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Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs
16 references·6 citing·47 second hopsampled
Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs (2019)Dash for Cash: Monthly Market Impact of I…Deviations from Covered Interest Rate Parity (2018)Deviations from Covered Inter…The Pre-FOMC Announcement Drift (2012)The Pre-FOMC Announcement Dri…Evaporating Liquidity (2012)Evaporating LiquidityA Flow-Based Explanation for Return Predictability (2012)A Flow-Based Explanation for …Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Limits of Arbitrage (2010)Limits of ArbitrageHow Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)How Active Is Your Fund Manag…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Limits of Arbitrage (1995)The Limits of ArbitrageTrading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Liquidity and Market Structure (1988)Liquidity and Market StructureAre Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A monthly effect in stock returns (1987)A monthly effect in stock ret…How do Treasury dealers manage their positions? (2024)How do Treasury dealers manag…Who trades at the close? Implications for price discovery and liquidity (2023)Who trades at the close? Impl…Intraday time series momentum: Global evidence and links to market characteristics (2021)Intraday time series momentum…Weather, Institutional Investors, and Earnings News (2018)Weather, Institutional Invest…Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options (2016)Is There a Risk Premium in th…Indexing and Stock Market Serial Dependence Around the World (2016)Indexing and Stock Market Ser…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)Investor Sentiment and the Cross‐Section of Stock 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)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)The Capital Structure Puzzle (1984)The New Issues Puzzle (1995)Monetary Policy as Financial Stability Regulation (2012)International Liquidity and Exchange Rate Dynamics * (2015)Intermediary asset pricing: New evidence from many asset classes (2017)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Measuring skill in the mutual fund industry (2015)A Rational Theory of Mutual Funds' Attention Allocation (2016)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2009How Active Is Your Fund Manager? A New Measure That Predicts Performance1,660 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited
  • 2012A Flow-Based Explanation for Return Predictability769 cited
  • 2018Deviations from Covered Interest Rate Parity722 cited
  • 1987A monthly effect in stock returns720 cited
  • 2012The Pre-FOMC Announcement Drift630 cited
  • 2012Evaporating Liquidity525 cited
  • 2010Limits of Arbitrage486 cited

Cited by

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  • 2023Who trades at the close? Implications for price discovery and liquidity59 cited
  • 2024How do Treasury dealers manage their positions?50 cited
  • 2021Intraday time series momentum: Global evidence and links to market characteristics36 cited
  • 2018Weather, Institutional Investors, and Earnings News32 cited
  • 2016Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options28 cited
  • 2016Indexing and Stock Market Serial Dependence Around the World26 cited