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Liquidity and Market Crashes
16 references·0 citing·42 second hop
Liquidity and Market Crashes (2008)Liquidity and Market CrashesTrading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Dumb money: Mutual fund flows…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Why Do Firms Repurchase Stock? (2000)Why Do Firms Repurchase Stock?Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Liquidity and Market Structure (1988)Liquidity and Market StructureA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Expected stock returns and volatility (1987)Expected stock returns and vo…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Fire Sales in Finance and Macroeconomics (2011)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 2000Why Do Firms Repurchase Stock?933 cited

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  • 2008Dumb money: Mutual fund flows and the cross-section of stock returns881 cited
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