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The leverage ratio and liquidity in the gilt and gilt repo markets
16 references·0 citing·52 second hopsampled
The leverage ratio and liquidity in the gilt and gilt repo markets (2019)The leverage ratio and liquidity in the g…Capital Commitment and Illiquidity in Corporate Bonds (2018)Capital Commitment and Illiqu…Sizing Up Repo (2014)Sizing Up RepoRepo Runs: Evidence from the Tri‐Party Repo Market (2014)Repo Runs: Evidence from the …Noise as Information for Illiquidity (2013)Noise as Information for Illi…Optimal Bank Capital (2012)Optimal Bank CapitalSecuritized banking and the run on repo (2011)Securitized banking and the r…Corporate bond liquidity before and after the onset of the subprime crisis (2011)Corporate bond liquidity befo…Measuring Abnormal Bond Performance (2008)Measuring Abnormal Bond Perfo…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Transparency and Liquidity: A…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…New estimates of the UK real and nominal yield curves (2001)New estimates of the UK real …An Empirical Study of Bond Market Transactions (2000)An Empirical Study of Bond Ma…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Contagion as a Wealth Effect (2001)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Cross-Section of Expected Stock Returns (1992)Behavioral Corporate Finance: An Updated Survey (2013)The risk premia embedded in index options (2015)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)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)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Measuring security price performance (1980)Using daily stock returns (1985)Regulatory pressure and fire sales in the corporate bond market (2011)Reaching for Yield in the Bond Market (2014)Climate Change News Risk and Corporate Bond Returns (2020)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Investor flows and fragility in corporate bond funds (2017)Where's the Greenium? (2019)Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Corporate Bond Market Transaction Costs and Transparency (2007)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity Biases in TRACE (2009)The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2010)The Determinants of Credit Spread Changes (2001)Bank lending during the financial crisis of 2008 (2009)How does capital affect bank performance during financial crises? (2013)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Cross-Border Banking and Global Liquidity (2014)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2011Securitized banking and the run on repo1,708 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2011Corporate bond liquidity before and after the onset of the subprime crisis787 cited
  • 2008Measuring Abnormal Bond Performance655 cited
  • 2013Noise as Information for Illiquidity475 cited
  • 2006Transparency and Liquidity: A Controlled Experiment on Corporate Bonds472 cited
  • 2012Optimal Bank Capital420 cited
  • 2014Sizing Up Repo373 cited
  • 2014Repo Runs: Evidence from the Tri‐Party Repo Market368 cited
  • 2018Capital Commitment and Illiquidity in Corporate Bonds326 cited
  • 2000An Empirical Study of Bond Market Transactions324 cited
  • 2001New estimates of the UK real and nominal yield curves

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