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When Everyone Runs for the Exit

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References

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2010A model of unconventional monetary policy2,439 cited
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2000Commonality in liquidity1,748 cited
1986Do Demand Curves for Stocks Slope Down?1,524 cited
2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
2001Common factors in prices, order flows, and liquidity1,067 cited

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Cited by

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2011Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity54 cited
2014Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis53 cited
2016Discrete-time option pricing with stochastic liquidity51 cited
2014Momentum Trading, Return Chasing, and Predictable Crashes50 cited
2016Fire Sales, Indirect Contagion and Systemic Stress Testing50 cited
2014Risk Choice under High-Water Marks49 cited
2024Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty35 cited
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2020Turning alphas into betas: Arbitrage and endogenous risk33 cited
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2019Measuring the probability of a financial crisis28 cited