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Market Liquidity: Asset Pricing, Risk, and Crises
16 references·5 citing·26 second hop
Market Liquidity: Asset Pricing, Risk, and Crises (2012)Market Liquidity: Asset Pricing, Risk, an…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…The relationship between return and market value of common stocks (1981)The relationship between retu…Credit Rationing in Markets with Imperfect Information (1981)Credit Rationing in Markets w…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic (2022)Static and dynamic liquidity …Liquidity, implied volatility and tail risk: A comparison of liquidity measures (2020)Liquidity, implied volatility…Social norms and market outcomes: The effects of religious beliefs on stock markets (2017)Social norms and market outco…International Reserves for Emerging Economies: A Liquidity Approach (2016)International Reserves for Em…The Pricing of Illiquidity as a Characteristic and as Risk (2015)The Pricing of Illiquidity as…Increases in risk and in risk aversion (1974)Risk Sharing and Incentives in the Principal and Agent Relationship (1979)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial Dependence and Growth (1996)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)A Monetary History of the United States, 1867-1960 (2017)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1981Credit Rationing in Markets with Imperfect Information12,762 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations

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  • 2022Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic43 cited
  • 2017Social norms and market outcomes: The effects of religious beliefs on stock markets36 cited
  • 2016International Reserves for Emerging Economies: A Liquidity Approach32 cited
  • 2015The Pricing of Illiquidity as a Characteristic and as Risk30 cited
  • 2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures28 cited