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Convergence trading with wealth effects: an amplification mechanism in financial markets
16 references·16 citing·38 second hopsampled
Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)Convergence trading with wealth effects: …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Inefficient Markets: An Introduction to Behavioral Finance (2002)Inefficient Markets: An Intro…Numerical Methods in Economics (1998)Numerical Methods in EconomicsCredit Cycles (1997)Credit CyclesThe Limits of Arbitrage (1995)The Limits of ArbitrageLiquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? 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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1997Credit Cycles5,254 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1954Essays in Positive Economics3,204 cited
  • 1954Essays in Positive Economics.2,999 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 2002Inefficient Markets: An Introduction to Behavioral Finance1,293 cited
  • 1989Why Does Stock Market Volatility Change Over Time?

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Cited by

  • 2005Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion370 cited
  • 2012Macroeconomics with Financial Frictions: A Survey318 cited
  • 2011The Accrual Anomaly: Risk or Mispricing?259 cited
  • 2010Does Simple Pairs Trading Still Work?243 cited
  • 2016STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK219 cited
  • 2019A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets207 cited
  • 2013Macroeconomics with Financial Frictions: A Survey198 cited
  • 2003Overconfidence and Speculative Bubbles179 cited
  • 2009Amplification Mechanisms in Liquidity Crises168 cited
  • 2021Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets168 cited
  • 2011Outside and Inside Liquidity162 cited
  • 2008Intermediary Asset Pricing162 cited
  • 2020Asset Price Bubbles and Systemic Risk159 cited
  • 2009Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading151 cited
  • 2016Intermediary Asset Pricing: New Evidence from Many Asset Classes151 cited
  • 2010Balance Sheet Adjustments during the 2008 Crisis148 cited