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Wealth Transfers, Contagion, and Portfolio Constraints
16 references·0 citing·46 second hop
Wealth Transfers, Contagion, and Portfolio Constraints (2005)Wealth Transfers, Contagion, and Portfoli…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Contagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…The Financial Accelerator and the Flight to Quality (1996)The Financial Accelerator and…Contagious Currency Crises (1996)Contagious Currency CrisesOptimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…International Economics: Theory and Policy (1987)International Economics: Theo…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Finance and Growth: Schumpeter Might Be Right (1993)Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure (2002)Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans (2007)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Does Option Compensation Increase Managerial Risk Appetite? (2000)Brownian Motion and Stochastic Calculus (2007)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The separation of ownership and control in East Asian Corporations (2000)Competition and Financial Stability (2004)Contagion in financial networks (2010)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Regions, Globalization, Development (2003)Attitudes toward Highly Skilled and Low-skilled Immigration: Evidence from a Survey Experiment (2010)Does product market competition foster corporate social responsibility? Evidence from trade liberalization (2014)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1996The Financial Accelerator and the Flight to Quality2,351 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987International Economics: Theory and Policy1,309 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1996Contagious Currency Crises959 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1998

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Contagion and Trade: Why Are Currency Crises Regional?
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