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The Federal funds market and the overnight Eurodollar market
16 references·3 citing·44 second hop
The Federal funds market and the overnight Eurodollar market (2003)The Federal funds market and the overnigh…Portfolio Disclosures and Year-End Price Shifts (1997)Portfolio Disclosures and Yea…The Daily Market for Federal Funds (1996)The Daily Market for Federal …Day-of-the-week effects in federal funds rates: Further empirical findings (1995)Day-of-the-week effects in fe…Bank window dressing: Theory and evidence (1992)Bank window dressing: Theory …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability (1988)The Micromechanics of the Fed…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality (1988)From T‐Bills to Common Stocks…The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market (1987)The End of the Month as a Pre…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The money market (1983)The money marketDay of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The 2011 FDIC Assessment on Banks' Managed Liabilities: Interest Rate and Balance-Sheet Responses (2014)The 2011 FDIC Assessment on B…Overnight Interbank Loan Markets (2004)Overnight Interbank Loan Mark…Some Shocking Aspects of Emu Enlargement (1999)Some Shocking Aspects of Emu …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)A Further Investigation of the Weekend Effect in Stock Returns (1984)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Size-related anomalies and stock return seasonality (1983)The anomalous stock market behavior of small firms in January (1983)Predicting returns in the stock and bond markets (1986)Investment Decisions Depend on Portfolio Disclosures (1999)Daily Momentum and Contrarian Behavior of Index Fund Investors (2002)Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads (2007)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Equity issues and offering dilution (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Earnings news and small traders (1992)Inferring investor behavior: Evidence from TORQ data (2000)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Lending relationships in the interbank market (2008)Liquidity in Asset Markets With Search Frictions (2009)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 1997Portfolio Disclosures and Year-End Price Shifts193 cited
  • 1983The money market149 cited
  • 1988From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality136 cited
  • 1992Bank window dressing: Theory and evidence133 cited
  • 1988The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability114 cited
  • 1995Day-of-the-week effects in federal funds rates: Further empirical findings82 cited

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  • 1987The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market81 cited
  • Cited by

    • 1999Some Shocking Aspects of Emu Enlargement35 cited
    • 2004Overnight Interbank Loan Markets34 cited
    • 2014The 2011 FDIC Assessment on Banks' Managed Liabilities: Interest Rate and Balance-Sheet Responses30 cited