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Limits of Arbitrage: The State of the Theory
16 references·4 citing·30 second hop
Limits of Arbitrage: The State of the Theory (2010)Limits of Arbitrage: The State of the The…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Credit Cycles (1997)Credit CyclesThe Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…A model of investor sentiment /A model of investor sentiment…Differences in options investors’ expectations and the cross-section of stock returns (2018)Differences in options invest…Market uncertainty, expected volatility and the mispricing of S&P 500 index futures (2015)Market uncertainty, expected …The exchange rate effect of multi-currency risk arbitrage (2014)The exchange rate effect of m…Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints (2014)Asset pricing with heterogene…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis, Forecasting, and Control (1995)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)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)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Constraints Risk (2006)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1997Credit Cycles5,254 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets

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Cited by

  • 2014Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints73 cited
  • 2014The exchange rate effect of multi-currency risk arbitrage30 cited
  • 2015Market uncertainty, expected volatility and the mispricing of S&P 500 index futures27 cited
  • 2018Differences in options investors’ expectations and the cross-section of stock returns21 cited