfolio Choice under Smooth Ambiguity," Papers 2603.08552, arXiv.org.
    45. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
    46. Jackwerth, Jens Carsten & Hodder, James E., 2008. "Managerial responses to incentives: Control of firm risk, derivative pricing implications, and outside wealth management," CoFE Discussion Papers 08/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
    47. Alaa Alaabed & Mansur Masih & Abbas Mirakhor, 2016. "Investigating risk shifting in Islamic banks in the dual banking systems of OIC member countries: An application of two-step dynamic GMM," Risk Management, Palgrave Macmillan, vol. 18(4), pages 236-263, December.
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    49. Mark S. Carey & Bo Sun, 2015. "Risk Choices and Compensation Design," International Finance Discussion Papers 1130, Board of Governors of the Federal Reserve System (U.S.).
    50. Idan Hodor & Andrea Buffa, 2017. "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices," 2017 Meeting Papers 374, Society for Economic Dynamics.
    51. Vicky Henderson & David Hobson, 2013. "Risk Aversion, Indivisible Timing Options, and Gambling," Operations Research, INFORMS, vol. 61(1), pages 126-137, February.
    52. Alexei Tchistyi, 2012. "Risking Other People's Money: Gambling, Limited Liability, and Optimal Incentives," 2012 Meeting Papers 1091, Society for Economic Dynamics.
    53. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
    54. Michail Anthropelos & Tianran Geng & Thaleia Zariphopoulou, 2020. "Competition in Fund Management and Forward Relative Performance Criteria," Papers 2011.00838, arXiv.org.
    55. Marco Nicolosi, 2018. "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 1-17, May.
    56. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    57. Shuaijie Qian & Chen Yang, 2023. "Non-Concave Utility Maximization with Transaction Costs," Papers 2307.02178, arXiv.org, revised Jun 2025.
    58. Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.
    59. Spencer Andrews & Salil Gadgil, 2024. "The Who and How of Hedge Fund Risk Shifting," Working Papers 24-07, Office of Financial Research, US Department of the Treasury.
    60. Ali K. Malik, 2026. "Exposure to Left‐Tail Risk, Risk Appetite, and Mutual Fund Flows," The Financial Review, Eastern Finance Association, vol. 61(3), pages 831-866, August.
    61. Emilio Barucci & Yuheng Lan, 2025. "Shortermism and excessive risk taking in optimal execution with a target performance," Papers 2505.15611, arXiv.org.
    62. Gu Wang & Jiaxuan Ye, 2023. "Fund Managers’ Competition for Investment Flows Based on Relative Performance," Journal of Optimization Theory and Applications, Springer, vol. 198(2), pages 605-643, August.
    63. Linlin Ma & Yuehua Tang, 2019. "Portfolio Manager Ownership and Mutual Fund Risk Taking," Management Science, INFORMS, vol. 65(12), pages 5518-5534, December.
    64. Steven Malliaris & Hongjun Yan, 2008. "Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices," Yale School of Management Working Papers amz2380, Yale School of Management, revised 01 Mar 2009.
    65. Marco Nicolosi & Flavio Angelini & Stefano Herzel, 2018. "Portfolio management with benchmark related incentives under mean reverting processes," Annals of Operations Research, Springer, vol. 266(1), pages 373-394, July.
    66. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
    67. Philipp Hornung & Ulrike Leopold-Wildburger & Roland Mestel & Stefan Palan, 2015. "Insider behavior under different market structures: experimental evidence on trading patterns, manipulation, and profitability," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 23(2), pages 357-373, June.
    68. Agarwal, Vikas & Gómez, Juan-Pedro & Priestley, Richard, 2012. "Management compensation and market timing under portfolio constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1600-1625.
    69. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    70. Cuoco, Domenico & Kaniel, Ron, 2009. "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers 7453, Centre for Economic Policy Research.
    71. Huang, Binghua & Li, Rui, 2025. "ESG ratings and ESG mutual fund management compensation," Energy Economics, Elsevier, vol. 147(C).
    72. Choi, Kyoung Jin & Kwak, Minsuk & Shim, Gyoocheol, 2017. "Time preference and real investment," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 18-33.
    73. Zongxia Liang & Yang Liu & Litian Zhang, 2021. "A Framework of State-dependent Utility Optimization with General Benchmarks," Papers 2101.06675, arXiv.org, revised Dec 2023.
    74. Min Dai & Steven Kou & Shuaijie Qian & Xiangwei Wan, 2022. "Nonconcave Utility Maximization with Portfolio Bounds," Management Science, INFORMS, vol. 68(11), pages 8368-8385, November.
    75. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2021. "Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows," International Review of Financial Analysis, Elsevier, vol. 73(C).
    76. Basak, Suleyman & Makarov, Dmitry & Shapiro, Alex & Subrahmanyam, Marti, 2020. "Security design with status concerns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
    77. Chen, An & Stadje, Mitja & Zhang, Fangyuan, 2024. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 114-129.
    78. Kaniel, Ron & Kondor, Péter, 2011. "The delegated Lucas tree," CEPR Discussion Papers 8578, Centre for Economic Policy Research.
    79. Aleksandr G. Alekseev & Mikhail V. Sokolov, 2016. "Benchmark-based evaluation of portfolio performance: a characterization," Annals of Finance, Springer, vol. 12(3), pages 409-440, December.
    80. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    81. Aleksandr Alekseev & Mikhail Sokolov, 2016. "Portfolio Return Relative to a Benchmark," EUSP Department of Economics Working Paper Series 2016/04, European University at St. Petersburg, Department of Economics.
    82. Pablo Castañeda & Heinz Rudolph, 2010. "Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems," Working Papers 39, Superintendencia de Pensiones, revised Feb 2010.
    83. Constantin Mellios & Anh Ngoc Lai, 2022. "Incentive Fees with a Moving Benchmark and Portfolio Selection under Loss Aversion," Post-Print hal-03708926, HAL.
    84. Huang, Daxin & Liu, Yang, 2025. "Portfolio benchmarks in defined contribution pension plan management," Insurance: Mathematics and Economics, Elsevier, vol. 123(C).
    85. Aleksandar Andonov & Joshua D Rauh, 2022. "The Return Expectations of Public Pension Funds," The Review of Financial Studies, Society for Financial Studies, vol. 35(8), pages 3777-3822.
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    87. Sheng, Jiliang & Wang, Jian & Wang, Xiaoting & Yang, Jun, 2014. "Asymmetric contracts, cash flows and risk taking of mutual funds," Economic Modelling, Elsevier, vol. 38(C), pages 435-442.
    88. Hamdani, Assaf & Kandel, Eugene & Mugerman, Yevgeny & Yafeh, Yishay, 2015. "Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment in Israel," CEPR Discussion Papers 10911, Centre for Economic Policy Research.
    89. Cujean, Julien, 2020. "Idea sharing and the performance of mutual funds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 88-119.
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    93. Ramiro Losada López, 2016. "Managerial ability, risk preferences and the incentives for active management," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    94. Goncalves-Pinto, Luis & Sotes-Paladino, Juan & Xu, Jing, 2018. "The invisible hand of internal markets in mutual fund families," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 105-124.

  13. Basak, Suleyman & Pavlova, Anna & Cass, David & Licari, Juan Manuel, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints," CEPR Discussion Papers 5804, Centre for Economic Policy Research.

    Cited by:

    1. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
    2. Gori, Michele & Pireddu, Marina & Villanacci, Antonio, 2013. "Regularity and Pareto improving on financial equilibria with price-dependent borrowing restrictions," Research in Economics, Elsevier, vol. 67(1), pages 100-110.
    3. José M. Marín & Jacques Olivier, 2007. "The dog that did not bark: Insider trading and crashes," Working Papers 2007-20, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    4. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    5. Gârleanu, Nicolae & Panageas, Stavros, 2021. "What to expect when everyone is expecting: Self-fulfilling expectations and asset-pricing puzzles," Journal of Financial Economics, Elsevier, vol. 140(1), pages 54-73.
    6. Carosi, Laura & Gori, Michele & Villanacci, Antonio, 2009. "Endogenous restricted participation in general financial equilibrium," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 787-806, December.
    7. Sumudu W. Watugala, 2019. "Economic uncertainty, trading activity, and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 921-945, August.
    8. Michele Gori & Marina Pireddu & Antonio Villanacci, 2010. "Regularity and Pareto Improving on financial equilibria with endogenous borrowing restrictions," Working Papers - Mathematical Economics 2010-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Aug 2012.
    9. Kocherlakota, Narayana & Wright, Randall, 2008. "Introduction to monetary and macro economics," Journal of Economic Theory, Elsevier, vol. 142(1), pages 1-4, September.

  14. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive 06-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. José M. Marín & Jacques Olivier, 2007. "The dog that did not bark: Insider trading and crashes," Working Papers 2007-20, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.

  15. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2005. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," CEPR Discussion Papers 5006, Centre for Economic Policy Research.

    Cited by:

    1. Gehrig, Thomas P. & Lütje, Torben & Menkhoff, Lukas, 2008. "Bonus Payments and Fund Managers' Behavior: Trans-Atlantic Evidence," Hannover Economic Papers (HEP) dp-411, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Raphaëlle Bellando, 2008. "Le conflit d'agence dans la gestion déléguée de portefeuille : une revue de littérature," Revue d'économie politique, Dalloz, vol. 118(3), pages 317-339.
    3. Lewellen, Katharina, 2004. "Financing Decisions When Managers Are Risk Averse," Working papers 4438-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Vikash Ramiah & Imad Moosa & Ben O'Neill & Milica Backulja & Amel Yacoub & Terry Hallahan & John Vaz, 2012. "Tournament behaviour in Malaysian managed funds," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 381-399, September.
    5. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
    6. Hodder, James E. & Jackwerth, Jens Carsten, 2005. "Incentive contracts and hedge fund management," CoFE Discussion Papers 05/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
    7. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
    8. Stracca, Livio, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 520, European Central Bank.
    9. rigobon, roberto & Pavlova, Anna, 2005. "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers 5117, Centre for Economic Policy Research.
    10. Jackwerth, Jens Carsten & Hodder, James E., 2003. "Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure," CoFE Discussion Papers 03/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
    11. Pablo Castañeda, 2006. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," Working Papers 16, Superintendencia de Pensiones, revised May 2006.
    12. Suleyman Basak & Alex Shapiro & Lucie Teplá, 2006. "Risk Management with Benchmarking," Management Science, INFORMS, vol. 52(4), pages 542-557, April.
    13. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, Centre for Economic Policy Research.
    14. Jose Luiz Barros Fernandes & Juan Ignacio Pena & Benjamin Miranda Tabak, 2010. "Delegated portfolio management and risk-taking behavior," The European Journal of Finance, Taylor & Francis Journals, vol. 16(4), pages 353-372.
    15. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc.

  16. rigobon, roberto & Pavlova, Anna, 2005. "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers 5117, Centre for Economic Policy Research.

    Cited by:

    1. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
    2. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    3. Stavros Panageas, 2009. "Bailouts, the Incentive to Manage Risk, and Financial Crises," NBER Working Papers 15058, National Bureau of Economic Research, Inc.
    4. Anna Pavlova & Roberto Rigobon, 2007. "An Asset-Pricing View of External Adjustment," NBER Working Papers 13468, National Bureau of Economic Research, Inc.
    5. Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
    6. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version," PIER Working Paper Archive 06-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Jul 2006.
    7. Basak, Suleyman & Pavlova, Anna & Cass, David & Licari, Juan Manuel, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints," CEPR Discussion Papers 5804, Centre for Economic Policy Research.
    8. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive 06-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  17. Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.

    Cited by:

    1. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    2. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
    3. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
    4. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
    5. Benchimol, Jonathan & El-Shagi, Makram, 2020. "Forecast performance in times of terrorism," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 91, pages 386-402.
    6. Oleg Itskhoki & Dmitry Mukhin, 2019. "Mussa Puzzle Redux," 2019 Meeting Papers 1434, Society for Economic Dynamics.
    7. François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.
    8. Pami Dua & Divya Tuteja, 2016. "Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(3), pages 217-240, September.
    9. Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
    10. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2010. "International portfolios, capital accumulation and foreign assets dynamics," Sciences Po Economics Publications (main) hal-01052901, HAL.
    11. rigobon, roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, Centre for Economic Policy Research.
    12. Matteo Cacciatore & Nora Traum, 2020. "Trade Flows and Fiscal Multipliers," NBER Working Papers 27652, National Bureau of Economic Research, Inc.
    13. Giulia Piccillo, 2013. "Exchange Rates and Asset Prices: Heterogeneous Agents at Work," CESifo Working Paper Series 4257, CESifo.
    14. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    15. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    16. Lane, Philip R. & Shambaugh, Jay C., 2008. "Financial exchange rates and international currency exposures," Discussion Paper Series 1: Economic Studies 2008,22, Deutsche Bundesbank.
    17. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    18. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    19. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
    20. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
    21. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    22. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
    23. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    24. Yunyong Thaicharoen & Sra Chuenchoksan & Ashvin Ahuja, 2007. "Big elephants in small ponds: Risk absorption, risk diversification and management of capital flows," Working Papers 2007-02, Monetary Policy Group, Bank of Thailand.
    25. Basak, Suleyman & Pavlova, Anna, 2004. "A Dynamic Model with Import Quota Constraints," Working papers 4230-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    26. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    27. Tripathi, Sabyasachi, 2019. "Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis," MPRA Paper 98089, University Library of Munich, Germany.
    28. Kallberg, Jarl & Pasquariello, Paolo, 2008. "Time-series and cross-sectional excess comovement in stock indexes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 481-502, June.
    29. Chen, Qi-an & Li, Huashi, 2023. "How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 590-610.
    30. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    31. Mac Mullen, Marcos & Woo, Soo Kyung, 2025. "Real exchange rate and net trade dynamics: Financial and trade shocks," Journal of International Economics, Elsevier, vol. 157(C).
    32. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    33. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    34. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
    35. Abid, Ilyes & Guesmi, Khaled & Goutte, Stéphane & Urom, Christian & Chevallier, Julien, 2019. "Commodities risk premia and regional integration in gas-exporting countries," Energy Economics, Elsevier, vol. 80(C), pages 267-276.
    36. Lukasz Prorokowski, 2013. "Lessons from financial crisis contagion simulation in Europe," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 159-188, May.
    37. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
    38. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.
    39. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
    40. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
    41. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2008. "When Bonds Matter: Home Bias in Goods and Assets," Working Paper Series 2008-25, Federal Reserve Bank of San Francisco.
    42. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    43. Pierre-Olivier Gourinchas, 2006. "The Research Agenda: Pierre-Olivier Gourinchas on Global Imbalances and Financial Factors," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 7(2), April.
    44. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    45. Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
    46. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    47. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers halshs-00590775, HAL.
    48. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
    49. Basak, Suleyman & Pavlova, Anna, 2004. "Monopoly Power and the Firm€ٳ Valuation:," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    50. Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
    51. Philip R. Lane & G Milesi-Feretti, 2004. "Financial Globalization and Exchange Rates," CEP Discussion Papers dp0662, Centre for Economic Performance, LSE.
    52. Nicolas Coeurdacier, 2009. "Theoretical perspectives on financial globalization: trade costs and equity home bias," Sciences Po Economics Publications (main) hal-01063456, HAL.
    53. Colacito, Ric & Croce, Mariano & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, Centre for Economic Policy Research.
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    196. Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    197. Saeed, Shifa Mohamed & Abdeljawad, Islam & Hassan, M. Kabir & Rashid, Mamunur, 2023. "Dependency of Islamic bank rates on conventional rates in a dual banking system: A trade-off between religious and economic fundamentals," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 1003-1021.
    198. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    199. Mertens, Thomas M. & Judd, Kenneth L., 2018. "Solving an incomplete markets model with a large cross-section of agents," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 349-368.

  18. Pavlova, Anna, 2002. "Adjustment Costs, Learning-by-Doing, and Technology Adoption Under Uncertainty," Working papers 4369-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.

    Cited by:

    1. Salvador Barrios & Eric Strobl, 2004. "Learning by Doing and Spillovers: Evidence from Firm-Level Panel Data," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 25(2), pages 175-203, June.
    2. Hall, Bronwyn H. & Khan, Beethika, 2003. "Adoption of New Technology," Department of Economics, Working Paper Series qt3wg4p528, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    3. Correa, Paulo G. & Fernandes, Ana M. & Uregian, Chris J., 2008. "Technology adoption and the investment climate : firm-level evidence for Eastern Europe and Central Asia," Policy Research Working Paper Series 4707, The World Bank.

  19. Basak, Suleyman & Pavlova, Anna, 2002. "Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies," CEPR Discussion Papers 3425, Centre for Economic Policy Research.

    Cited by:

    1. Basak, Suleyman & Pavlova, Anna, 2004. "Monopoly Power and the Firm€ٳ Valuation:," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Peter M. DeMarzo & Branko Uro, 2006. "Ownership Dynamics and Asset Pricing with a Large Shareholder," Journal of Political Economy, University of Chicago Press, vol. 114(4), pages 774-815, August.
    3. Wolf Wagner, 2010. "Divestment, Entrepreneurial Incentives, and the Life Cycle of the Firm," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 591-611, June.
    4. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    5. Branko Urosevic, 2001. "Moral hazard and dynamics of insider ownership stakes," Economics Working Papers 787, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.

  20. David Cass & Anna Pavlova, "undated". "On Trees and Logs," Penn CARESS Working Papers e046baf19b9659b668c46a5f9, Penn Economics Department.

    Cited by:

    1. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    2. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
    3. Lukasz Prorokowski, 2013. "Lessons from financial crisis contagion simulation in Europe," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 159-188, May.
    4. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    5. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    6. Soumare, Issouf, 2007. "International capital markets and redundant securities," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 1037-1050, March.
    7. Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
    8. rigobon, roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, Centre for Economic Policy Research.
    9. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
    10. Anna Pavlova & Roberto Rigobon, 2007. "An Asset-Pricing View of External Adjustment," NBER Working Papers 13468, National Bureau of Economic Research, Inc.
    11. David Cass, 2006. "Musings on the Cass Trick," PIER Working Paper Archive 06-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    12. Felix Kubler & Larry Selden & Xiao Wei, 2014. "When Is a Risky Asset "Urgently Needed"?," American Economic Journal: Microeconomics, American Economic Association, vol. 6(2), pages 131-162, May.
    13. Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
    14. rigobon, roberto & Pavlova, Anna, 2005. "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers 5117, Centre for Economic Policy Research.
    15. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2005. "Junior is Rich: Bequests as Consumption," NBER Working Papers 11122, National Bureau of Economic Research, Inc.
    16. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
    17. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version," PIER Working Paper Archive 06-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Jul 2006.
    18. Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2007. "The Valuation Channel of External Adjustment," NBER Working Papers 12937, National Bureau of Economic Research, Inc.
    19. Basak, Suleyman & Pavlova, Anna & Cass, David & Licari, Juan Manuel, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints," CEPR Discussion Papers 5804, Centre for Economic Policy Research.
    20. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
    21. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive 06-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    22. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    23. Roszkowska Paulina & Prorokowski Łukasz, 2013. "Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots," Folia Oeconomica Stetinensia, Paradigm, vol. 13(1), pages 22-55, December.
    24. Chaban, Maxym, 2009. "Commodity currencies and equity flows," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 836-852, September.
    25. Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
    26. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.

Articles

  1. Bryzgalova, Svetlana & Pavlova, Anna & Sikorskaya, Taisiya, 2025. "Strategic arbitrage in segmented markets," Journal of Financial Economics, Elsevier, vol. 166(C).

    Cited by:

    1. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2026. "Retail option traders and the implied volatility surface," Journal of Financial Economics, Elsevier, vol. 177(C).
    2. Dufouleur, Mathilde, 2026. "Bitcoin market segmentation and regulatory effect," Journal of International Money and Finance, Elsevier, vol. 165(C).
    3. Min, Shiyao & Dai, Bin & Wu, Qiqi, 2026. "When global standards meet local firms: Capital market internationalization and the decline of R&D manipulation," Research in International Business and Finance, Elsevier, vol. 81(C).
    4. Helaili, Sean & Watson, Ethan D. & Woods, Donovan, 2026. "Beyond best price: Uncovering trade-throughs in fragmented markets," Global Finance Journal, Elsevier, vol. 70(C).

  2. Svetlana Bryzgalova & Anna Pavlova & Taisiya Sikorskaya, 2023. "Retail Trading in Options and the Rise of the Big Three Wholesalers," Journal of Finance, American Finance Association, vol. 78(6), pages 3465-3514, December.
    See citations under working paper version above.
  3. Anil K Kashyap & Natalia Kovrijnykh & Jian Li & Anna Pavlova, 2023. "Is There Too Much Benchmarking in Asset Management?," American Economic Review, American Economic Association, vol. 113(4), pages 1112-1141, April.
    See citations under working paper version above.
  4. Anna Pavlova & Taisiya Sikorskaya & Ralph Koijen, 2023. "Benchmarking Intensity," The Review of Financial Studies, Society for Financial Studies, vol. 36(3), pages 859-903.
    See citations under working paper version above.
  5. Kashyap, Anil K & Kovrijnykh, Natalia & Li, Jian & Pavlova, Anna, 2021. "The benchmark inclusion subsidy," Journal of Financial Economics, Elsevier, vol. 142(2), pages 756-774.
    See citations under working paper version above.
  6. Suleyman Basak & Anna Pavlova, 2016. "A Model of Financialization of Commodities," Journal of Finance, American Finance Association, vol. 71(4), pages 1511-1556, August.
    See citations under working paper version above.
  7. Suleyman Basak & Anna Pavlova, 2013. "Asset Prices and Institutional Investors," American Economic Review, American Economic Association, vol. 103(5), pages 1728-1758, August.
    See citations under working paper version above.
  8. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    See citations under working paper version above.
  9. Basak, Suleyman & Pavlova, Anna & Shapiro, Alexander, 2008. "Offsetting the implicit incentives: Benefits of benchmarking in money management," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1883-1893, September.

    Cited by:

    1. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
    2. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2022. "Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors," Economic Modelling, Elsevier, vol. 107(C).
    3. Atasoy, Özgün & Trudel, Remi & Noseworthy, Theodore J. & Kaufmann, Patrick J., 2022. "Tangibility bias in investment risk judgments," Organizational Behavior and Human Decision Processes, Elsevier, vol. 171(C).
    4. Sotes-Paladino, Juan & Zapatero, Fernando, 2022. "Carrot and stick: A role for benchmark-adjusted compensation in active fund management," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    5. Li, C. Wei & Tiwari, Ashish & Tong, Lin, 2022. "Mutual fund tournaments and fund Active Share," Journal of Financial Stability, Elsevier, vol. 63(C).
    6. rigobon, roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, Centre for Economic Policy Research.
    7. Emilio Barucci & Gaetano Bua & Daniele Marazzina, 2018. "On relative performance, remuneration and risk taking of asset managers," Annals of Finance, Springer, vol. 14(4), pages 517-545, November.
    8. Chen, Hsuan-Chi & Lai, Christine W., 2010. "Reputation stretching in mutual fund starts," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 193-207, January.
    9. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
    10. Agarwal, Vikas & Gómez, Juan-Pedro & Priestley, Richard, 2012. "Management compensation and market timing under portfolio constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1600-1625.
    11. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2021. "Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows," International Review of Financial Analysis, Elsevier, vol. 73(C).
    12. Villatoro, Félix, 2009. "The delegated portfolio management problem: Reputation and herding," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2062-2069, November.
    13. Jiliang Sheng & Yanyan Yang & Xiaoting Wang & Jun Yang, 2024. "How nonlinear benchmark in delegation contract can affect asset price and price informativeness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 78(4), pages 1117-1168, December.
    14. Sheng, Jiliang & Wang, Jian & Wang, Xiaoting & Yang, Jun, 2014. "Asymmetric contracts, cash flows and risk taking of mutual funds," Economic Modelling, Elsevier, vol. 38(C), pages 435-442.
    15. Goncalves-Pinto, Luis & Sotes-Paladino, Juan & Xu, Jing, 2018. "The invisible hand of internal markets in mutual fund families," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 105-124.

  10. Basak, Suleyman & Cass, David & Licari, Juan Manuel & Pavlova, Anna, 2008. "Multiplicity in general financial equilibrium with portfolio constraints," Journal of Economic Theory, Elsevier, vol. 142(1), pages 100-127, September.
    See citations under working paper version above.
  11. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    See citations under working paper version above.
  12. Suleyman Basak & Anna Pavlova & Alexander Shapiro, 2007. "Optimal Asset Allocation and Risk Shifting in Money Management," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1583-1621, 2007 21.
    See citations under working paper version above.
  13. Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
    See citations under working paper version above.
  14. Cass, David & Pavlova, Anna, 2004. "On trees and logs," Journal of Economic Theory, Elsevier, vol. 116(1), pages 41-83, May.
    See citations under working paper version above.
  15. Suleyman Basak & Anna Pavlova, 2004. "Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 24(3), pages 503-530, October.
    See citations under working paper version above.

Chapters

  1. Suleyman Basak & Anna Pavlova, 2005. "Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies," Studies in Economic Theory, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear (ed.), Essays in Dynamic General Equilibrium Theory, pages 1-34, Springer.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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