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Limits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets
16 references·0 citing·46 second hopsampled
Limits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets (2013)Limits to Arbitrage: Empirical Evidence f…Measuring Economic Policy Uncertainty (2015)Measuring Economic Policy Unc…The TIPS‐Treasury Bond Puzzle (2013)The TIPS‐Treasury Bond PuzzleMeasuring Economic Policy Uncertainty (2013)Measuring Economic Policy Unc…Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)Liquidity in the Foreign Exch…The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects (2012)The Federal Reserve's Large‐s…Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Flow and stock effects of lar…The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy (2011)The Effects of Quantitative E…Margin-based Asset Pricing and Deviations from the Law of One Price (2011)Margin-based Asset Pricing an…Large-Scale Asset Purchases by the Federal Reserve: Did They Work? (2011)Large-Scale Asset Purchases b…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Price Pressure in the Government Bond Market (2010)Price Pressure in the Governm…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)A Preferred-Habitat Model of …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …The Limits of Arbitrage (1995)The Limits of ArbitrageIrreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)The Impact of Uncertainty Shocks (2009)Fluctuations in Uncertainty (2014)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Policy Uncertainty and Corporate Investment (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)A model of investor sentiment / (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Asset pricing and the bid-ask spread (1986)Credit Cycles (1997)Presidential Address: Discount Rates (2011)Time Series Momentum (2011)Betting against beta (2013)A Theory of the Term Structure of Interest Rates (1985)Demand-Based Option Pricing (2005)The U.S. Treasury yield curve: 1961 to the present (2007)The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Monetary Policy as Financial Stability Regulation (2012)Zero Bound on Interest Rates and Optimal Monetary Policy (2003)A New Measure of Monetary Shocks: Derivation and Implications (2004)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Aggregate Demand for Treasury Debt (2012)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)The Capital Structure Puzzle (1984)The New Issues Puzzle (1995)International Liquidity and Exchange Rate Dynamics * (2015)Global Pricing of Carbon‐Transition Risk (2023)An equilibrium characterization of the term structure (1977)Noise Trader Risk in Financial Markets (1990)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Climate Risks and Market Efficiency (2016)Risks and Returns of Cryptocurrency (2018)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
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References

  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,024 cited
  • 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy1,198 cited
  • 2011Common Risk Factors in Currency Markets1,088 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital865 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2013Measuring Economic Policy Uncertainty858 cited
  • 2009A Preferred-Habitat Model of the Term Structure of Interest Rates737 cited
  • 2012Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply655 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 2015Measuring Economic Policy Uncertainty502 cited
  • 2011Large-Scale Asset Purchases by the Federal Reserve: Did They Work?405 cited
  • 2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums320 cited
  • 2010Price Pressure in the Government Bond Market311 cited
  • 2013The TIPS‐Treasury Bond Puzzle292 cited
  • 2012

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The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects
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