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Leverage constraints and asset prices: Insights from mutual fund risk taking

Citations

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  1. Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Burned by leverage? Flows and fragility in bond mutual funds," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 354-380.
  2. Aragon, George O. & Kim, Min S., 2023. "Fire sale risk and expected stock returns," Journal of Financial Economics, Elsevier, vol. 149(3), pages 578-609.
  3. Daniel Barth & Laurel Hammond & Phillip Monin, 2020. "Leverage and Risk in Hedge Funds," Working Papers 20-02, Office of Financial Research, US Department of the Treasury.
  4. Barroso, Pedro & Detzel, Andrew & Maio, Paulo, 2025. "The volatility puzzle of the beta anomaly," Journal of Financial Economics, Elsevier, vol. 165(C).
  5. Qi-an Chen & Huashi Li & Jianyi Lin & Yunfeng Gao, 2025. "The Role of Housing Mortgage Leverage in Stock Asset Pricing: Evidence from the Chinese A-share Market," The Journal of Real Estate Finance and Economics, Springer, vol. 71(2), pages 209-253, August.
  6. Benjamin Golez & Jens Jackwerth & Anna Slavutskaya, 2024. "Funding Illiquidity Implied by S&P 500 Derivatives," Risks, MDPI, vol. 12(9), pages 1-33, September.
  7. Hitzemann, Steffen & Sokolinski, Stanislav & Tai, Mingzhu, 2022. "Paying for beta: Leverage demand and asset management fees," Journal of Financial Economics, Elsevier, vol. 145(1), pages 105-128.
  8. Sanaullah & Muhammad Shahbaz Khan & Dr. Amna Noor & Salleh Khan, 2021. "An Investigation of Market Timing Ability of Mutual Fund Managers in Pakistan," iRASD Journal of Management, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 56-68, june.
  9. Akhtaruzzaman, Md & Chiah, Mardy & Docherty, Paul & Zhong, Angel, 2021. "Betting against bank profitability," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 304-323.
  10. Liu Yang & Qing Zhou, 2021. "Leverage constraints and corporate financing decisions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5199-5230, December.
  11. Fricke, Christoph & Fricke, Daniel, 2021. "Vulnerable asset management? The case of mutual funds," Journal of Financial Stability, Elsevier, vol. 52(C).
  12. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
  13. Kirkby, J. Lars & Mitra, Sovan & Nguyen, Duy, 2020. "An analysis of dollar cost averaging and market timing investment strategies," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1168-1186.
  14. Jianfeng Hu, 2020. "Is the synthetic stock price really lower than actual price?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1809-1824, December.
  15. Zhongjin Lu & Zhongling Qin, 2021. "Leveraged Funds and the Shadow Cost of Leverage Constraints," Journal of Finance, American Finance Association, vol. 76(3), pages 1295-1338, June.
  16. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
  17. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
  18. Fricke, Daniel, 2025. "Synthetic leverage and fund risk-taking," Journal of International Money and Finance, Elsevier, vol. 154(C).
  19. Dan Li & Phillip J. Monin & Lubomir Petrasek, 2024. "Credit Supply and Hedge Fund Performance: Evidence from Prime Broker Surveys," Finance and Economics Discussion Series 2024-089, Board of Governors of the Federal Reserve System (U.S.).
  20. Jianfu Shen & Eddie C.M. Hui & Kwokyuen Fan, 2021. "The Beta Anomaly in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 414-436, October.
  21. Chanaka Edirisinghe & Jaehwan Jeong, 2022. "Mean–Variance Portfolio Efficiency under Leverage Aversion and Trading Impact," JRFM, MDPI, vol. 15(3), pages 1-16, February.
  22. Pelster, Matthias, 2024. "Leverage constraints and investors' choice of underlyings," Journal of Banking & Finance, Elsevier, vol. 162(C).
  23. Do, Hung X. & Nguyen, Nhut H. & Nguyen, Quan M.P., 2022. "Financial leverage and stock return comovement," Journal of Financial Markets, Elsevier, vol. 60(C).
  24. Wang, Jianqiu & Wu, Ke & Pan, Jiening & Jiang, Ying, 2023. "Disagreement, speculation, and the idiosyncratic volatility," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 232-250.
  25. Roongkiat Ratanabanchuen & Kanis Saengchote, 2018. "Chasing Returns with High-Beta Stocks," PIER Discussion Papers 96, Puey Ungphakorn Institute for Economic Research.
  26. Graziano, Marco & Habib, Maurizio Michael, 2024. "Mutual funds and safe government bonds: do returns matter?," Working Paper Series 2931, European Central Bank.
  27. Peterburgsky, Stanley, 2024. "An industry-level analysis of a pandemic's impact on stock market risk," International Review of Economics & Finance, Elsevier, vol. 95(C).
  28. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
  29. Hu, Xiaolu & Luo, Haoyi, 2023. "Like a duck to water: Do credit rating analysts outperform in bond fund management," Journal of Corporate Finance, Elsevier, vol. 82(C).
  30. Matteo Crosignani & Lina Han & Marco Macchiavelli, 2025. "Navigating Geoeconomic Risk: Evidence from U.S. Mutual Funds," Staff Reports 1172, Federal Reserve Bank of New York.
  31. Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2023. "Non-bank financial intermediaries and financial stability," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 7, pages 147-170, Edward Elgar Publishing.
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