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Margin-based asset pricing and deviations from the law of one price
Garleanu, Nicolae; Pedersen, Lasse Heje - 2011
Persistent link: https://www.econbiz.de/10008860093
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Margin-based asset pricing and deviations from Law of One Price
Garleanu, Nicolae; Pedersen, Lasse Heje - In: The review of financial studies 24 (2011) 6, pp. 1980-2022
Persistent link: https://www.econbiz.de/10009155225
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Garleanu, Nicolae - 2011
. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …
Persistent link: https://www.econbiz.de/10013130262
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Pedersen, Lasse Heje - 2013
. Such a funding liquidity crisis gives rise to a “basis,” that is, a price gap between securities with identical cash …
Persistent link: https://www.econbiz.de/10013095297
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Liquidity black holes : understanding, quantifying and managing financial liquidity risk
Persaud, Avinash D. (contributor); Persaud, Avinash (ed.) - 2003
Persistent link: https://www.econbiz.de/10001783784
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The short trading day anomaly
Qadan, Mahmoud; Kliger, Doron - In: Journal of empirical finance 38 (2016), pp. 62-80
Persistent link: https://www.econbiz.de/10011663224
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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Toxic assets and market freezes
Gu, Chao; Menzio, Guido; Wright, Randall D.; Zhu, Yu - 2020
Persistent link: https://www.econbiz.de/10012211820
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Liquidation with self-exciting price impact
Cayé, Thomas; Muhle-Karbe, Johannes - 2014
We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...
Persistent link: https://www.econbiz.de/10011293738