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Citations for "Arbitrage Chains"

by James Dow & Gary Gorton

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  1. Xavier Vives & Giovanni Cespa, 2011. "Higher Order Expectations, Illiquidity, and Short Term Trading," 2011 Meeting Papers 929, Society for Economic Dynamics.
  2. Giovanni Cespa & Xavier Vives, 2014. "The Beauty Contest and Short-Term Trading," CSEF Working Papers 383, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  3. Liu, Qi & Lu, Lei & Sun, Bo & Yan, Hongjun, 2015. "A Model of Anomaly Discovery," International Finance Discussion Papers 1128, Board of Governors of the Federal Reserve System (U.S.).
  4. Cespa, Giovanni & Vives, Xavier, 2011. "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers 8303, C.E.P.R. Discussion Papers.
  5. Steven Malliaris & Hongjun Yan, 2008. "Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices," Yale School of Management Working Papers amz2380, Yale School of Management, revised 01 Mar 2009.
  6. McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
  7. R. Andergassen, 2003. "Rational destabilising speculation and the riding of bubbles," Working Papers 475, Dipartimento Scienze Economiche, Universita' di Bologna.
  8. Craig W. Holden & Avanidhar Subrahmanyam, 2002. "News Events, Information Acquisition, and Serial Correlation," The Journal of Business, University of Chicago Press, vol. 75(1), pages 1-32, January.
  9. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral finance," Papers 03-14, Sonderforschungsbreich 504.
  10. Davidson, Malcolm & Gorton, Gary B, 1995. "Stock Market Efficiency and Economic Efficiency: Is There a Connection?," CEPR Discussion Papers 1261, C.E.P.R. Discussion Papers.
  11. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9142, University Library of Munich, Germany.
  12. Dow, James & Gorton, Gary, 1997. "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 1024-50, October.
  13. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
  14. 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.
  15. Yu Cong & Rani Hoitash & Murugappa Krishnan, 2010. "Event study with imperfect competition and private information: earnings announcements revisited," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 383-411, April.
  16. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South Sea Bubble," American Economic Review, American Economic Association, vol. 94(5), pages 1654-1668, December.
  17. Zhiguo He & Arvind Krishnamurthy, 2008. "A Model of Capital and Crises," NBER Working Papers 14366, National Bureau of Economic Research, Inc.
  18. Gumbel, Alexander, 2005. "Herding in delegated portfolio management: When is comparative performance information desirable?," European Economic Review, Elsevier, vol. 49(3), pages 599-626, April.
  19. Gray, Wesley, 2008. "Information Exchange and the Limits of Arbitrage," MPRA Paper 12621, University Library of Munich, Germany.
  20. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015. "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers 2001, Cowles Foundation for Research in Economics, Yale University.
  21. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1450018-1-1.
  22. Antonio E. Bernardo & Ivo Welch, 2002. "Financial Market Runs," NBER Working Papers 9251, National Bureau of Economic Research, Inc.
  23. Goldman, Eitan, 2004. "The impact of stock market information production on internal resource allocation," Journal of Financial Economics, Elsevier, vol. 71(1), pages 143-167, January.
  24. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term information, short-lived derivative securities," Working Papers 994, Queen's University, Department of Economics.
  25. Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2010. "Outside And Inside Liquidity," Working Papers 1395, Princeton University, Department of Economics, Econometric Research Program..
  26. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
  27. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  28. McMillan, David G., 2004. "Nonlinear predictability of short-run deviations in UK stock market returns," Economics Letters, Elsevier, vol. 84(2), pages 149-154, August.
  29. Hirshleifer, David & Teoh, Siew Hong, 2001. "Herd Behavior and Cascading in Capital Markets: A Review and Synthesis," MPRA Paper 5186, University Library of Munich, Germany.
  30. Holden, Craig W & Subrahmanyam, Avanidhar, 1996. "Risk Aversion, Liquidity, and Endogenous Short Horizons," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 691-722.
  31. Jean-Pierre Zigrand, 2001. "Rational limits to arbitrage," LSE Research Online Documents on Economics 25068, London School of Economics and Political Science, LSE Library.
  32. Leung, Henry & Ton, Thai, 2015. "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 37-55.
  33. Dan Bernhardt & Ryan J. Davies & John Spicer, 2006. "Long‐term information, short‐lived securities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(5), pages 466-502, 05.
  34. Denis Gromb & Dimitri Vayanos, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," LSE Research Online Documents on Economics 448, London School of Economics and Political Science, LSE Library.
  35. Gary Gorton & Ping He & Lixin Huang, 2006. "Asset Prices When Agents are Marked-to-Market," NBER Working Papers 12075, National Bureau of Economic Research, Inc.
  36. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
  37. Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2007. "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," Journal of Finance, American Finance Association, vol. 62(2), pages 557-595, 04.
  38. Franklin Allen & Stephen Morris & Hyun Song Shin, 2003. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," NajEcon Working Paper Reviews 391749000000000553, www.najecon.org.
  39. Christophe Chamley, 2005. "Complementarities in Information Acquisition with Short-Term Trades," Boston University - Department of Economics - Working Papers Series WP2005-027, Boston University - Department of Economics.
  40. Rani Hoitash & Murugappa (Murgie) Krishnan, 2008. "Herding, momentum and investor over-reaction," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 25-47, January.
  41. Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
  42. James Dow & Gary Gorton, 2006. "Noise Traders," NBER Working Papers 12256, National Bureau of Economic Research, Inc.
  43. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  44. Casamatta, Catherine & Pouget, Sébastien, 2009. "Fund Managers' Contracts and Financial Markets' Short-Termism," IDEI Working Papers 553, Institut d'Économie Industrielle (IDEI), Toulouse, revised Feb 2011.
  45. Matthew Spiegel, 1997. "Closed-End Fund Discounts in a Rational Agent Economy," Finance 9712002, EconWPA.
  46. Devenow, Andrea & Welch, Ivo, 1996. "Rational herding in financial economics," European Economic Review, Elsevier, vol. 40(3-5), pages 603-615, April.
  47. Calcagno, Riccardo & Heider, Florian, 2007. "Market based compensation, price informativeness and short-term trading," Working Paper Series 0735, European Central Bank.
  48. Aase, Knut K. & Gjesdal, Frøystein, 2016. "Insider trading with non-fiduciary market makers," Discussion Papers 2016/8, Department of Business and Management Science, Norwegian School of Economics.
  49. Matthew Spiegel, 1998. "Closed-End Fund Discounts in a Rational Agent Economy," Yale School of Management Working Papers ysm80, Yale School of Management, revised 01 Aug 2000.
  50. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
  51. Franklin Allen & Stephen Morris & Hyun Song Shin, 2003. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets Capital Adequacy Regulation: In Search of a Rationale," Center for Financial Institutions Working Papers 03-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
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