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Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
16 references·3 citing·42 second hopsampled
Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation (2010)Size Anomalies in U.S. Bank Stock Returns…A Macroeconomic Model with a Financial Sector (2014)A Macroeconomic Model with a …Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …Collective Moral Hazard, Maturity Mismatch, and Systemic Bailouts (2012)Collective Moral Hazard, Matu…Securitized banking and the run on repo (2011)Securitized banking and the r…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking (2001)Liquidity Risk, Liquidity Cre…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Role of Demandable Debt in Structuring Optimal Banking Arrangements (1991)The Role of Demandable Debt i…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…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…Selloffs, bailouts, and feedback: Can asset markets inform policy? (2017)Selloffs, bailouts, and feedb…Financial Liberalization, Debt Mismatch, Allocative Efficiency, and Growth (2016)Financial Liberalization, Deb…Quantifying Structural Subsidy Values for Systemically Important Financial Institutions (2012)Quantifying Structural Subsid…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)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Increasing Returns and Long-Run Growth (1986)Sudden Stops, Financial Crises, and Leverage (2010)Intermediary Asset Pricing (2013)CoVaR (2016)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)A Monetary History of the United States, 1867-1960 (2017)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Firms, Contracts, and Financial Structure (1995)Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit‐taking (2002)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)How does capital affect bank performance during financial crises? (2013)An Economic Theory of Democracy. (1958)Distributive Politics and Economic Growth (1994)The Impact of Uncertainty Shocks (2009)Political uncertainty and risk premia (2013)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2001Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking2,006 cited
  • 2014A Macroeconomic Model with a Financial Sector1,976 cited
  • 2011Securitized banking and the run on repo1,708 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1991The Role of Demandable Debt in Structuring Optimal Banking Arrangements1,490 cited
  • 2012Collective Moral Hazard, Maturity Mismatch, and Systemic Bailouts1,121 cited

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  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
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    • 2016Financial Liberalization, Debt Mismatch, Allocative Efficiency, and Growth36 cited
    • 2012Quantifying Structural Subsidy Values for Systemically Important Financial Institutions31 cited
    • 2017Selloffs, bailouts, and feedback: Can asset markets inform policy?31 cited