Citations for "Security Baskets and Index-Linked Securities"
by Gary Gorton & George Pennacchi
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005.
"The joint dynamics of liquidity, returns, and volatility across small and large firms,"
207, Federal Reserve Bank of New York.
- Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005. "The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt6z81z2wc, Anderson Graduate School of Management, UCLA.
- Dorn, Daniel & Huberman, Gur & Sengmüller, Paul, 2007.
"Correlated Trading and Returns,"
CEPR Discussion Papers
6530, C.E.P.R. Discussion Papers.
- Lipson, Marc L., 2003. "Market microstructure and corporate finance," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 377-384, September.
- Ricardo Correa & Horacio Sapriza & Andrei Zlate, 2012. "Liquidity shocks, dollar funding costs, and the bank lending channel during the European sovereign crisis," International Finance Discussion Papers 1059, Board of Governors of the Federal Reserve System (U.S.).
- Xavier Freixas, 2003.
"An overall perspective on banking regulation,"
Economics Working Papers
664, Department of Economics and Business, Universitat Pompeu Fabra.
- Radislav Jovovic & Nebojsa Jovovic, 2013. "Understanding Shadow Banking And It'S Role In The Recent Financial Crisis," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 9(1), pages 75-84.
- Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
- Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
- Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
- Clarke, Jonathan E. & Fee, C. Edward & Thomas, Shawn, 2004. "Corporate diversification and asymmetric information: evidence from stock market trading characteristics," Journal of Corporate Finance, Elsevier, vol. 10(1), pages 105-129, January.
- Bengt Holmstrom & Jean Tirole, 1998.
"LAPM: A Liquidity Based Asset Pricing Model,"
98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
- Rochet, Jean-Charles. & Vila, Jean-Luc., 1991. "Insider trading and market manipulations--existence and uniqueness of equilibrium," Working papers 3318-91., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
- Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Jean Tirole, 2010.
"Illiquidity and all its Friends,"
2010.78, Fondazione Eni Enrico Mattei.
- Salvatore Cantale & Dmitry Lukin, 2012. "Multiple-Project Financing with Informed Trading," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 16(1), pages 1-28, Spring.
- Ahmet Sensoy & Erk Hacihasanoglu & Duc Khuong Nguyen, 2015.
"Dynamic convergence of commodity futures: Not all types of commodities are alike,"
25, Research and Business Development Department, Borsa Istanbul.
- Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
- Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
- Berkman, Henk & Brailsford, Tim & Frino, Alex, 2005. "A note on execution costs for stock index futures: Information versus liquidity effects," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 565-577, March.
- Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 65-76, January.
- Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, vol. 11(4), pages 377-399, November.
- Nanda, Vikram & Narayanan, M. P., 1999. "Disentangling Value: Financing Needs, Firm Scope, and Divestitures," Journal of Financial Intermediation, Elsevier, vol. 8(3), pages 174-204, July.
- Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998.
"Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares,"
9820, Federal Reserve Bank of New York.
- Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998. "Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
- Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
- Gürtler, Marc & Hibbeln, Martin, 2012. "How smart are investors after the subprime mortgage crisis? Evidence from the securitization market," Working Papers IF39V1, Technische Universität Braunschweig, Institute of Finance.
- Gibson, Rajna & Habib, Michel A. & Ziegler, Alexandre, 2014. "Reinsurance or securitization: The case of natural catastrophe risk," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 79-100.
- Blake, David & Biffs, Enrico, 2012. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," MPRA Paper 44680, University Library of Munich, Germany.
- Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1991. "Index-Based Futures and Options Markets in Real Estate," Cowles Foundation Discussion Papers 1006, Cowles Foundation for Research in Economics, Yale University.
- Huson, Mark R. & MacKinnon, Gregory, 2003. "Corporate spinoffs and information asymmetry between investors," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 481-503, September.
- Deville, Laurent, 2008.
"Exchange traded funds : history, trading and research,"
Economics Papers from University Paris Dauphine
123456789/903, Paris Dauphine University.
- Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
- Paul Kupiec, 1998.
"Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?,"
Journal of Financial Services Research,
Springer, vol. 13(3), pages 231-255, June.
- Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
- Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
- Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
- Chen, Honghui & Morse, Joel N. & Nguyen, Hoang Huy, 2009. "Changes in the liquidity of closed-end country funds after the introduction of World Equity Benchmarks," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1081-1094, August.
- Qi, Jianping, 1996. "Efficient investment and financial intermediation," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 891-900, June.
- Li, Mingsheng & Zhao, Xin, 2014. "Impact of leveraged ETF trading on the market quality of component stocks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 90-108.
- Beniamino Moro, 2013. "The Run On Repo and the Liquidity Shortage Problems of the Current Global Financial Crisis: Europe vs. The US," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 2(1), pages 41-77, January.
- Mazouz, Khelifa & Bowe, Michael, 2006. "The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 1-20.
- Datar, Vinay, 2001. "Impact of liquidity on premia/discounts in closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(1), pages 119-135.
- Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bengtsson, E., 2013. "Fund Management and Systemic Risk - Lessons from the Global Financial Crisis," CITYPERC Working Paper Series 2013-06, Department of International Politics, City University London.
- Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
- Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
- Kenneth Small & James Wansley & Matthew Hood, 2012. "The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds," Journal of Economics and Finance, Springer, vol. 36(2), pages 261-281, April.
- Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 695-708, December.
- De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
- Ismailescu, Iuliana & Phillips, Blake, 2015. "Credit default swaps and the market for sovereign debt," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 43-61.