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Repurchase Agreements with Negative Interest Rates
8 references·4 citing·49 second hopsampled
Repurchase Agreements with Negative Interest Rates (2004)Repurchase Agreements with Negative Inter…When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11 (2002)When the Back Office Moved to…The market for borrowing stock (2002)The market for borrowing stockSpecial Repo Rates: An Introduction (2002)Special Repo Rates: An Introd…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Financial Market Implications of the Federal Debt Paydown (2000)Financial Market Implications…Special Repo Rates: An Empirical Analysis (1997)Special Repo Rates: An Empiri…Special Repo Rates (1996)Special Repo RatesThe Mispricing of U.S. Treasury Bonds: A Case Study (1989)The Mispricing of U.S. Treasu…Treasury Inconvenience Yields during the COVID-19 Crisis (2020)Treasury Inconvenience Yields…The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors (2014)The Scarcity Value of Treasur…The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors (2013)The Scarcity Value of Treasur…Dealer behavior in the specials market for US Treasury securities (2007)Dealer behavior in the specia…Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Sizing Up Repo (2014)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)Securities lending, shorting, and pricing (2002)The Introduction of the TMPG Fails Charge for U.S. Treasury Securities (2010)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Auctions of Divisible Goods: On the Rationale for the Treasury Experiment (1993)Tax and Liquidity Effects in Pricing Government Bonds (1998)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The Term Structure of Interbank Risk (2012)The bond/old-bond spread (2002)Liquidity Premia in German Government Bonds (2009)Who makes on-the-run Treasuries special? (2011)The Scarcity Value of Treasury Collateral: Repo-Market Effects of Security-Specific Supply and Demand Factors (2018)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Does the Stock Market Overreact? (1985)Dynamic Portfolio Selection in Arbitrage (2006)Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets (2009)Collateral Values by Asset Class: Evidence from Primary Securities Dealers (2010)Securitized banking and the run on repo (2011)The Aggregate Demand for Treasury Debt (2012)Intermediary Asset Pricing (2013)Term Spreads and the COVID-19 Pandemic: Evidence from International Sovereign Bond Markets (2020)Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic (2020)The Term Structure of Interest Rates in a Heterogeneous Monetary Union (2022)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1995)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Government Debt (2005)Government Debt: A Key Role in Financial Intermediation (2005)The Economic Consequences of Rising U.S. Government Debt: Privileges at Risk (2010)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)The Limits of Arbitrage (1995)DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Bad Beta, Good Beta (2004)Short interest, institutional ownership, and stock returns (2005)Which Shorts Are Informed? (2007)Expandable limit order markets (2003)What happened to liquidity when world war I shut the NYSE? (2005)Share auctions of initial public offerings: Global evidence (2014)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002The market for borrowing stock1,161 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 1996Special Repo Rates461 cited
  • 1997Special Repo Rates: An Empirical Analysis209 cited
  • 1989The Mispricing of U.S. Treasury Bonds: A Case Study88 cited
  • 2000Financial Market Implications of the Federal Debt Paydown58 cited
  • 2002When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/1152 cited
  • 2002Special Repo Rates: An Introduction41 cited

Cited by

  • 2020Treasury Inconvenience Yields during the COVID-19 Crisis87 cited
  • 2007Dealer behavior in the specials market for US Treasury securities39 cited
  • 2014The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors12 cited
  • 2013The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors12 cited

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