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Liquidity and Market Crashes
16 references·16 citing·35 second hopsampled
Liquidity and Market Crashes (2008)Liquidity and Market CrashesAsset pricing with liquidity risk (2005)Asset pricing with liquidity …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…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Commonality in liquidity (2000)Commonality in liquidityPrivate and Public Supply of Liquidity (1998)Private and Public Supply of …Market underreaction to open market share repurchases (1995)Market underreaction to open …No news is good news (1992)No news is good newsA 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…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…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Information, trade and common knowledge (1982)Information, trade and common…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…Quantify the quantitative easing: Impact on bonds and corporate debt issuance (2019)Quantify the quantitative eas…Investor sentiment and emerging stock market liquidity (2017)Investor sentiment and emergi…The Drift Burst Hypothesis (2016)The Drift Burst HypothesisDifferential Access to Price Information in Financial Markets (2016)Differential Access to Price …The Market Performance of Socially Responsible Investment during Periods of the Economic Cycle – Illustrated Using the Case of FTSE (2015)The Market Performance of Soc…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Market Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors (2012)Flight-to-Liquidity, Market U…Relative Wealth Concerns and Complementarities in Information Acquisition (2010)Relative Wealth Concerns and …Daily institutional trades and stock price volatility in a retail investor dominated emerging market (2010)Daily institutional trades an…Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading (2009)Risk in Dynamic Arbitrage: Th…Market liquidity, asset prices, and welfare (2009)Market liquidity, asset price…Financial Crises: Theory and Evidence (2009)Financial Crises: Theory and …Liquidity of Corporate Bonds (2008)Liquidity of Corporate BondsIntermediary Asset Pricing (2008)Intermediary Asset PricingCAPITAL 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)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)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)A Monetary History of the United States, 1867-1960 (2017)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Noise Trader Risk in Financial Markets (1990)Liquidity and leverage (2008)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 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
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 1998Private and Public Supply of Liquidity1,821 cited
  • 2000Commonality in liquidity1,748 cited
  • 1995Market underreaction to open market share repurchases1,739 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets

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1,704 cited

Cited by

  • 2008Intermediary Asset Pricing162 cited
  • 2019Quantify the quantitative easing: Impact on bonds and corporate debt issuance154 cited
  • 2009Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading151 cited
  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 2009Market liquidity, asset prices, and welfare97 cited
  • 2017Investor sentiment and emerging stock market liquidity95 cited
  • 2012Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors95 cited
  • 2010Daily institutional trades and stock price volatility in a retail investor dominated emerging market90 cited
  • 2023Stock market volatility: a systematic review86 cited
  • 2010Relative Wealth Concerns and Complementarities in Information Acquisition80 cited
  • 2016Differential Access to Price Information in Financial Markets78 cited
  • 2016The Drift Burst Hypothesis73 cited
  • 2009Financial Crises: Theory and Evidence65 cited
  • 2008Liquidity of Corporate Bonds55 cited
  • 2012Market Liquidity -- Theory and Empirical Evidence54 cited
  • 2015The Market Performance of Socially Responsible Investment during Periods of the Economic Cycle – Illustrated Using the Case of FTSE44 cited