Fernando, Chitru S.; Herring, Richard J.; Subrahmanyam, … - In: Journal of Banking & Finance 32 (2008) 8, pp. 1625-1635
We show how a high degree of commonality in investor liquidity shocks can diminish incentives for intermediaries to keep markets open and lead to market collapse, even without information asymmetry or news affecting fundamentals. We motivate our model using the perpetual floating-rate note...