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LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints
16 references·1 citing·45 second hop
LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints (2025)LTCM Redux? Hedge fund Treasury trading, …Procyclical Leverage and Value-at-Risk (2013)Procyclical Leverage and Valu…Noise as Information for Illiquidity (2013)Noise as Information for Illi…Intermediary Asset Pricing (2013)Intermediary Asset PricingSecuritized banking and the run on repo (2011)Securitized banking and the r…Fire Sales in Finance and Macroeconomics (2011)Fire Sales in Finance and Mac…Hedge Fund Contagion and Liquidity Shocks (2010)Hedge Fund Contagion and Liqu…Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market (2008)Tracing the Impact of Bank Li…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageMutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…High‐Water Marks and Hedge Fund Management Contracts (2003)High‐Water Marks and Hedge Fu…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…When genius failed: the rise and fall of Long-Term Capital Management (2001)When genius failed: the rise …The Limits of Arbitrage (1995)The Limits of ArbitrageRelationship Lending and Lines of Credit in Small Firm Finance (1995)Relationship Lending and Line…The Benefits of Lending Relationships: Evidence from Small Business Data (1994)The Benefits of Lending Relat…Intermediary Balance Sheets and the Treasury Yield Curve (2022)Intermediary Balance Sheets a…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)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)Agency Costs, Net Worth, And Business Fluctuations (1988)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications (2012)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)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)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Credit Rationing in Markets with Imperfect Information (1981)Financial Intermediation and Delegated Monitoring (1984)Financing Constraints and Corporate Investment (1988)The Effect of Credit Market Competition on Lending Relationships (1995)Bank regulation and supervision: what works best? (2003)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Cross‐Section of Volatility and Expected Returns (2006)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)Asset Prices in an Exchange Economy (1978)Financial Intermediaries and the Cross‐Section of Asset Returns (2014)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)The Deposits Channel of Monetary Policy* (2017)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)Cross-Border Banking and Global Liquidity (2014)Relationship Banking: What Do We Know? (2000)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)The Theory of Bank Risk Taking and Competition Revisited (2005)
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References

  • 1994The Benefits of Lending Relationships: Evidence from Small Business Data5,434 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1995Relationship Lending and Lines of Credit in Small Firm Finance3,641 cited
  • 2008Liquidity and leverage2,557 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2008Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market1,850 cited
  • 2011Securitized banking and the run on repo1,708 cited
  • 2013Intermediary Asset Pricing1,401 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2011Fire Sales in Finance and Macroeconomics836 cited
  • 2001When genius failed: the rise and fall of Long-Term Capital Management713 cited
  • 2003High‐Water Marks and Hedge Fund Management Contracts595 cited
  • 2013Procyclical Leverage and Value-at-Risk581 cited
  • 2013Noise as Information for Illiquidity475 cited
  • 2010Hedge Fund Contagion and Liquidity Shocks

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  • 2022Intermediary Balance Sheets and the Treasury Yield Curve26 cited