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Procyclical Leverage and Value-at-Risk
16 references·14 citing·36 second hop
Procyclical Leverage and Value-at-Risk (2008)Procyclical Leverage and Value-at-RiskDeciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageFinancial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Intermediation, Loa…The Limits of Arbitrage (1995)The Limits of ArbitrageCorporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Corporate Financing and Inves…Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate financing and inves…Principles of Corporate Finance. (1981)Principles of Corporate Finan…Moral Hazard and Observability (1979)Moral Hazard and ObservabilityDEBT AND TAXES* (1977)DEBT AND TAXES*Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of the firm: Manageria…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…A Tale of Two Global Monetary Policies (2022)A Tale of Two Global Monetary…Financial Cycles – Early Warning Indicators of Banking Crises? (2021)Financial Cycles – Early Warn…Growth at Risk: Concept and Application in IMF Country Surveillance (2019)Growth at Risk: Concept and A…Leverage-Induced Fire Sales and Stock Market Crashes (2018)Leverage-Induced Fire Sales a…Model-Free International Stochastic Discount Factors (2017)Model-Free International Stoc…Why Does Idiosyncratic Risk Increase with Market Risk? (2016)Why Does Idiosyncratic Risk I…Monetary Policy and Leverage Shocks (2016)Monetary Policy and Leverage …Market procyclicality and systemic risk (2016)Market procyclicality and sys…Securitization and Asset Prices. (2015)Securitization and Asset Pric…Bank Profitability and Risk-Taking (2015)Bank Profitability and Risk-T…Bank liquidity creation and asset market liquidity (2015)Bank liquidity creation and a…Credit Supply and the Housing Boom (2014)Credit Supply and the Housing…Dealing with the Challenges of Macro Financial Linkages in Emerging Markets (2013)Dealing with the Challenges o…The Global Relation between Financial Distress and Equity Returns (2012)The Global Relation between F…The Theory of Syndicates (1968)Essays in the Theory of Risk-Bearing. (1972)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Good News and Bad News: Representation Theorems and Applications (1981)Agency Costs, Net Worth, And Business Fluctuations (1988)Financial Intermediation and Delegated Monitoring (1984)Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt (1991)Credit Cycles (1997)Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking (2001)Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market (2008)A model of investor sentiment /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)Investor Sentiment and the Cross‐Section of Stock Returns (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)Determinants of corporate borrowing (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)The Determinants of Capital Structure Choice (1988)Event Studies in Economics and Finance (1997)The Nature of the Firm (1937)Separation of Ownership and Control (1983)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)
this work references cited by second hop

References

  • 1976Theory of the firm: Managerial behavior, agency costs and ownership structure71,441 cited
  • 1984Corporate financing and investment decisions when firms have information that investors do not have18,936 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1979Moral Hazard and Observability8,358 cited
  • 1984Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have6,535 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
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  • 2008Liquidity and leverage2,557 cited
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