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When Everyone Runs for the Exit

Citations

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Cited by:

  1. Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019. "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 184-209.
  2. Besancenot, Damien & Vranceanu, Radu, 2014. "Experimental evidence on the ‘insidious’ illiquidity risk," Research in Economics, Elsevier, vol. 68(4), pages 315-323.
  3. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
  4. Dong Beom Choi, 2014. "Heterogeneity and Stability: Bolster the Strong, Not the Weak," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1830-1867.
  5. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers 20-007/II, Tinbergen Institute.
  6. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
  7. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2014. "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 97-117.
  8. Florackis, Chris & Kostakis, Alexandros & Kontonikas, Alexandros, 2011. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," SIRE Discussion Papers 2011-31, Scottish Institute for Research in Economics (SIRE).
  9. Peter Nystrup & Stephen Boyd & Erik Lindström & Henrik Madsen, 2019. "Multi-period portfolio selection with drawdown control," Annals of Operations Research, Springer, vol. 282(1), pages 245-271, November.
  10. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  11. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  12. Viral V. Acharya & Matthew Richardson, 2012. "Implications of the Dodd-Frank Act," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 1-38, October.
  13. David Levine, 2011. "Neuroeconomics?," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 58(3), pages 287-305, September.
  14. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  15. Carlos González Pedraz & Adrian van Rixtel, 2021. "El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19," Occasional Papers 2123, Banco de España.
  16. Kendall, Chad, 2018. "The time cost of information in financial markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 118-157.
  17. André K. Anundsen & Ragnar Nymoen & Tord S. Krogh & Jon Vislie, 2012. "The macroeconomics of Trygve Haavelmo," Nordic Journal of Political Economy, Nordic Journal of Political Economy, vol. 37, pages 1-2.
  18. Momtchil Pojarliev & Richard M. Levich, 2011. "Detecting Crowded Trades in Currency Funds," Financial Analysts Journal, Taylor & Francis Journals, vol. 67(1), pages 26-39, January.
  19. John Geanakoplos & Lasse Heje Pedersen, 2012. "Monitoring Leverage," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 113-127, National Bureau of Economic Research, Inc.
  20. Vishaal Baulkaran & Pawan Jain & Mark Sunderman, 2019. "Housing “Beta”: Common Risk Factor in Returns of Stocks," The Journal of Real Estate Finance and Economics, Springer, vol. 58(3), pages 438-456, April.
  21. Dyer, Travis & Guest, Nicholas & Yu, Elisha, 2025. "New accounting standards and the performance of quantitative investors," Journal of Accounting and Economics, Elsevier, vol. 79(2).
  22. Ben Hambly & Andreas Søjmark, 2019. "An SPDE model for systemic risk with endogenous contagion," Finance and Stochastics, Springer, vol. 23(3), pages 535-594, July.
  23. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," NBER Working Papers 20660, National Bureau of Economic Research, Inc.
  24. 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.
  25. Blickle, Kristian, 2022. "Local banks, credit supply, and house prices," Journal of Financial Economics, Elsevier, vol. 143(2), pages 876-896.
  26. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
  27. Michael Melvin & Duncan Shand, 2017. "When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds," Financial Analysts Journal, Taylor & Francis Journals, vol. 73(1), pages 121-144, January.
  28. Drenovak, Mikica & Ranković, Vladimir & Urošević, Branko & Jelic, Ranko, 2022. "Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm," Finance Research Letters, Elsevier, vol. 46(PA).
  29. Carlos González Pedraz & Adrian van Rixtel, 2021. "The role of derivatives in market strains during the COVID-19 crisis," Occasional Papers 2123, Banco de España.
  30. Moretto, Michele & Parigi, Bruno M., 2025. "The impact of calendar provisioning on bank strategies," International Review of Economics & Finance, Elsevier, vol. 101(C).
  31. Konstantinos Spiliopoulos & Jia Yang, 2018. "Network effects in default clustering for large systems," Papers 1812.07645, arXiv.org, revised Feb 2020.
  32. Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
  33. Economou, Fotini & Kostakis, Alexandros & Philippas, Nikolaos, 2011. "Cross-country effects in herding behaviour: Evidence from four south European markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 443-460, July.
  34. Tommaso Mancini Griffoli & Angelo Ranaldo, 2010. "Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity," Working Papers 2010-14, Swiss National Bank.
  35. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  36. Chen, Ting-Hsuan & Lee, Chien-Chiang, 2020. "Spatial analysis of liquidity risk in China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  37. Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020. "Trading in Crowded Markets," Working Papers w0275, New Economic School (NES).
  38. Acharya, Viral V. & Pedersen, Lasse Heje, 2019. "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, vol. 8(1-2), pages 111-125, December.
  39. Strašek Sebastjan & Bricelj Bor, 2016. "Spread and Liquidity Issues: A markets comparison," Naše gospodarstvo/Our economy, Sciendo, vol. 62(1), pages 3-11, March.
  40. Moretto, Michele & Parigi, Bruno M., 2024. "Competitive runs on Government debt," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 131-158.
  41. repec:hal:cepnwp:halshs-00602107 is not listed on IDEAS
  42. Damien Besancenot & Radu Vranceanu, 2011. "Experimental Evidence on the 'Insidious' Illiquidity Risk," Post-Print hal-00607867, HAL.
  43. Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011. "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, vol. 66(4), pages 1177-1209, August.
  44. Ferreruela, Sandra & Mallor, Tania, 2021. "Herding in the bad times: The 2008 and COVID-19 crises," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  45. Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
  46. Ben Hambly & Andreas Sojmark, 2018. "An SPDE Model for Systemic Risk with Endogenous Contagion," Papers 1801.10088, arXiv.org, revised Sep 2018.
  47. Geoffrey R. D. Underhill & Erik Jones, 2023. "Optimum financial areas: Retooling the governance of global finance," The World Economy, Wiley Blackwell, vol. 46(6), pages 1582-1608, June.
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