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Market liquidity, asset prices, and welfare

Citations

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Cited by:

  1. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  2. Emiliano S. Pagnotta & Thomas Philippon, 2018. "Competing on Speed," Econometrica, Econometric Society, vol. 86(3), pages 1067-1115, May.
  3. Dimitri Vayanos & Jiang Wang, 2012. "Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1339-1365.
  4. Boško Živković & Jelena Minović, 2010. "Illiquidity of Frontier Financial Market: Case of Serbia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 349-367, September.
  5. Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
  6. Sigaux, Jean-David, 2024. "Trading ahead of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 158(C).
  7. Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
  8. Guillaume Rocheteau & Pierre‐Olivier Weill, 2011. "Liquidity in Frictional Asset Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s2), pages 261-282, October.
  9. Liang, Samuel Xin & Wei, John K.C., 2012. "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3274-3288.
  10. Francis A. Longstaff, 2018. "Valuing Thinly Traded Assets," Management Science, INFORMS, vol. 64(8), pages 3868-3878, August.
  11. Daskalaki, Charoula & Skiadopoulos, George, 2016. "The effects of margin changes on commodity futures markets," Journal of Financial Stability, Elsevier, vol. 22(C), pages 129-152.
  12. Francis Longstaff, 2014. "Valuing Thinly-Traded Assets," NBER Working Papers 20589, National Bureau of Economic Research, Inc.
  13. Lagos, Ricardo & Rocheteau, Guillaume & Weill, Pierre-Olivier, 2011. "Crises and liquidity in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2169-2205.
  14. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  15. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
  16. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
  17. Caglayan, Mustafa & Pham, Tho & Talavera, Oleksandr & Xiong, Xiong, 2020. "Asset mispricing in peer-to-peer loan secondary markets," Journal of Corporate Finance, Elsevier, vol. 65(C).
  18. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
  19. Viktor Manahov, 2024. "The great crypto crash in September 2018: why did the cryptocurrency market collapse?," Annals of Operations Research, Springer, vol. 332(1), pages 579-616, January.
  20. Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
  21. 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.
  22. Stefan Arping, 2015. "Banks and Market Liquidity," Tinbergen Institute Discussion Papers 15-020/IV, Tinbergen Institute.
  23. Fecht, Falko & Eder, Armin & Pausch, Thilo, 2013. "Banks, Markets, and Financial Stability," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79712, Verein für Socialpolitik / German Economic Association.
  24. Brian Y. An & Raphael W. Bostic & Andrew Jakabovics & Anthony W. Orlando & Seva Rodnyansky, 2021. "Why Are Small and Medium Multifamily Properties So Inexpensive?," The Journal of Real Estate Finance and Economics, Springer, vol. 62(3), pages 402-422, April.
  25. Franklin Allen & Ana Babus & Elena Carletti, 2009. "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 97-116, November.
  26. Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
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