Modeling the rebalancing slippage of Leveraged Exchange-Traded Funds
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References listed on IDEAS
- Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
- Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
- Shin, Hyun Song, 2010. "Risk and Liquidity," OUP Catalogue, Oxford University Press, number 9780199546367.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-25 (All new papers)
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