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Asset Prices and Institutional Investors


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

Cited by:

  1. Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  2. 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.
  3. Ron Kaniel & Péter Kondor, 2013. "The Delegated Lucas Tree," Review of Financial Studies, Society for Financial Studies, vol. 26(4), pages 929-984.
  4. Cvitanić, Jakša & Xing, Hao, 2018. "Asset pricing under optimal contracts," Journal of Economic Theory, Elsevier, vol. 173(C), pages 142-180.
  5. Dimitri Vayanos & Paul Woolley, 2011. "Fund Flows and Asset Prices: A Baseline Model," FMG Discussion Papers dp667, Financial Markets Group.
  6. Sofi Mohd Fikri & Mohamed Hisham Yahya & Taufiq Hassan, 2017. "A Review on Agency Cost of Shariah Governance in Mutual Fund," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 530-538.
  7. Dimitri Vayanos & Paul Woolley, 2013. "An Institutional Theory of Momentum and Reversal," Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145.
  8. Sato, Yuki, 2016. "Delegated portfolio management, optimal fee contracts, and asset prices," Journal of Economic Theory, Elsevier, vol. 165(C), pages 360-389.
  9. Honghui Chen & Vijay Singal & Robert F. Whitelaw, 2015. "Comovement Revisited," NBER Working Papers 21281, National Bureau of Economic Research, Inc.
  10. Johnson, Timothy C., 2016. "Rethinking reversals," Journal of Financial Economics, Elsevier, vol. 120(2), pages 211-228.
  11. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Does foreign portfolio investment strengthen stock-commodity markets connection?," Resources Policy, Elsevier, vol. 65(C).
  12. repec:dau:papers:123456789/11692 is not listed on IDEAS
  13. Muñoz, Manuel A., 2020. "Macroprudential policy and the role of institutional investors in housing markets," Working Paper Series 2454, European Central Bank.
  14. Markus Ibert & Ron Kaniel & Stijn Van Nieuwerburgh & Roine Vestman, 2018. "Are Mutual Fund Managers Paid for Investment Skill?," Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 715-772.
  15. Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
  16. Baumann, Michael Heinrich & Herz, Bernhard & Baumann, Michaela, 2018. "Exchange-traded Funds, Investment Strategies, and Financial Stability," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181542, Verein für Socialpolitik / German Economic Association.
  17. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
  18. Matteo Bonato & Luca Taschini, 2016. "Comovement and the financialization of commodities," GRI Working Papers 215, Grantham Research Institute on Climate Change and the Environment.
  19. repec:ipg:wpaper:2014-414 is not listed on IDEAS
  20. Péter Kondor & Dimitri Vayanos, 2019. "Liquidity Risk and the Dynamics of Arbitrage Capital," Journal of Finance, American Finance Association, vol. 74(3), pages 1139-1173, June.
  21. Cathcart, Lara & El-Jahel, Lina & Evans, Leo & Shi, Yining, 2019. "Excess comovement in credit default swap markets: Evidence from the CDX indices," Journal of Financial Markets, Elsevier, vol. 43(C), pages 96-120.
  22. 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.
  23. R. G Gelos, 2011. "International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey," IMF Working Papers 11/92, International Monetary Fund.
  24. Victoria Dobrynskaya, 2014. "Downside Market Risk of Carry Trades," Review of Finance, European Finance Association, vol. 18(5), pages 1885-1913.
  25. Raddatz, Claudio & Schmukler, Sergio L. & Williams, Tomás, 2017. "International asset allocations and capital flows: The benchmark effect," Journal of International Economics, Elsevier, vol. 108(C), pages 413-430.
  26. Moreira, Alan, 2019. "Capital immobility and the reach for yield," Journal of Economic Theory, Elsevier, vol. 183(C), pages 907-951.
  27. Danbolt, Jo & Hirst, Ian & Jones, Edward, 2018. "Gaming the FTSE 100 index," The British Accounting Review, Elsevier, vol. 50(4), pages 364-378.
  28. 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.
  29. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017. "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, vol. 64(C), pages 231-248.
  30. Chen, Honghui & Singal, Vijay & Whitelaw, Robert F., 2016. "Comovement revisited," Journal of Financial Economics, Elsevier, vol. 121(3), pages 624-644.
  31. Matteo Maggiori & Xavier Gabaix, 2015. "Dynamics of Exchange Rates and Capital Flows," 2015 Meeting Papers 1104, Society for Economic Dynamics.
  32. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Unconventional monetary policy and financialization of commodities," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  33. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
  34. John Fender, 2015. "Towards a General Theory of the Stock Market," Discussion Papers 15-15, Department of Economics, University of Birmingham.
  35. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
  36. Fernando Broner & Alberto Martin & Lorenzo Pandolfi, 2020. "Winners and Losers from Sovereign Debt Inflows," NBER Chapters, in: NBER International Seminar on Macroeconomics 2020, National Bureau of Economic Research, Inc.
  37. Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
  38. Nan Qin & Vijay Singal, 2015. "Indexing and Stock Price Efficiency," Financial Management, Financial Management Association International, vol. 44(4), pages 875-904, October.
  39. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  40. Marta Giampietro & Massimo Guidolin & Manuela Pedio, 2015. "Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?," BAFFI CAREFIN Working Papers 1619, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  41. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
  42. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  43. Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017. "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 45-63.
  44. Larrain, Borja & Muñoz, Daniel & Tessada, José, 2017. "Asset fire sales in equity markets: Evidence from a quasi-natural experiment," Journal of Financial Intermediation, Elsevier, vol. 30(C), pages 71-85.
  45. Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013. "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, vol. 121(2), pages 174-178.
  46. Barbu, Alexandru & Fricke, Christoph & Mönch, Emanuel, 2020. "Procyclical asset management and bond risk premia," Discussion Papers 38/2020, Deutsche Bundesbank.
  47. Corum, Adrian Aycan & Malenko, Andrey & Malenko, Nadya, 2020. "Corporate governance in the presence of active and passive delegated investment," CEPR Discussion Papers 15230, C.E.P.R. Discussion Papers.
  48. Dow, James & Han, Jungsuk, 2015. "Contractual incompleteness, limited liability and asset price bubbles," Journal of Financial Economics, Elsevier, vol. 116(2), pages 383-409.
  49. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
  50. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2019. "Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange," CESifo Working Paper Series 7984, CESifo.
  51. Yen-Cheng Chang & Harrison Hong & Inessa Liskovich, 2015. "Regression Discontinuity and the Price Effects of Stock Market Indexing," Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 212-246.
  52. Huang, Shiyang & Qiu, Zhigang & Yang, Liyan, 2020. "Institutionalization, delegation, and asset prices," Journal of Economic Theory, Elsevier, vol. 186(C).
  53. Alessandro Borin & Virginia Di Nino, 2012. "The role of financial investments in agricultural commodity derivatives markets," Temi di discussione (Economic working papers) 849, Bank of Italy, Economic Research and International Relations Area.
  54. Dumitrescu, Ariadna & Gil-Bazo, Javier, 2018. "Market frictions, investor sophistication, and persistence in mutual fund performance," Journal of Financial Markets, Elsevier, vol. 40(C), pages 40-59.
  55. Patton, Andrew J. & Weller, Brian M., 2020. "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, vol. 137(2), pages 515-549.
  56. Perez-Reyna, David & Villamizar-Villegas, Mauricio, 2019. "Exchange rate effects of financial regulations," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 228-245.
  57. He, Zhiguo & Kelly, Bryan & Manela, Asaf, 2017. "Intermediary asset pricing: New evidence from many asset classes," Journal of Financial Economics, Elsevier, vol. 126(1), pages 1-35.
  58. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
  59. Dahlquist, Magnus & Odegaard, Bernt Arne, 2018. "A Review of Norges Bank's Active Management of the Government Pension Fund Global," UiS Working Papers in Economics and Finance 2018/1, University of Stavanger.
  60. Mustafa Caglayan & Tho Pham & Oleksandr Talavera & Xiong Xiong, 2019. "Asset mispricing in loan secondary markets," Discussion Papers 19-07, Department of Economics, University of Birmingham.
  61. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2011. "ETFs, Arbitrage, and Contagion," Working Paper Series 2011-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  62. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  63. Fich, Eliezer M. & Harford, Jarrad & Tran, Anh L., 2015. "Motivated monitors: The importance of institutional investors׳ portfolio weights," Journal of Financial Economics, Elsevier, vol. 118(1), pages 21-48.
  64. Zhihua Chen & Aziz A. Lookman & Norman Schürhoff & Duane J. Seppi, 2014. "Rating-Based Investment Practices and Bond Market Segmentation," Review of Asset Pricing Studies, Oxford University Press, vol. 4(2), pages 162-205.
  65. Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," NBER Working Papers 24320, National Bureau of Economic Research, Inc.
  66. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2014. "Asset Management Contracts and Equilibrium Prices," NBER Working Papers 20480, National Bureau of Economic Research, Inc.
  67. 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.
  68. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Majdi Hassan, 2018. "The efficiency of mutual funds," Annals of Operations Research, Springer, vol. 267(1), pages 555-584, August.
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