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Citations for "The Limits of Arbitrage"

by Andrei Shleifer ad Robert W. Vishny

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  1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
  2. Huberman, Gur, 2007. "Is the Price of Money Managers Too Low?," CEPR Discussion Papers 6531, C.E.P.R. Discussion Papers.
  3. 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.
  4. Robin Greenwood & Samuel Hanson & Jeremy C. Stein, 2010. "A Gap-Filling Theory of Corporate Debt Maturity Choice," Journal of Finance, American Finance Association, vol. 65(3), pages 993-1028, 06.
  5. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
  6. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
  7. Nicola Gennaioli, 2012. "A Model of Shadow Banking," 2012 Meeting Papers 89, Society for Economic Dynamics.
  8. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014. "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers 20459, National Bureau of Economic Research, Inc.
  9. Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
  10. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "Stock and bond market interaction: Does momentum spill over?," Journal of Financial Economics, Elsevier, vol. 75(3), pages 651-690, March.
  11. Guohua Jiang & Donglin Li & Gang Li, 2012. "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 165-188, August.
  12. Wang, Chunyang, 2013. "Bailouts and bank runs: Theory and evidence from TARP," European Economic Review, Elsevier, vol. 64(C), pages 169-180.
  13. Erkko Etula, 2013. "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(3), pages 486-521, June.
  14. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  15. Xu Li, 2011. "Behavioral theories and the pricing of IPOs’ discretionary current accruals," Review of Quantitative Finance and Accounting, Springer, vol. 37(1), pages 87-104, July.
  16. Alan Kirman, 2010. "The Economic Crisis is a Crisis for Economic Theory ," CESifo Economic Studies, CESifo, vol. 56(4), pages 498-535, December.
  17. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research.
  18. Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing and Predictable Crashes," Working Paper Series WP-2014-27, Federal Reserve Bank of Chicago.
  19. Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011. "On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, 09.
  20. Jeremy C. Stein, 2005. "Why are most Funds Open-end? Competition and the Limits of Arbitrage," The Quarterly Journal of Economics, MIT Press, vol. 120(1), pages 247-272, January.
  21. Ivanov, Sergei, 2014. "Альтернативный Подход К Определению Условий Отсутствия Арбитража
    [Alternetive way of determining no arbitrage conditions]
    ," MPRA Paper 58572, University Library of Munich, Germany, revised 15 Sep 2014.
  22. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2009. "Does the law of one price hold in international financial markets? Evidence from tick data," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1741-1754, October.
  23. Fama, Eugene F. & French, Kenneth R., 2007. "Disagreement, tastes, and asset prices," Journal of Financial Economics, Elsevier, vol. 83(3), pages 667-689, March.
  24. Adrian, Tobias & Etula, Erkko & Groen, Jan J.J., 2011. "Financial amplification of foreign exchange risk premia," European Economic Review, Elsevier, vol. 55(3), pages 354-370, April.
  25. Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing and Life-Cycle Portfolio Choice," NBER Working Papers 12309, National Bureau of Economic Research, Inc.
  26. Korkut Erturk, 2005. "Speculation, Liquidity Preference and Monetary Circulation," Working Paper Series, Department of Economics, University of Utah 2005_12, University of Utah, Department of Economics.
  27. Lof, Matthijs, 2010. "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper 30520, University Library of Munich, Germany.
  28. Gur Huberman & Simon Gilchrist & Charles Himmelberg, 2004. "Do Stock Price Bubbles Influence Corporate Investment?," 2004 Meeting Papers 147, Society for Economic Dynamics.
  29. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  30. Jung-Wook Kim & Jason Lee & Randall Morck, 2009. "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers 14733, National Bureau of Economic Research, Inc.
  31. Justin Wolfers & Eric Zitzewitz, 2004. "Prediction Markets," NBER Working Papers 10504, National Bureau of Economic Research, Inc.
  32. Dimitri Vayanos & Paul Woolley, 2008. "An institutional theory of momentum and reversal," LSE Research Online Documents on Economics 24423, London School of Economics and Political Science, LSE Library.
  33. Andrey Kudryavtsev, 2015. "Informational Content of Open-to-Close Stock Returns," European Financial and Accounting Journal, University of Economics, Prague, vol. 2015(1).
  34. Andrew T. Young & Travis Wiseman & Thomas L. Hogan, 2010. "Changing Perceptions of Maturity Mismatch in the US Banking System: Evidence from Equity Markets," Working Papers 10-04, Department of Economics, West Virginia University.
  35. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," Levine's Bibliography 122247000000000861, UCLA Department of Economics.
  36. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 271-306.
  37. Stefan Arping, 2015. "Banks and Market Liquidity," Tinbergen Institute Discussion Papers 15-020/IV, Tinbergen Institute.
  38. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology.
  39. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
  40. Chau Duong & Gioia Pescetto & Daniel Santamaria, 2014. "How value-glamour investors use financial information: UK evidence of investors' confirmation bias," The European Journal of Finance, Taylor & Francis Journals, vol. 20(6), pages 524-549, June.
  41. Stulz, Rene M., 2009. "Credit Default Swaps and the Credit Crisis," Working Paper Series 2009-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  42. Artyom Durnev & Randall Morck & Bernard Yeung, 2001. "Capital Markets and Capital Allocation: Implications for Economies in Transition," William Davidson Institute Working Papers Series 417, William Davidson Institute at the University of Michigan.
  43. 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.
  44. Carol Alexandra, 2003. "The Present, Future and Imperfect of Financial Risk Management," ICMA Centre Discussion Papers in Finance icma-dp2003-12, Henley Business School, Reading University, revised Feb 2004.
  45. Murat Duran & Doruk Kucuksarac, 2012. "Are Swap and Bond Markets Alternatives to Each Other in Turkey?," Working Papers 1223, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  46. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, . "Money Doctors," Working Paper 228501, Harvard University OpenScholar.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2015. "Money Doctors," Journal of Finance, American Finance Association, vol. 70(1), pages 91-114, 02.
    • Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2012. "Money Doctors," NBER Working Papers 18174, National Bureau of Economic Research, Inc.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, . "Money Doctors," Working Paper 69721, Harvard University OpenScholar.
    • Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert W., 2014. "Money Doctors," Scholarly Articles 12965657, Harvard University Department of Economics.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012. "Money Doctors," Working Papers 464, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012. "Money doctors," Economics Working Papers 1355, Department of Economics and Business, Universitat Pompeu Fabra.
  47. Taylor, Mark P, 2003. "Is Official Exchange Rate Intervention Effective?," CEPR Discussion Papers 3758, C.E.P.R. Discussion Papers.
  48. Officer, Micah S., 2007. "Are performance based arbitrage effects detectable? Evidence from merger arbitrage," Journal of Corporate Finance, Elsevier, vol. 13(5), pages 793-812, December.
  49. Stefan Reitz , Mark P. Taylor, 2012. "FX Intervention in the Yen-US Dollar Market: A Coordination Channel Perspective," Kiel Working Papers 1765, Kiel Institute for the World Economy.
  50. Joseph Gyourko, 2009. "Understanding Commercial Real Estate: Just How Different from Housing Is It?," NBER Working Papers 14708, National Bureau of Economic Research, Inc.
  51. repec:eme:qrfmpp:v:3:y:2011:i:2:p:36-67 is not listed on IDEAS
  52. Peng, Lin & Xiong, Wei, 2006. "Investor attention, overconfidence and category learning," Journal of Financial Economics, Elsevier, vol. 80(3), pages 563-602, June.
  53. Lerner, Josh & Schoar, Antoinette, 2004. "The illiquidity puzzle: theory and evidence from private equity," Journal of Financial Economics, Elsevier, vol. 72(1), pages 3-40, April.
  54. Salomonsson, Marcus, 2006. "Endogenous Noise Traders," SSE/EFI Working Paper Series in Economics and Finance 644, Stockholm School of Economics.
  55. Simon Johnson & Peter Boone & Alasdair Breach & Eric Friedman, 1999. "Corporate Governance in the Asian Financial Crisis," William Davidson Institute Working Papers Series 297, William Davidson Institute at the University of Michigan.
  56. He, Zhiguo & Xiong, Wei, 2013. "Delegated asset management, investment mandates, and capital immobility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 239-258.
  57. M. Levati & Jianying Qiu & Prashanth Mahagaonkar, 2012. "Testing the Modigliani-Miller theorem directly in the lab," Experimental Economics, Springer, vol. 15(4), pages 693-716, December.
  58. Neil Crosby & Cathy Hughes, 2011. "The Basis of Valuations for Secured Commercial Property Lending in the UK," Real Estate & Planning Working Papers rep-wp2011-02, Henley Business School, Reading University.
  59. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2175-2184, December.
  60. Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2011. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  61. Owen A. Lamont & Jeremy C. Stein, 2003. "Aggregate Short Interest and Market Valuations," Harvard Institute of Economic Research Working Papers 2027, Harvard - Institute of Economic Research.
  62. 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.
  63. Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc.
  64. Choi, Jaehyung, 2014. "Physical approach to price momentum and its application to momentum strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 61-72.
  65. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
  66. Edward L. Glaeser, 2004. "Psychology and the Market," NBER Working Papers 10203, National Bureau of Economic Research, Inc.
  67. Shleifer, Andrei & Vishny, Robert W., 2010. "Asset Fire Sales and Credit Easing," Scholarly Articles 10362022, Harvard University Department of Economics.
  68. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5285-5299.
  69. William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004. "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers 10850, National Bureau of Economic Research, Inc.
  70. Itzhak Ben-David & Francesco A. Franzoni & Augustin Landier & Rabih Moussawi, . "Do Hedge Funds Manipulate Stock Prices?," Swiss Finance Institute Research Paper Series 11-53, Swiss Finance Institute.
  71. Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series 1117, The University of Melbourne.
  72. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2123-2136, August.
  73. James Dow & Gary Gorton, 2006. "Noise Traders," NBER Working Papers 12256, National Bureau of Economic Research, Inc.
  74. Kenneth A. Froot, 1999. "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers 7286, National Bureau of Economic Research, Inc.
  75. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, vol. 15(2), pages 286-327.
  76. Joep Sonnemans & Jan Tuinstra, 2008. "Positive Expectations Feedback Experiments and Number Guessing Games as Models of Financial Markets," Tinbergen Institute Discussion Papers 08-076/1, Tinbergen Institute.
  77. Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy, 2010. "Periodic Sequences of Arbitrage: A Tale of Four Currencies," Working Papers 1019, University of Strathclyde Business School, Department of Economics.
  78. Ivaschenko, Iryna V., 2004. "Coping with financial spillovers from the United States: the effect of US corporate scandals on Canadian stock prices," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 407-424.
  79. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2012. "Costs and Benefits of Speculation," Discussion Papers 2012/12, Department of Business and Management Science, Norwegian School of Economics.
  80. repec:dgr:uvatin:2006029 is not listed on IDEAS
  81. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010. "Neglected Risks, Financial Innovation, and Financial Fragility," Working Papers 502, Barcelona Graduate School of Economics.
  82. Inci, A. Can & Li, H.C. & McCarthy, Joseph, 2011. "Financial contagion: A local correlation analysis," Research in International Business and Finance, Elsevier, vol. 25(1), pages 11-25, January.
  83. Fernando A. Broner & R. Gaston Gelos & Carmen M. Reinhart, 2005. "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," Working Papers 207, Barcelona Graduate School of Economics.
  84. Harald Hau & Hélène Rey, 2006. "Exchange Rates, Equity Prices, and Capital Flows," Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.
  85. Namho Kang & Peter Kondor & Ronnie Sadka, 2012. "Do Hedge Funds Reduce Idiosyncratic Risk?," CEU Working Papers 2012_15, Department of Economics, Central European University, revised 04 Oct 2012.
  86. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, 08.
  87. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  88. Hoje Jo & Haejung Na, 2012. "Does CSR Reduce Firm Risk? Evidence from Controversial Industry Sectors," Journal of Business Ethics, Springer, vol. 110(4), pages 441-456, November.
  89. John Fernald & John H. Rogers, 1998. "Puzzles in the Chinese stock market," International Finance Discussion Papers 619, Board of Governors of the Federal Reserve System (U.S.).
  90. Gunther Tichy, 2010. "War die Finanzkrise vorhersehbar?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 11(4), pages 356-382, November.
  91. Sayim, Mustafa & Rahman, Hamid, 2015. "An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market," Global Finance Journal, Elsevier, vol. 26(C), pages 1-17.
  92. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
  93. Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang, 2012. "Does attention affect individual investors' investment return?," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 143-162, April.
  94. Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
  95. Koutmos, Dimitrios & Song, Wei, 2014. "Speculative dynamics and price behavior in the Shanghai Stock Exchange," Research in International Business and Finance, Elsevier, vol. 31(C), pages 74-86.
  96. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
  97. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(02), pages 467-488, April.
  98. Sendhil Mullainathan & Richard H. Thaler, 2000. "Behavioral Economics," NBER Working Papers 7948, National Bureau of Economic Research, Inc.
  99. D Peel & I A Venetis, 2005. "Smooth transition models and arbitrage consistency," Working Papers 566786, Lancaster University Management School, Economics Department.
  100. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
  101. Sophie van Huellen, 2013. "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers 185, Department of Economics, SOAS, University of London, UK.
  102. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  103. Pavel Bandarchuk & Jens Hilscher, 2011. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Working Papers 38, Brandeis University, Department of Economics and International Businesss School.
  104. Acharya, Viral V & Lochstoer, Lars & Ramadorai, Tarun, 2009. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers 7327, C.E.P.R. Discussion Papers.
  105. Luboš Komárek & Ivana Kubicová, 2011. "Methods of Identification Asset Price Bubbles In the Czech Economy," Politická ekonomie, University of Economics, Prague, vol. 2011(2), pages 164-183.
  106. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
  107. Fuertes, Ana-Maria & Thomas, Dylan C., 2006. "Large market shocks and abnormal closed-end-fund price behaviour," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2517-2535, September.
  108. Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014. "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, vol. 17(C), pages 199-229.
  109. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers 504, China Economics and Management Academy, Central University of Finance and Economics.
  110. Andrew Ellul & Chotibhak Jotikasthira & Christian T. Lundblad & Yihui Wang, 2013. "Mark-to-market accounting and systemic risk: evidence from the insurance industry," LSE Research Online Documents on Economics 60968, London School of Economics and Political Science, LSE Library.
  111. Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
  112. Ren� M. Stulz, 2007. "Hedge Funds: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 175-194, Spring.
  113. Leif Brandes & Katja Rost, . "Media, Limited Attention and the Propensity of Individuals to Buy Stocks," Working Papers 0098, University of Zurich, Institute for Strategy and Business Economics (ISU).
  114. 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.
  115. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
  116. Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
  117. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
  118. Owen Lamont & Christopher Polk, . "The Diversification Discount: Cash Flows vs. Returns."," CRSP working papers 504, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  119. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  120. Chen, Lin & Qin, Lu & Zhu, Hongquan, 2015. "Opinion divergence, unexpected trading volume and stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 119-127.
  121. Larrain, Borja & Urzúa I., Francisco, 2013. "Controlling shareholders and market timing in share issuance," Journal of Financial Economics, Elsevier, vol. 109(3), pages 661-681.
  122. Kaliva, Kasimir & Koskinen, Lasse, 2008. "Stock market bubbles, inflation and investment risk," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 592-603, June.
  123. Nöth, Markus & Weber, Martin, 2000. "Information Aggregation with Random Ordering: Cascades and Overconfidence," Sonderforschungsbereich 504 Publications 00-34, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  124. Suarez, E. Dante, 2005. "Arbitrage opportunities in the depositary receipts market: Myth or reality?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 469-480, December.
  125. Ahoniemi, Katja & Lanne, Markku, 2009. "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 239-258.
  126. Attari, Mukarram & Mello, Antonio S., 2006. "Financially constrained arbitrage in illiquid markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2793-2822, December.
  127. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 123-151.
  128. Cohen, Daniel A. & Dey, Aiyesha & Lys, Thomas Z. & Sunder, Shyam V., 2007. "Earnings announcement premia and the limits to arbitrage," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 153-180, July.
  129. Lee, Charles M. C., 2001. "Market efficiency and accounting research: a discussion of 'capital market research in accounting' by S.P. Kothari," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 233-253, September.
  130. Samuel G. Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed Income Investors," Working Paper 151246, Harvard University OpenScholar.
  131. Sonnemans, Joep & Tuinstra, Jan, 2010. "Positive expectations feedback experiments and number guessing games as models of financial markets," Journal of Economic Psychology, Elsevier, vol. 31(6), pages 964-984, December.
  132. Witte, Björn-Christopher, 2013. "Fundamental traders' ‘tragedy of the commons’: Information costs and other determinants for the survival of experts and noise traders in financial markets," Economic Modelling, Elsevier, vol. 32(C), pages 377-385.
  133. Pütz, Alexander & Ruenzi, Stefan, 2010. "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers 08-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  134. Campello, Murillo & Graham, John R., 2013. "Do stock prices influence corporate decisions? Evidence from the technology bubble," Journal of Financial Economics, Elsevier, vol. 107(1), pages 89-110.
  135. Hung, Weifeng, 2014. "Institutional trading and attention bias," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 71-91.
  136. Grullon, Gustavo & Albert Wang, F., 2001. "Closed-End Fund Discounts with Informed Ownership Differential," Journal of Financial Intermediation, Elsevier, vol. 10(2), pages 171-205, April.
  137. Beltratti, Andrea & Paladino, Giovanna, 2011. "Is M&A different during a crisis? Evidence from the European banking sector," MPRA Paper 35065, University Library of Munich, Germany.
  138. Randall Morck & Bernard Yeung & Wayne Yu, 1999. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?," Harvard Institute of Economic Research Working Papers 1879, Harvard - Institute of Economic Research.
  139. Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2011. "Insider trading with partially informed traders," Discussion Papers 2011/21, Department of Business and Management Science, Norwegian School of Economics.
  140. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.
  141. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 249-260.
  142. Utku Uygur & Oktay Taş, 2014. "The impacts of investor sentiment on returns and conditional volatility of international stock markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1165-1179, May.
  143. Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 268-279.
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