Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Turning alphas into betas: arbitrage and endogenous risk. (2020). Cho, Thummim.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:102085.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 73

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Elasticity of Quantitative Investment. (2023). Davis, Carter.
    In: Papers.
    RePEc:arx:papers:2303.14533.

    Full description at Econpapers || Download paper

  2. Understanding Alpha Decay. (2022). Penasse, Julien.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:5:p:3966-3973.

    Full description at Econpapers || Download paper

  3. Pairs trading and asset pricing. (2022). He, Jiaxuan ; Xiang, Yun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000087.

    Full description at Econpapers || Download paper

  4. Identifying and boosting “Gazelles”: Evidence from business accelerators. (2021). Reyes, Santiago ; Gonzalez-Uribe, Juanita.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:139:y:2021:i:1:p:260-287.

    Full description at Econpapers || Download paper

  5. The Hedging Channel of Exchange Rate Determination. (2020). Zhang, Tony ; Liao, Gordon Y.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1283.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adrian, T., Etula, E., Muir, T., 2014. Financial intermediaries and the cross-section of asset returns. Journal of Finance 69, 2557–2596.

  2. Agarwal, V., Green, T. C., Ren, H., 2018. Alpha or beta in the eye of the beholder: what drives hedge fund flows? Journal of Financial Economics 127, 417–434.

  3. Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31–56.

  4. Anton, M., Polk, C., 2014. Connected stocks. Journal of Finance 69, 1099–1127.
    Paper not yet in RePEc: Add citation now
  5. Aragon, G. O., Strahan, P. E., 2012. Hedge funds as liquidity providers: evidence from the lehman bankruptcy. Journal of Financial Economics 103, 570–587.

  6. Asl, F. M., Etula, E., 2012. Advancing strategic asset allocation in a multi-factor world. Journal of Portfolio Management 39, 59–66.
    Paper not yet in RePEc: Add citation now
  7. Asness, C. S., Moskowitz, T. J., Pedersen, L. H., 2013. Value and momentum everywhere. Journal of Finance 68, 929–985.

  8. Avdjiev, S., Du, W., Koch, C., Shin, H. S., 2019. The dollar, bank leverage, and deviations from covered interest parity. AMERICAN ECONOMIC REVIEW: INSIGHTS 1, 193–208.

  9. Bansal, R., Dittmar, R. F., Lundblad, C. T., 2005. Consumption, dividends, and the cross section of equity returns. Journal of Finance 60, 1639–1672.

  10. Ben-David, I., Franzoni, F., Moussawi, R., 2012. Hedge fund stock trading in the financial crisis of 2007– 2009. Review of Financial Studies 25, 1–54.

  11. Ben-David, I., Franzoni, F., Moussawi, R., 2018. Do etfs increase volatility? Journal of Finance 73, 2471– 2535.

  12. Boehmer, E., Jones, C. M., Zhang, X., 2013. Shackling short sellers: the 2008 shorting ban. Review of Financial Studies 26, 1363–1400.

  13. Brunnermeier, M. K., Nagel, S., Pedersen, L. H., 2008. Carry trades and currency crashes. NBER Macroeconomics Annual 23, 313–348.

  14. Brunnermeier, M. K., Pedersen, L. H., 2009. Market liquidity and funding liquidity. Review of Financial Studies 22, 2201–2238.

  15. Brunnermeier, M. K., Sannikov, Y., 2014. A macroeconomic model with a financial sector. American Economic Review 104, 379–421.

  16. Campbell, J. Y., 1991. A variance decomposition for stock returns. Economic Journal 101, 157–179.

  17. Campbell, J. Y., Polk, C., Vuolteenaho, T., 2009. Growth or glamour? fundamentals and systematic risk in stock returns. Review of Financial Studies 23, 305–344.
    Paper not yet in RePEc: Add citation now
  18. Campbell, J. Y., Shiller, R. J., 1988. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1, 195–228.

  19. Campbell, J. Y., Vuolteenaho, T., 2004. Bad beta, good beta. American Economic Review 94, 1249–1275.

  20. Carlson, M., Fisher, A., Giammarino, R., 2004. Corporate investment and asset price dynamics: implications for the cross-section of returns. Journal of Finance 59, 2577–2603.

  21. Chan, K. C., Chen, N.-F., 1991. Structural and return characteristics of small and large firms. Journal of Finance 46, 1467–1484.

  22. Chen, Y., Da, Z., Huang, D., 2018. Arbitrage trading: the long and the short of it. Review of Financial Studies 32, 1608–1646.
    Paper not yet in RePEc: Add citation now
  23. Choi, J., 2013. What drives the value premium?: the role of asset risk and leverage. Review of Financial Studies 26, 2845–2875.

  24. Chordia, T., Roll, R., Subrahmanyam, A., 2008. Liquidity and market efficiency. Journal of Financial Economics 87, 249–268.

  25. Chordia, T., Roll, R., Subrahmanyam, A., 2011. Recent trends in trading activity and market quality. Journal of Financial Economics 101, 243–263.

  26. Chordia, T., Subrahmanyam, A., Tong, Q., 2014. Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? Journal of Accounting and Economics 58, 41–58.

  27. Cohen, R., Polk, C., Vuolteenaho, T., 2009. The price is (almost) right. Journal of Finance 64, 2739–2782.

  28. Cooper, I., 2006. Asset pricing implications of nonconvex adjustment costs and irreversibility of investment. Journal of Finance 61, 139–170.

  29. De Bondt, W. F. M., Thaler, R., 1985. Does the stock market overreact? Journal of Finance 40, 793–805.

  30. Dichev, I. D., 1998. Is the risk of bankruptcy a systematic risk? Journal of Finance 53, 1131–1147.

  31. Dong, X., Liu, Q., Lu, L., Sun, B., Yan, H., 2018. Anomaly discovery and arbitrage trading. Unpublished working paper. SSRN.
    Paper not yet in RePEc: Add citation now
  32. Drechsler, I., Drechsler, Q. F., 2016. The shorting premium and asset pricing anomalies. Unpublished working paper. National Bureau of Economic Research.
    Paper not yet in RePEc: Add citation now
  33. Du, W., Tepper, A., Verdelhan, A., 2018. Deviations from covered interest rate parity. Journal of Finance 73, 915–957.

  34. Fama, E. F., French, K. R., 1992. The cross-section of expected stock returns. Journal of Finance 47, 427–465.

  35. Fama, E. F., French, K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56.

  36. Fama, E. F., French, K. R., 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55–84.

  37. Frazzini, A., Pedersen, L. H., 2014. Betting against beta. Journal of Financial Economics 111, 1–25.

  38. Gerakos, J., Linnainmaa, J. T., 2012. The unpriced side of value. Unpublished working paper. USC Marshall School of Business.
    Paper not yet in RePEc: Add citation now
  39. Gomes, J., Kogan, L., Zhang, L., 2003. Equilibrium cross section of returns. Journal of Political Economy 111, 693–732.

  40. Greenwood, R., Thesmar, D., 2011. Stock price fragility. Journal of Financial Economics 102, 471–490.

  41. Gromb, D., Vayanos, D., 2002. Equilibrium and welfare in markets with financially constrained arbitrageurs. Journal of Financial Economics 66, 361–407.

  42. Gromb, D., Vayanos, D., 2018. The dynamics of financially constrained arbitrage. Journal of Finance 73, 1713–1750.

  43. Haddad, V., Kozak, S., Santosh, S., 2018. The economics of factor timing. Unpublished working paper. National Bureau of Economic Research.

  44. Hanson, S. G., Sunderam, A., 2014. The growth and limits of arbitrage: evidence from short interest.

  45. He, Z., Kelly, B., Manela, A., 2017. Intermediary asset pricing: new evidence from many asset classes. Journal of Financial Economics 126, 1–35.

  46. He, Z., Krishnamurthy, A., 2012. A model of capital and crises. Review of Economic Studies 79, 735–777.

  47. He, Z., Krishnamurthy, A., 2013. Intermediary asset pricing. American Economic Review 103, 732–770.

  48. Huang, S., Lou, D., Polk, C., 2018. The booms and busts of beta arbitrage. Unpublished working paper. London School of Economics.
    Paper not yet in RePEc: Add citation now
  49. Hwang, B.-H., Liu, B., Xu, W., 2018. Arbitrage involvement and security prices. Management Science 65, 2445–2945.
    Paper not yet in RePEc: Add citation now
  50. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65–91.

  51. Jiang, W., Li, T., Mei, D., 2018. Influencing control: jawboning in risk arbitrage. Journal of Finance 73, 2635–2675.

  52. Jurek, J. W., Stafford, E., 2015. The cost of capital for alternative investments. Journal of Finance 70, 2185–2226.

  53. Khandani, A. E., Lo, A. W., 2011. What happened to the quants in august 2007? evidence from factors and transactions data. Journal of Financial Markets 14, 1–46.

  54. Khandani, A., Lo, A. W., 2007. What happened to the quants in august 2007? Journal of Investment Management 5, 29.
    Paper not yet in RePEc: Add citation now
  55. Kogan, L., Papanikolaou, D., 2013. Firm characteristics and stock returns: the role of investment-specific shocks. Review of Financial Studies 26, 2718–2759.

  56. Kogan, L., Papanikolaou, D., 2014. Growth opportunities, technology shocks, and asset prices. Journal of Finance 69, 675–718.

  57. Kondor, P., Vayanos, D., 2019. Liquidity risk and the dynamics of arbitrage capital. Journal of Finance 74, 1139–1173.

  58. Kozak, S., Nagel, S., Santosh, S., 2018. Interpreting factor models. Journal of Finance 73, 1183–1223.

  59. Liao, G., 2019. Credit migration and covered interest rate parity. Journal of Financial Economics. Forthcoming.

  60. Lo, A. W., 2004. The adaptive markets hypothesis. Journal of Portfolio Management 30, 15–29.
    Paper not yet in RePEc: Add citation now
  61. Lou, D., Polk, C., 2013. Comomentum: inferring arbitrage activity from return correlations. Unpublished working paper. London School of Economics.
    Paper not yet in RePEc: Add citation now
  62. McLean, R. D., Pontiff, J., 2016. Does academic research destroy stock return predictability? Journal of Finance 71, 5–32.

  63. Mitchell, M., Pulvino, T., 2012. Arbitrage crashes and the speed of capital. Journal of Financial Economics 104, 469–490.

  64. Moskowitz, T. J., Ooi, Y. H., Pedersen, L. H., 2012. Time series momentum. Journal of Financial Economics 104, 228–250.

  65. Nagel, S., 2012. Evaporating liquidity. Review of Financial Studies 25, 2005–2039.

  66. Novy-Marx, R., Velikov, M., 2016. A taxonomy of anomalies and their trading costs. Review of Financial Studies 29, 104–147.

  67. Ozdagli, A. K., 2012. Financial leverage, corporate investment, and stock returns. Review of Financial Studies 25, 1033–1069.

  68. Pedersen, L. H., 2012. When everyone runs for the exit. International Journal of Central Banking 5, 177– 199.
    Paper not yet in RePEc: Add citation now
  69. Rosenberg, B., Reid, K., Lanstein, R., 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management 11, 9–16.
    Paper not yet in RePEc: Add citation now
  70. Schwert, G. W., 2003. Anomalies and market efficiency. Handbook of the Economics of Finance 1, 939– 974.

  71. Song, Y., 2017. The mismatch between mutual fund scale and skill. Unpublished working paper. University of Washington.
    Paper not yet in RePEc: Add citation now
  72. Stein, J. C., 2009. Presidential address: sophisticated investors and market efficiency. Journal of Finance 64, 1517–1548.

  73. Zhang, L., 2005. The value premium. Journal of Finance 60, 67–103.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume*. (2021). Li, Geng.
    In: Review of Finance.
    RePEc:oup:revfin:v:25:y:2021:i:6:p:1859-1900..

    Full description at Econpapers || Download paper

  2. Risky bank guarantees. (2020). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Makinen, Taneli.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:2:p:490-522.

    Full description at Econpapers || Download paper

  3. OTC premia. (2020). Ranaldo, Angelo ; Vasios, Michalis ; Cenedese, Gino.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:1:p:86-105.

    Full description at Econpapers || Download paper

  4. Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:723.

    Full description at Econpapers || Download paper

  5. Monetary policy, financial conditions, and financial stability. (2016). Adrian, Tobias ; Liang, Nellie J..
    In: Staff Reports.
    RePEc:fip:fednsr:690.

    Full description at Econpapers || Download paper

  6. Credit-Market Sentiment and the Business Cycle. (2016). Zakrajsek, Egon ; Stein, Jeremy ; Lopez-Salido, David.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-28.

    Full description at Econpapers || Download paper

  7. On the roles of different foreign currencies in European bank lending. (2015). Tille, Cédric ; Krogstrup, Signe.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:2007.

    Full description at Econpapers || Download paper

  8. Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry. (2015). Milidonis, Andreas ; Ben Ammar, Semir ; Eling, Martin.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2015:16.

    Full description at Econpapers || Download paper

  9. It aint over till its over: A global perspective on the Great Moderation-Great Recession interconnection. (2015). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: Working papers.
    RePEc:tur:wpapnw:031.

    Full description at Econpapers || Download paper

  10. A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt. (2015). Swanson, Eric.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:273.

    Full description at Econpapers || Download paper

  11. Using proprietary credit default swap (CDS) data from 2010 to 2014, I show that capital fluctuations for sellers of CDS protection are an important determinant of CDS spread movements. I first establi. (2015). Siriwardane, Emil.
    In: Working Papers.
    RePEc:ofr:wpaper:14-10.

    Full description at Econpapers || Download paper

  12. Financial Flows and the International Monetary System. (2015). Rey, Helene ; Passari, Evgenia.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21172.

    Full description at Econpapers || Download paper

  13. It aint over till its over: A global perspective on the Great Moderation-Great Recession interconnection. (2015). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: Working Papers.
    RePEc:mib:wpaper:303.

    Full description at Econpapers || Download paper

  14. On the roles of different foreign currencies in European bank lending. (2015). Tille, Cédric ; Krogstrup, Signe.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heidwp17-2015.

    Full description at Econpapers || Download paper

  15. The cost of capital of the financial sector. (2015). Adrian, Tobias ; Friedman, Evan ; Muir, Tyler.
    In: Staff Reports.
    RePEc:fip:fednsr:755.

    Full description at Econpapers || Download paper

  16. Intermediary leverage cycles and financial stability. (2015). Boyarchenko, Nina ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:567.

    Full description at Econpapers || Download paper

  17. The Pass-Through of Sovereign Risk. (2015). Bocola, Luigi.
    In: Working Papers.
    RePEc:fip:fedmwp:722.

    Full description at Econpapers || Download paper

  18. The great housing boom of China. (2015). Wen, Yi ; Chen, Kaiji.
    In: FRB Atlanta CQER Working Paper.
    RePEc:fip:fedacq:15-03.

    Full description at Econpapers || Download paper

  19. What Do Stock Markets Tell Us About Exchange Rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10685.

    Full description at Econpapers || Download paper

  20. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing. (2015). Ma, Sai ; Ludvigson, Sydney ; Lettau, Martin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10335.

    Full description at Econpapers || Download paper

  21. On the Roles of Different Foreign Currencies in European Bank Lending. (2015). Tille, Cédric ; Krogstrup, Signe.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5535.

    Full description at Econpapers || Download paper

  22. What do stock markets tell us about exchange rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0537.

    Full description at Econpapers || Download paper

  23. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2015). Gungor, Sermin ; Garcia, René ; Fontaine, Jean-Sebastien.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-12.

    Full description at Econpapers || Download paper

  24. The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test. (2014). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar ; Masih, A. Mansur M., .
    In: MPRA Paper.
    RePEc:pra:mprapa:56857.

    Full description at Econpapers || Download paper

  25. Capital Share Risk in U.S. Asset Pricing. (2014). Ma, Sai ; Ludvigson, Sydney ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20744.

    Full description at Econpapers || Download paper

  26. . . . and the Cross-Section of Expected Returns. (2014). Harvey, Campbell ; Zhu, Heqing ; Liu, Yan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20592.

    Full description at Econpapers || Download paper

  27. The Macroeconomics of Shadow Banking. (2014). Savov, Alexi ; Moreira, Alan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20335.

    Full description at Econpapers || Download paper

  28. Monetary Policy, Financial Conditions, and Financial Stability. (2014). Adrian, Tobias ; Liang, Nellie.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:14-e-13.

    Full description at Econpapers || Download paper

  29. What predicts U.S. recessions?. (2014). Moench, Emanuel ; Liu, Weiling .
    In: Staff Reports.
    RePEc:fip:fednsr:691.

    Full description at Econpapers || Download paper

  30. Dynamic leverage asset pricing. (2014). Shin, Hyun Song ; Moench, Emanuel ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:625.

    Full description at Econpapers || Download paper

  31. Financial stability monitoring. (2014). Adrian, Tobias ; Covitz, Daniel ; Liang, Nellie J..
    In: Staff Reports.
    RePEc:fip:fednsr:601.

    Full description at Econpapers || Download paper

  32. Determinants of US financial fragility conditions. (2014). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:377-392.

    Full description at Econpapers || Download paper

  33. Conditional risk premia in currency markets and other asset classes. (2014). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:2:p:197-225.

    Full description at Econpapers || Download paper

  34. Sufficient conditions under which SSD- and MR-efficient sets are identical. (2014). Auer, Benjamin R. ; Schuhmacher, Frank .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:239:y:2014:i:3:p:756-763.

    Full description at Econpapers || Download paper

  35. Are Retail Traders Compensated for Providing Liquidity?. (2014). Sraer, David ; Kaniel, Ron ; Barrot, Jean-Noel .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10285.

    Full description at Econpapers || Download paper

  36. Securitization and Asset Prices. (2014). Basso, Henrique ; Aksoy, Yunus.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1411.

    Full description at Econpapers || Download paper

  37. Oil Volatility Risk and Expected Stock Returns. (2014). Christoffersen, Peter ; Pan, Xuhui .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-06.

    Full description at Econpapers || Download paper

  38. GDP mimicking portfolios and the cross-section of stock returns. (2013). Theissen, Erik ; Sebastian, Steffen ; Schindler, Felix ; Kroencke, Tim.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:13026.

    Full description at Econpapers || Download paper

  39. The Dynamic Properties of Financial-Market Equilibrium with Trading Fees. (2013). Buss, Adrian ; Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19155.

    Full description at Econpapers || Download paper

  40. Three Branches of Theories of Financial Crises. (2013). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18670.

    Full description at Econpapers || Download paper

  41. Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns. (2013). MORANA, CLAUDIO.
    In: Working Papers.
    RePEc:mib:wpaper:264.

    Full description at Econpapers || Download paper

  42. Financial stability monitoring. (2013). Adrian, Tobias ; Covitz, Daniel ; Liang, Nellie.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-21.

    Full description at Econpapers || Download paper

  43. Volatility Risk Premia and Exchange Rate Predictability. (2013). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9549.

    Full description at Econpapers || Download paper

  44. Financial-market Equilibrium with Friction. (2013). Buss, Adrian ; Dumas, Bernard J.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9524.

    Full description at Econpapers || Download paper

  45. Determinants of US financial fragility conditions. (2012). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: Working papers.
    RePEc:tur:wpapnw:011.

    Full description at Econpapers || Download paper

  46. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18554.

    Full description at Econpapers || Download paper

  47. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9227.

    Full description at Econpapers || Download paper

  48. Evaporating Liquidity. (2012). Nagel, Stefan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8775.

    Full description at Econpapers || Download paper

  49. Intermediary Leverage Cycles and Financial Stability. (2012). Boyarchenko, Nina ; Adrian, Tobias.
    In: Working Papers.
    RePEc:bfi:wpaper:2012-010.

    Full description at Econpapers || Download paper

  50. Evaporating Liquidity. (2011). Nagel, Stefan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17653.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-19 12:28:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.