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Leverage-Induced Fire Sales and Stock Market Crashes
16 references·11 citing·54 second hopsampled
Leverage-Induced Fire Sales and Stock Market Crashes (2018)Leverage-Induced Fire Sales and Stock Mar…Procyclical Leverage and Value-at-Risk (2013)Procyclical Leverage and Valu…Intermediary Asset Pricing (2013)Intermediary Asset PricingHousehold Balance Sheets, Consumption, and the Economic Slump* (2013)Household Balance Sheets, Con…Margin-Based Asset Pricing and Deviations from the Law of One Price (2011)Margin-Based Asset Pricing an…Forced Sales and House Prices (2011)Forced Sales and House PricesTime Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues (2010)Time Variation in Liquidity: …Stock Market Declines and Liquidity (2010)Stock Market Declines and Liq…Leverage Cycles and the Anxious Economy (2008)Leverage Cycles and the Anxio…Individual Investors and Volatility: (ex Chaining up noise traders) (2008)Individual Investors and Vola…Market Liquidity and Funding Liquidity (2007)Market Liquidity and Funding …Demand–Deposit Contracts and the Probability of Bank Runs (2005)Demand–Deposit Contracts and …Bank Runs, Deposit Insurance, and Liquidity (2000)Bank Runs, Deposit Insurance,…An Equilibrium Model with Restricted Stock Market Participation (1998)An Equilibrium Model with Res…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Corporate responses to stock price fragility (2024)Corporate responses to stock …Government Stock Purchase Undermines Price Informativeness: Evidence from China’s “National Team” (2023)Government Stock Purchase Und…Firm Leverage and Stock Price Crash Risk: The Chinese Real Estate Market and Three-Red-Lines Policy (2023)Firm Leverage and Stock Price…The effectiveness of government stock purchase during market crash: Evidence from China (2022)The effectiveness of governme…Wealth Management Products, Banking Competition, and Stability: Evidence from China (2021)Wealth Management Products, B…From taper tantrum to Covid-19: Portfolio flows to emerging markets in periods of stress (2021)From taper tantrum to Covid-1…Burned by Leverage? 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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 2013Household Balance Sheets, Consumption, and the Economic Slump*1,543 cited
  • 2013Intermediary Asset Pricing1,401 cited
  • 2005Demand–Deposit Contracts and the Probability of Bank Runs1,206 cited
  • 2011Forced Sales and House Prices888 cited
  • 2008Leverage Cycles and the Anxious Economy647 cited
  • 2010Stock Market Declines and Liquidity626 cited
  • 2000Bank Runs, Deposit Insurance, and Liquidity612 cited
  • 1998An Equilibrium Model with Restricted Stock Market Participation591 cited
  • 2013Procyclical Leverage and Value-at-Risk581 cited
  • 2010Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues373 cited
  • 2008Individual Investors and Volatility: (ex Chaining up noise traders)359 cited
  • 2007Market Liquidity and Funding Liquidity356 cited
  • 2011Margin-Based Asset Pricing and Deviations from the Law of One Price

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183 cited

Cited by

  • 2023Government Stock Purchase Undermines Price Informativeness: Evidence from China’s “National Team”48 cited
  • 2023Firm Leverage and Stock Price Crash Risk: The Chinese Real Estate Market and Three-Red-Lines Policy44 cited
  • 2018Risks in China’s Financial System39 cited
  • 2024Corporate responses to stock price fragility34 cited
  • 2012Large Bets and Stock Market Crashes32 cited
  • 2021Wealth Management Products, Banking Competition, and Stability: Evidence from China31 cited
  • 2018Does Shanghai-Hong Kong Stock Connect Drive Market Comovement between Shanghai and Hong Kong: A New Evidence30 cited
  • 2019Leveraging Overconfidence30 cited
  • 2022The effectiveness of government stock purchase during market crash: Evidence from China27 cited
  • 2020Burned by Leverage? Flows and Fragility in Bond Mutual Funds26 cited
  • 2021From taper tantrum to Covid-19: Portfolio flows to emerging markets in periods of stress24 cited