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Financial Market Dislocations

https://doi.org/10.1093/rfs/hhu007
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom
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Asset pricing and the bid-ask spread
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Common risk factors in the returns on stocks and bonds
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Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
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Costly arbitrage and the myth of idiosyncratic risk
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Covered interest arbitrage profits: The role of liquidity and credit risk
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Limited arbitrage and short sales restrictions: evidence from the options markets
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Asset pricing with liquidity risk
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A skeptical appraisal of asset pricing tests☆
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Multi-market trading and arbitrage☆
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Arbitrage crashes and the speed of capital
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Size, value, and momentum in international stock returns
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Anomalies and financial distress
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The anatomy of financial crises: Evidence from the emerging ADR market
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Arbitrage in the foreign exchange market: Turning on the microscope
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An information approach to international currencies
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Cross-border trading as a mechanism for implicit capital flight: ADRs and the Argentine crisis
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Liquidity shocks and equilibrium liquidity premia
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The Peso problem hypothesis and stock market returns
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International Financial Management
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken…
inferredcites →https://doi.org/10.1016/s0927-5398(02)00055-5openalex-snapshot
A simple measure of the intensity of capital controls
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Illiquidity and stock returns: cross-section and time-series effects
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Chapter 18 A survey of behavioral finance
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Bank for International Settlements (BIS)
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A Survey of Behavioral Finance
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The Macroprudential Toolkit
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Covered Interest Arbitrage: Unexploited Profits?
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Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods
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Capital Market Equilibrium with Transaction Costs
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Noise Trader Risk in Financial Markets
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Understanding Risk and Return
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Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
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Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs
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Liquidity Risk and Expected Stock Returns
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Carry Trades and Currency Crashes
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Inefficient Markets
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A Theory of Arbitrage Capital
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Transaction Costs and Asset Prices: A Dynamic Equilibrium model
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On the Estimation of Beta-Pricing Models
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Valuation in Over-the-Counter Markets
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Bubbles: Some Perspectives (and Loose Talk) from History
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Market Liquidity and Funding Liquidity
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Expected Stock Returns and Variance Risk Premia
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What Factors Drive Global Stock Returns?
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Margin-based Asset Pricing and Deviations from the Law of One Price
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Common Risk Factors in Currency Markets
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Value versus Growth: The International Evidence
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Market Liquidity and Trading Activity
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Limited Arbitrage in Equity Markets
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Over-the-Counter Markets
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Optimal Inference in Regression Models with Nearly Integrated Regressors
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Liquidity and Market Structure
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The Limits of Arbitrage
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On Persistence in Mutual Fund Performance
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The Cross‐Section of Volatility and Expected Returns
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Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
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Investor Sentiment and the Cross‐Section of Stock Returns
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The Value Premium and the CAPM
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Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis
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Analyst Disagreement, Mispricing, and Liquidity*
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Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading
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Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
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Tails, Fears, and Risk Premia
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Carry Trades and Global Foreign Exchange Volatility
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The TIPS‐Treasury Bond Puzzle
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Noise as Information for Illiquidity
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Biased Beliefs, Asset Prices, and Investment: A Structural Approach
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Financial Intermediaries and the Cross‐Section of Asset Returns
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Does Academic Research Destroy Stock Return Predictability?
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Rare Disasters and Asset Markets in the Twentieth Century*
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A Comparison of the Real-Time Performance of Business Cycle Dating Methods
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Anomalies: The Law of One Price in Financial Markets
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Limits of Arbitrage: The State of the Theory
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Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity
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Anomalies and Financial Distress
inferredcites →https://doi.org/10.2139/ssrn.1571597openalex-snapshot
Rare Events, Financial Crises, and the Cross-Section of Asset Returns
inferredcites →https://doi.org/10.2139/ssrn.2049501openalex-snapshot
Isolating the Effect of Day-Count Conventions on the Market Value of Interest Rate Swaps
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Does Academic Research Destroy Stock Return Predictability?
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Financial Stress and Economic Dynamics: The Transmission of Crises
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Financial Stress and Economic Dynamics: The Transmission of Crises
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…and the Cross-Section of Expected Returns
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Notes on Bonds: Liquidity at All Costs in the Great Recession
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Arbitrage in the Foreign Exchange Market: Turning on the Microscope
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
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Liquidity and Market Structure
inferredcites →https://doi.org/10.2307/2946710openalex-snapshot
Costly Arbitrage: Evidence from Closed-End Funds
inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-snapshot
The Econometrics of Financial Markets
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Valuation in Over-the-Counter Markets
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Understanding Inflation-Indexed Bond Markets
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Limits of Arbitrage: The State of the Theory
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Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
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Noise as Information for Illiquidity
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The Short of It: Investor Sentiment and Anomalies
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Resource Allocation within Firms and Financial Market Dislocation: Evidence from Diversified Conglomerates
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Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis
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The Investor Fear Gauge
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Risk Management Lessons Worth Remembering from the Credit Crisis of 2007–2009
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Risk management through the lens of macroprudential policy

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Liquidity Provision in the Secondary Market for Private Equity Fund Stakes
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Mispricing and Uncertainty in International Markets
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Speculation and Liquidity in Stock and Corporate Bond Markets
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Financial Intermediaries and Comovement in Market Efficiency: The Case of ETFs
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FX Liquidity Risk and Carry Trade Premia
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Financial Intermediaries and Co-Movements in Pricing Efficiency: The Case of Exchange-Traded Funds
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What is Missing in Asset-Pricing Factor Models?
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Can Retail Traders Harm Market Efficiency? Evidence from Closing Price Auctions during COVID-19
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Journalist disagreement
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Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
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Dispersion of beliefs, ambiguity, and the cross-section of stock returns
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Limits to arbitrage and CDS–bond dynamics around the financial crisis
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Financial markets, banks’ cost of funding, and firms’ decisions: Lessons from two crises
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Constrained liquidity provision in currency markets
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Corporate bond market distress
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Cross-country cultural and economic freedom influences on the relationship between economic policy uncertainty and ADR mispricing
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The determinants of liquidity commonality in the Euro-area sovereign bond market
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The Liquidity Premium of Near-Money Assets*
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Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data
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Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives
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Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows
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Understanding FX Liquidity
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Commodities as Collateral
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The Dynamics of Market Efficiency
inferred← citeshttps://doi.org/10.1093/rfs/hhw103openalex-snapshot
Toxic Arbitrage
inferred← citeshttps://doi.org/10.1093/rfs/hhx074openalex-snapshot
Government Intervention and Arbitrage
inferred← citeshttps://doi.org/10.1111/ajfs.12297openalex-snapshot
International Market Integration: A Survey
inferred← citeshttps://doi.org/10.1111/ehr.13309openalex-snapshot
The 1929 crash of the New York stock exchange as a liquidity crisis
inferred← citeshttps://doi.org/10.1111/jofi.13079openalex-snapshot
Currency Mispricing and Dealer Balance Sheets
inferred← citeshttps://doi.org/10.1111/jofi.13264openalex-snapshot
Complex Asset Markets
inferred← citeshttps://doi.org/10.1111/jofi.13336openalex-snapshot
The Term Structure of Covered Interest Rate Parity Violations
inferred← citeshttps://doi.org/10.1111/jofi.13367openalex-snapshot
Did Banks Pay Fair Returns to Taxpayers on TARP?
inferred← citeshttps://doi.org/10.1111/jofi.13469openalex-snapshot
Segmented Arbitrage
inferred← citeshttps://doi.org/10.1111/jofi.70095openalex-snapshot
Risk, Specialization, and Covered‐Interest Parity
inferred← citeshttps://doi.org/10.1146/annurev-financial-090524-120754openalex-snapshot
Market Macrostructure: Institutions and Asset Prices
inferred← citeshttps://doi.org/10.1186/s40807-024-00112-4openalex-snapshot
Unveiling determinants of household lighting preferences in rural Tanzania: insights for sustainable energy access
inferred← citeshttps://doi.org/10.1287/mnsc.2023.01031openalex-snapshot
Liquidity Risk and Currency Premia
inferred← citeshttps://doi.org/10.1287/mnsc.2024.06104openalex-snapshot
The Treasury Collateral Spread and Levered Safe-Asset Production
inferred← citeshttps://doi.org/10.17016/feds.2019.059openalex-snapshot
Variance Disparity and Market Frictions
inferred← citeshttps://doi.org/10.17016/feds.2021.022openalex-snapshot
Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data
inferred← citeshttps://doi.org/10.17016/feds.2022.046openalex-snapshot
The Collateral Premium and Levered Safe-Asset Production
inferred← citeshttps://doi.org/10.17016/feds.2024.061openalex-snapshot
Quantities and Covered-Interest Parity
inferred← citeshttps://doi.org/10.17016/ifdp.2017.1202openalex-snapshot
Reversals in Global Market Integration and Funding Liquidity
inferred← citeshttps://doi.org/10.2139/ssrn.5083905openalex-snapshot
Market Segmentation Across Stocks, Bonds, and Derivatives
inferred← citeshttps://doi.org/10.2139/ssrn.5122153openalex-snapshot
Market Macrostructure: Institutions and Asset Prices
inferred← citeshttps://doi.org/10.2139/ssrn.6867154openalex-snapshot
The Economics of Pension Fund Rebalancing in Frontier Markets: Execution Frictions, Sovereign Yields, and Welfare
inferred← citeshttps://doi.org/10.22367/uekat.9788378758273openalex-snapshot
Wartość dochodowa przedsiębiorstwa w ekspozycji na ryzyko działalności gospodarczej
inferred← citeshttps://doi.org/10.2478/amns.2023.1.00392openalex-snapshot
Risk Assessment of Financial Markets in the Era of Big Data Based on Eviews Econometric Model
inferred← citeshttps://doi.org/10.2760/761074openalex-snapshot
Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data
inferred← citeshttps://doi.org/10.5089/9781484305850.001openalex-snapshot
Central Bank Emergency Support to Securities Markets
inferred← citeshttps://doi.org/10.5897/jaerd2017.0913openalex-snapshot
Access to dry season water and small ruminants market integration in the Nadowli District of Upper West Region of Ghana
inferred← citeshttps://doi.org/10.70675/896ca4abz8702z4f0fz9d4ez3b655ed6dcc1openalex-snapshot
Essays in Economic and Financial History
inferred← citeshttps://doi.org/10.7936/k7n015z4openalex-snapshot
On the Wedge between Theoretical and Actual Prices and its Implications for Investment Decisions
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