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Leverage Asset Pricing
16 references·2 citing·46 second hop
Leverage Asset Pricing (2013)Leverage Asset PricingSecuritized banking and the run on repo (2011)Securitized banking and the r…Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)Financial Intermediation and …A model of unconventional monetary policy (2010)A model of unconventional mon…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageBond Risk Premia (2005)Bond Risk PremiaConsumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Predictive regressions (1999)Predictive regressionsChapter 21 The financial accelerator in a quantitative business cycle framework (1999)Chapter 21 The financial acce…Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Intermediation, Loa…Credit Cycles (1997)Credit CyclesMonetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms (1994)Monetary Policy, Business Cyc…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance (1992)Monetary Policy and Credit Co…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Credit Expansion and Neglected Crash Risk (2016)Credit Expansion and Neglecte…A Macro View of Shadow Banking: Levered Betas and Wholesale Funding in the Context of Secular Stagnation (2015)A Macro View of Shadow Bankin…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Credit Spreads and Business Cycle Fluctuations (2012)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Financial Intermediation and Delegated Monitoring (1984)Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt (1991)Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking (2001)Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)A Macroeconomic Model with a Financial Sector (2014)Financing Constraints and Corporate Investment (1987)Consumption and Liquidity Constraints: An Empirical Investigation (1989)Debt, Liquidity Constraints, and Corporate Investment: Evidence from Panel Data (1992)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Value and Momentum Everywhere (2013)CoVaR (2016)Financial Constraints Risk (2006)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997Credit Cycles5,254 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1997Financial Intermediation, Loanable Funds, and The Real Sector3,910 cited
  • 1999Chapter 21 The financial accelerator in a quantitative business cycle framework3,549 cited
  • 2008Liquidity and leverage2,557 cited
  • 1994Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms2,546 cited
  • 2010A model of unconventional monetary policy2,439 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2010Financial Intermediation and Credit Policy in Business Cycle Analysis1,986 cited
  • 2011Securitized banking and the run on repo1,708 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1999Predictive regressions1,614 cited
  • 2005Bond Risk Premia1,546 cited
  • 1992Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance

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Cited by

  • 2016Credit Expansion and Neglected Crash Risk32 cited
  • 2015A Macro View of Shadow Banking: Levered Betas and Wholesale Funding in the Context of Secular Stagnation29 cited