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Citations for "Securities lending, shorting, and pricing"

by Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje

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  1. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011. "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers 16898, National Bureau of Economic Research, Inc.
  2. Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00665629, HAL.
  3. Fellner, Gerlinde & Theissen, Erik, 2014. "Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 113-127.
  4. Stratmann, Thomas & Welborn, John W., 2013. "The options market maker exception to SEC Regulation SHO," Journal of Financial Markets, Elsevier, vol. 16(2), pages 195-226.
  5. Diether, Karl & Lee, Kuan Hui & Werner, Ingrid M., 2007. "It’s SHO Time! Short-Sale Price-Tests and Market Quality," Working Paper Series 2006-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  6. Boehme, Rodney D. & Danielsen, Bartley R. & Kumar, Praveen & Sorescu, Sorin M., 2009. "Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)," Journal of Financial Markets, Elsevier, vol. 12(3), pages 438-468, August.
  7. Pedro A. C. Saffi & Kari Sigurdsson, 2011. "Price Efficiency and Short Selling," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 821-852.
  8. Basak, Suleyman & Croitoru, Benjamin, 2006. "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
  9. Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
  10. D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
  11. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
  12. Fellner, Gerline & Theissen, Erik, 2011. "Short sale constraints, divergence of opinion and asset values: Evidence from the laboratory," CFS Working Paper Series 2011/05, Center for Financial Studies (CFS).
  13. Owen Lamont, 2004. "Go Down Fighting: Short Seller vs. Firms," Yale School of Management Working Papers amz2521, Yale School of Management, revised 01 Aug 2004.
  14. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
  15. Paul Asquith & Andrea S. Au & Thomas R. Covert & Parag A. Pathak, 2010. "The Market for Borrowing Corporate Bonds," NBER Working Papers 16282, National Bureau of Economic Research, Inc.
  16. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  17. Shin S. Ikeda & Yan Zhang, 2012. "Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China," GRIPS Discussion Papers 12-12, National Graduate Institute for Policy Studies.
  18. Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti, 2013. "Short-Sellers: Informed but Restricted," Working Papers, Department of Economics 2013_05, University of São Paulo (FEA-USP).
  19. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
  20. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 2985-3028.
  21. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Advisors and Asset Prices: A Model of the Origins of Bubbles," Levine's Bibliography 122247000000001003, UCLA Department of Economics.
  22. Simon Gilchrist & Charles P. Himmelberg & Gur Huberman, 2004. "Do stock price bubbles influence corporate investment?," Staff Reports 177, Federal Reserve Bank of New York.
  23. Clay M. Moffett & Robert Brooks & Jin Q. Jeon, 2012. "The efficacy of Regulation SHO in resolving naked shorts," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(1), pages 72-98, February.
  24. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers 550, Institut d'Économie Industrielle (IDEI), Toulouse.
  25. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
  26. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
  27. Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," CEPR Discussion Papers 10234, C.E.P.R. Discussion Papers.
  28. Richmond Mathews & Naveen Khanna, 2010. "Bear Raids and Short Sale Bans: Is Government Intervention Justifiable?," 2010 Meeting Papers 165, Society for Economic Dynamics.
  29. Dmitrios Vayanos, 2004. "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings 647, Econometric Society.
  30. Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," CEPR Discussion Papers 6455, C.E.P.R. Discussion Papers.
  31. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  32. Malcolm Baker & Jeffrey Wurgler, 2004. "A Catering Theory of Dividends," Journal of Finance, American Finance Association, vol. 59(3), pages 1125-1165, 06.
  33. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2012. "Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 309-318.
  34. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  35. Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013. "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, vol. 108(2), pages 302-322.
  36. Edwards, Amy K. & Hanley, Kathleen Weiss, 2010. "Short selling in initial public offerings," Journal of Financial Economics, Elsevier, vol. 98(1), pages 21-39, October.
  37. Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012. "The dollar squeeze of the financial crisis," Documents de travail du Centre d'Economie de la Sorbonne 12009, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  38. Huber, Jurgen, 2007. "`J'-shaped returns to timing advantage in access to information - Experimental evidence and a tentative explanation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2536-2572, August.
  39. Pierre-Olivier Weill & Dimitri Vayanos, 2007. "A Search-Based Theory of the On-the-Run Phenomenon," FMG Discussion Papers dp577, Financial Markets Group.
  40. 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.
  41. Khanna, Naveen & Mathews, Richmond D., 2012. "Doing battle with short sellers: The conflicted role of blockholders in bear raids," Journal of Financial Economics, Elsevier, vol. 106(2), pages 229-246.
  42. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
  43. Arturo Bris & William N. Goetzmann & Ning Zhu, 2003. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm321, Yale School of Management.
  44. Jose Ramón Martínez Resano & Liliana Toledo Falcón, 2002. "Futuros sobre acciones: demanda e implicaciones sobre los mercados de renta variable," Banco de Espa�a Working Papers 0218, Banco de Espa�a.
  45. Hauser, Florian & Huber, Jürgen, 2012. "Short-selling constraints as cause for price distortions: An experimental study," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1279-1298.
  46. Yan, Wanfeng & Woodard, Ryan & Sornette, Didier, 2012. "Diagnosis and prediction of rebounds in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1361-1380.
  47. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
  48. repec:hal:journl:halshs-00673982 is not listed on IDEAS
  49. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
  50. Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael & Yu, Yinghui, 2012. "Short-sale constraints: Reductions in costs of capital or overvaluation? Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 506-520.
  51. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 271-306.
  52. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
  53. Ian Ayres & Colin Rowat & Nasser Zakariya, 2006. "Optimal two stage committee voting rules," Discussion Papers 04-23r, Department of Economics, University of Birmingham.
  54. Cakici, Nusret & Tan, Sinan, 2014. "Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 179-209.
  55. Bayar, Onur & Chemmanur, Thomas J. & Liu, Mark H., 2011. "A theory of equity carve-outs and negative stub values under heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 100(3), pages 616-638, June.
  56. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
  57. 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.
  58. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
  59. Pascal François & Alon Raviv, 2014. "Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy," Cahiers de recherche 1401, CIRPEE.
  60. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
  61. Lim, Bryan Y., 2011. "Short-sale constraints and price bubbles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2443-2453, September.
  62. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks 67, Collegio Carlo Alberto.
  63. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
  64. Chemmanur, Thomas J. & Paeglis, Imants, 2005. "Management quality, certification, and initial public offerings," Journal of Financial Economics, Elsevier, vol. 76(2), pages 331-368, May.
  65. Jiang, Danling & Peterson, David R. & Doran, James S., 2014. "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 36-59.
  66. Bogan, Vicki, 2009. "Bubbles or convenience yields? A theoretical explanation with evidence from technology company equity carve-outs," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 248-281, March.
  67. Thomas J. Brennan & Andrew W. Lo, 2008. "Impossible Frontiers," NBER Working Papers 14525, National Bureau of Economic Research, Inc.
  68. Lauren Cohen & Karl B. Diether & Christopher J. Malloy, 2007. "Supply and Demand Shifts in the Shorting Market," Journal of Finance, American Finance Association, vol. 62(5), pages 2061-2096, October.
  69. Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, vol. 61(3), pages 1073-1117, 06.
  70. Bejan, Camelia & Bidian, Florin, 2010. "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper 36819, University Library of Munich, Germany, revised 20 Feb 2012.
  71. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
  72. Simsek, Alp, 2012. "Belief Disagreements and Collateral Constraints," Scholarly Articles 9561259, Harvard University Department of Economics.
  73. repec:hal:journl:halshs-00476004 is not listed on IDEAS
  74. Li Lin & Didier Sornette, 2009. "Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times," Papers 0911.1921, arXiv.org.
  75. Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012. "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, vol. 103(2), pages 280-293.
  76. Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
  77. Juan Carlos Hatchondo, 2005. "Asymmetric information and the lack of international portfolio diversification," Working Paper 05-07, Federal Reserve Bank of Richmond.
  78. Au, Andrea S. & Doukas, John A. & Onayev, Zhan, 2009. "Daily short interest, idiosyncratic risk, and stock returns," Journal of Financial Markets, Elsevier, vol. 12(2), pages 290-316, May.
  79. Tibor Neugebauer & Sascha Füllbrunn, 2013. "Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations," LSF Research Working Paper Series 13-14, Luxembourg School of Finance, University of Luxembourg.
  80. Li, Yuanzhi & Zhong, Zhaodong (Ken), 2013. "Investing in Chapter 11 stocks: Trading, value, and performance," Journal of Financial Markets, Elsevier, vol. 16(1), pages 33-60.
  81. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  82. Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti, 2012. "Testing the Effects of Short-Selling Restrictions on Asset Prices," Working Papers, Department of Economics 2012_18, University of São Paulo (FEA-USP).
  83. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç, 2014. "Optimal multi-period consumption and investment with short-sale constraints," Finance Research Letters, Elsevier, vol. 11(1), pages 16-24.
  84. Duong, Truong X. & Huszár, Zsuzsa R. & Yamada, Takeshi, 2015. "The costs and benefits of short sale disclosure," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 124-139.
  85. Eli Ofek & Matthew Richardson & Robert F. Whitelaw, 2003. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," NBER Working Papers 9423, National Bureau of Economic Research, Inc.
  86. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14, August.
  87. Boni, Leslie, 2006. "Strategic delivery failures in U.S. equity markets," Journal of Financial Markets, Elsevier, vol. 9(1), pages 1-26, February.
  88. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
  89. Chen, Zhaohui & Wilhelm Jr., William J., 2008. "A theory of the transition to secondary market trading of IPOs," Journal of Financial Economics, Elsevier, vol. 90(3), pages 219-236, December.
  90. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
  91. Saade, Samer, 2015. "Investor sentiment and the underperformance of technology firms initial public offerings," Research in International Business and Finance, Elsevier, vol. 34(C), pages 205-232.
  92. Ahn, Hee-Joon & Cai, Jun & Cheung, Yan Leung, 2005. "Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong," Journal of Financial Markets, Elsevier, vol. 8(4), pages 421-451, November.
  93. Zhao, Min (Kevin), 2009. "Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(4), pages 505-530.
  94. Alexander, Gordon J. & Peterson, Mark A., 2008. "The effect of price tests on trader behavior and market quality: An analysis of Reg SHO," Journal of Financial Markets, Elsevier, vol. 11(1), pages 84-111, February.
  95. Sascha Füllbrunn & Tibor Neugebauer, 2012. "Margin Trading Bans in Experimental Asset Markets," Jena Economic Research Papers 2012-058, Friedrich-Schiller-University Jena.
  96. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, vol. 24(2), pages 19-51, November.
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