IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Slow Moving Capital"

by Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Erik Schlogl & Yang Chang, 2012. "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series 310, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
  3. Hau, Harald, 2014. "The exchange rate effect of multi-currency risk arbitrage," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 304-331.
  4. Huang, Jennifer & Wang, Jiang, 2010. "Market liquidity, asset prices, and welfare," Journal of Financial Economics, Elsevier, vol. 95(1), pages 107-127, January.
  5. Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," CEPR Discussion Papers 10234, C.E.P.R. Discussion Papers.
  6. Kessler, Stephan & Scherer, Bernd, 2011. "Hedge fund return sensitivity to global liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 301-322, May.
  7. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 313-322, December.
  8. Darrell Duffie & Bruno Strulovici, 2009. "Capital Mobility and Asset Pricing," Discussion Papers 1478, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  9. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
  10. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
  11. Henk Berkman & Michael McKenzie & Patrick Verwijmeren, 2013. "Hole in the Wall: Informed Short Selling ahead of Private Placements," Tinbergen Institute Discussion Papers 13-153/IV/DSF62, Tinbergen Institute.
  12. Henderson, Brian J. & Zhao, Bo, 2014. "More than meets the eye: Convertible bond issuers' concurrent transactions," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 57-79.
  13. Miguel Anton, & Christopher Polk, 2010. "Connected Stocks," FMG Discussion Papers dp651, Financial Markets Group.
  14. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Businesss School.
  15. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
  16. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile 555, Central Bank of Chile.
  17. Cristina Cella & Andrew Ellul & Mariassunta Giannetti, . "Investors’ Horizons and the Amplification of Market Shocks," FMG Discussion Papers dp717, Financial Markets Group.
  18. Van Tassel, Peter, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
  19. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
  20. Tobias Nigbur, 2015. "Calls of convertible debt securities: no bad news at all," Financial Markets and Portfolio Management, Springer, vol. 29(1), pages 61-79, February.
  21. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc.
  22. Zhiguo He & Wei Xiong, 2008. "Delegated Asset Management, Investment Mandates, and Capital Immobility," NBER Working Papers 14574, National Bureau of Economic Research, Inc.
  23. Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2407-2443, July.
  24. Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  25. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
  26. Dutordoir, Marie & Lewis, Craig & Seward, James & Veld, Chris, 2014. "What we do and do not know about convertible bond financing," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 3-20.
  27. Aragon, George O. & Strahan, Philip E., 2012. "Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy," Journal of Financial Economics, Elsevier, vol. 103(3), pages 570-587.
  28. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
  29. Charles Cao & Lubomir Petrasek, 2011. "Liquidity risk and hedge fund ownership," Finance and Economics Discussion Series 2011-49, Board of Governors of the Federal Reserve System (U.S.).
  30. Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2009. "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers 7147, C.E.P.R. Discussion Papers.
  31. Marie Dutordoir & Patrick Verwijmeren, 2008. "Why do Convertible Issuers simultaneously Repurchase Stock? An Arbitrage-based Explanation," Working Papers 0802, Departament Empresa, Universitat Autònoma de Barcelona, revised Feb 2008.
  32. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  33. Bertsch, Christoph & Mariathasan, Mike, 2015. "Fire Sale Bank Recapitalizations," Working Paper Series 312, Sveriges Riksbank (Central Bank of Sweden).
  34. Brian J. Henderson & Heather Tookes, 2012. "Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues," Management Science, INFORMS, vol. 58(12), pages 2272-2291, December.
  35. Eric Overby & Jonathan Clarke, 2012. "A Transaction-Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading," Management Science, INFORMS, vol. 58(2), pages 394-412, February.
  36. Mitchell, Mark & Pulvino, Todd, 2012. "Arbitrage crashes and the speed of capital," Journal of Financial Economics, Elsevier, vol. 104(3), pages 469-490.
  37. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
  38. Hevér, Judit, 2015. "Yakov Amihud-Haim Mendelson-Lasse Heje Pedersen: Market Liquidity. Asset Pricing, Risk and Crises. Cambridge University Press, Cambridge, 2013, 289 o
    [Yakov Amihud, Haim Mendelson and Lasse Heje Pe
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 871-875.
  39. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2011. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 175-194, March.
  40. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 101(3), pages 596-620, September.
  41. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  42. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  43. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
  44. Miguel Anton & Christopher Polk, 2010. "Connected stocks," LSE Research Online Documents on Economics 43098, London School of Economics and Political Science, LSE Library.
  45. Andrea Pinna, 2015. "Price Formation of Pledgeable Securities," BEMPS - Bozen Economics & Management Paper Series BEMPS26, School of Economics and Management at the Free University of Bozen.
  46. de Jong, Abe & Dutordoir, Marie & Verwijmeren, Patrick, 2011. "Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation," Journal of Financial Economics, Elsevier, vol. 100(1), pages 113-129, April.
  47. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, vol. 91(2), pages 227-251, February.
  48. Heather Tookes & Brian Henderson, 2010. "Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues," Yale School of Management Working Papers amz2667, Yale School of Management.
  49. Jeremiah Green & John R. M. Hand & Mark T. Soliman, 2011. "Going, Going, Gone? The Apparent Demise of the Accruals Anomaly," Management Science, INFORMS, vol. 57(5), pages 797-816, May.
  50. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
  51. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012. "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2660-2671.
  52. Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 18.
  53. Choi, Dong Boem & Eisenbach, Thomas M. & Yorulmazer, Tanju, 2015. "Watering a lemon tree: heterogeneous risk taking and monetary policy transmission," Staff Reports 724, Federal Reserve Bank of New York, revised 01 May 2016.
  54. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.
  55. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers 04-03, University of Cologne, Centre for Financial Research (CFR).
  56. Shakill Hassan & Sean Smith, 2011. "The Rand as a Carry Trade Target: Risk, Returns and Policy Implications," Working Papers 235, Economic Research Southern Africa.
  57. Zhiguo He & Arvind Krishnamurthy, 2008. "Intermediary Asset Pricing," NBER Working Papers 14517, National Bureau of Economic Research, Inc.
  58. Johnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.
  59. Hombert, Johan & Thesmar, David, 2014. "Overcoming limits of arbitrage: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 111(1), pages 26-44.
  60. JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers dp671, Financial Markets Group.
  61. Rogers, John H. & Scotti, Chiara & Wright, Jonathan H., 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
  62. Zhiguo He & Arvind Krishnamurthy, 2008. "A Model of Capital and Crises," NBER Working Papers 14366, National Bureau of Economic Research, Inc.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.