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Did Liquidity Providers Become Liquidity Seekers? Evidence from the CDS-Bond Basis during the 2008 Financial Crisis
16 references·0 citing·36 second hopsampled
Did Liquidity Providers Become Liquidity Seekers? Evidence from the CDS-Bond Basis during the 2008 Financial Crisis (2013)Did Liquidity Providers Become Liquidity …Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Illiquidity and Stock Returns…The Illiquidity of Corporate Bonds (2011)The Illiquidity of Corporate …Fire Sales in Finance and Macroeconomics (2011)Fire Sales in Finance and Mac…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Measuring Abnormal Bond Performance (2008)Measuring Abnormal Bond Perfo…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageDeciphering the Liquidity and Credit Crunch 2007-08 (2008)Deciphering the Liquidity and…An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)An Empirical Analysis of the …Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…The Limits of Arbitrage (1995)The Limits of ArbitrageInsiders and Outsiders: The Choice between Informed and Arm's-Length Debt (1992)Credit Cycles (1997)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)A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Did Fair-Value Accounting Contribute to the Financial Crisis? (2010)Resolution of Banking Crises: The Good, the Bad, and the Ugly (2010)CoVaR (2011)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Credit Rationing in Markets with Imperfect Information (1981)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Cross‐Section of Volatility and Expected Returns (2006)CoVaR (2016)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Term Structures of Defaultable Bonds (1999)Insider trading in credit derivatives☆ (2007)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Bank lending during the financial crisis of 2008 (2009)Is Information Risk a Determinant of Asset Returns? (2002)Media Coverage and the Cross‐section of Stock Returns (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,024 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,603 cited
  • 2008Liquidity and leverage2,557 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects1,316 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-081,026 cited
  • 2011The Illiquidity of Corporate Bonds989 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital865 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2011Fire Sales in Finance and Macroeconomics836 cited
  • 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps657 cited

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  • 2008Measuring Abnormal Bond Performance655 cited
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