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Burton Hollifield

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Antje Berndt & Burton Hollifield & Patrik Sandås, 2010. "The Role of Mortgage Brokers in the Subprime Crisis," NBER Working Papers 16175, National Bureau of Economic Research, Inc.

    Cited by:

    1. Patrick Payne & Tammy Huffman Ph.D, 2012. "Minimizing predatory lending: Designing a long-term compensation structure to minimize the actions of opportunistic mortgage brokers," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(5), pages 8-19, October.
    2. Jason Allen & Robert Clark & Jean-François Houde, 2014. "Price Dispersion in Mortgage Markets," Journal of Industrial Economics, Wiley Blackwell, vol. 62(3), pages 377-416, September.
    3. Jason Allen & Robert Clark & Jean-François Houde & Shaoteng Li & Anna Trubnikova, 2023. "The Role of Intermediaries in Selection Markets: Evidence from Mortgage Lending," Staff Working Papers 23-12, Bank of Canada.
    4. Ben-David, Itzhak, 2011. "High Leverage and Willingness to Pay: Evidence from the Residential Housing Market," Working Paper Series 2011-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    5. Tomasz Piskorski & Amit Seru & James Witkin, 2013. "Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market," NBER Working Papers 18843, National Bureau of Economic Research, Inc.
    6. Patrick Payne & Tammy Huffman Ph.D, 2012. "Minimizing predatory lending: Designing a long-term compensation structure to minimize the actions of opportunistic mortgage brokers," International Journal of Business and Social Research, LAR Center Press, vol. 2(5), pages 8-19, October.
    7. Shi, Lan & Zhang, Yan, 2018. "The effect of mortgage broker licensing under the originate-to-distribute model: Evidence from the U.S. mortgage market," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 70-85.
    8. Eliana Balla & Raymond Brastow & Daniel Edgel & Morgan Rose, 2024. "The Effect of Regulatory Oversight on Nonbank Mortgage Subsidiaries," The Journal of Real Estate Finance and Economics, Springer, vol. 68(3), pages 523-575, April.
    9. Susan E. Woodward & Robert E. Hall, 2012. "Diagnosing Consumer Confusion and Sub-optimal Shopping Effort: Theory and Mortgage-Market Evidence," American Economic Review, American Economic Association, vol. 102(7), pages 3249-3276, December.
    10. Shah, Syed Zulfiqar Ali & Akbar, Saeed & Liu, Jia & Liu, Ziyu & Cao, Sichen, 2017. "CEO compensation and banks’ risk-taking during pre and post financial crisis periods," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1489-1503.
    11. Gene Amromin & Jennifer Huang & Clemens Sialm & Edward Zhong, 2018. "Complex Mortgages [Why don’t lenders renegotiate more home mortgages? Redefaults, self-cures, and securitization]," Review of Finance, European Finance Association, vol. 22(6), pages 1975-2007.
    12. Brent W. Ambrose & James N. Conklin, 2014. "Mortgage Brokers, Origination Fees, Price Transparency and Competition," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 363-421, June.
    13. Maitland MacFarlan, 2017. "House price collapses: policy responses and lessons learned," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 80, pages 1-17, December.
    14. Morgan J. Rose, 2011. "Prepayment Penalties: Efficieny and Predation," UMBC Economics Department Working Papers 11-133, UMBC Department of Economics.

  2. Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2009. "Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry," NBER Working Papers 15038, National Bureau of Economic Research, Inc.

    Cited by:

    1. Narulita, Wista A. & Parwada, Jerry T., 2012. "Evolution of a mutual fund market: Empirical analysis of simultaneous growth and decline by fund category in Indonesia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1217-1236.
    2. Salganik, G., 2010. "Essays on investment flows of hedge fund and mutual fund investors," Other publications TiSEM e5953fbe-064e-4647-9353-0, Tilburg University, School of Economics and Management.
    3. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
    4. Sebastian Müller & Martin Weber, 2014. "Evaluating the Rating of Stiftung Warentest: How Good Are Mutual Fund Ratings and Can They Be Improved?," European Financial Management, European Financial Management Association, vol. 20(2), pages 207-235, March.
    5. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    6. Badrinath, S.G. & Gubellini, S., 2011. "On the characteristics and performance of long-short, market-neutral and bear mutual funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1762-1776, July.
    7. Zhou, Haoyong & He, Fan & Wang, Yangbo, 2017. "Did family firms perform better during the financial crisis? New insights from the S&P 500 firms," Global Finance Journal, Elsevier, vol. 33(C), pages 88-103.

  3. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.

    Cited by:

    1. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
    2. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    3. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    4. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    5. Silvio Contessi & Pierangelo De Pace & Li Li, 2014. "An international perspective on the recent behavior of inflation," Review, Federal Reserve Bank of St. Louis, vol. 96(3), pages 267-294.
    6. Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
    7. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    8. John H. Cochrane, 2007. "Commentary on \\"Macroeconomic implications of changes in the term premium\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 271-282.
    9. William Gavin & Benjamin Keen, 2013. "U.S. Monetary Policy: A View from Macro Theory," Open Economies Review, Springer, vol. 24(1), pages 33-49, February.
    10. Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
    11. Carlos Garriga & Finn E. Kydland & Roman Šustek, 2013. "Mortgages and Monetary Policy," Discussion Papers 1306, Centre for Macroeconomics (CFM), revised May 2016.
    12. Diana A. Cooke & William T. Gavin, 2014. "Three Scenarios for Interest Rates in the Transition to Normalcy," Working Papers 2014-27, Federal Reserve Bank of St. Louis.
    13. Josephine M. Smith & John B. Taylor, 2007. "The Long and the Short End of the Term Structure of Policy Rules," NBER Working Papers 13635, National Bureau of Economic Research, Inc.
    14. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
    15. Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
    16. Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
    17. Smith, Josephine M. & Taylor, John B., 2009. "The term structure of policy rules," Journal of Monetary Economics, Elsevier, vol. 56(7), pages 907-917, October.
    18. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    19. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    20. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
    21. Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
    22. Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," DEM Discussion Paper Series 09-17, Department of Economics at the University of Luxembourg.
    23. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    24. Antonio Diez de los Rios, 2020. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," Staff Working Papers 20-6, Bank of Canada.
    25. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
    26. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    27. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
    28. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    29. Mohsan Bilal, 2017. "Zeroing in: Asset Pricing at the Zero Lower Bound," 2017 Meeting Papers 377, Society for Economic Dynamics.
    30. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
    31. Almeida, Caio & Lund, Bruno, 2014. "Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    32. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
    33. Pamela Labadie, 2007. "Commentary on \\"Arbitrage-free bond pricing with dynamic macroeconomic models\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 327-330.
    34. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
    35. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    36. Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
    37. Alex Hsu & Francisco Palomino & Liang Qian, 2023. "Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation," Management Science, INFORMS, vol. 69(5), pages 3025-3047, May.

  4. A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006. "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers 263, Society for Economic Dynamics.

    Cited by:

    1. Thilo A. Schmitt & Rudi Schafer & Holger Dette & Thomas Guhr, 2015. "Quantile Correlations: Uncovering temporal dependencies in financial time series," Papers 1507.04990, arXiv.org.
    2. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    3. Thilo A. Schmitt & Rudi Schäfer & Holger Dette & Thomas Guhr, 2015. "Quantile Correlations: Uncovering Temporal Dependencies In Financial Time Series," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-16, November.
    4. Alina Synyavska & Numan Ülkü, 2015. "'Leverage Effect' in country betas and volatilities?," Applied Economics Letters, Taylor & Francis Journals, vol. 22(11), pages 848-853, July.
    5. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    6. Philippe Masset & Martin Wallmeier, 2010. "A High†Frequency Investigation of the Interaction between Volatility and DAX Returns," European Financial Management, European Financial Management Association, vol. 16(3), pages 327-344, June.
    7. Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022. "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    8. Daouk, Hazem & Ng, David T.C., 2009. "Is Unlevered Firm Volatility Asymmetric?," Working Papers 51182, Cornell University, Department of Applied Economics and Management.
    9. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
    10. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  5. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.

    Cited by:

    1. Reis, Ricardo, 2018. "Central banks going long," LSE Research Online Documents on Economics 87618, London School of Economics and Political Science, LSE Library.
    2. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
    3. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
    4. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
    5. Bikbov, Ruslan & Chernov, Mikhail, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, vol. 159(1), pages 166-182, November.
    6. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    7. Mariano Kulish, 2006. "Term Structure Rules for Monetary Policy," RBA Research Discussion Papers rdp2006-02, Reserve Bank of Australia.
    8. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    9. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
    10. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    11. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
    12. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
    13. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    14. Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
    15. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 241-270.
    16. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
    17. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
    18. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
    19. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
    20. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
    21. Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019. "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers 26177, National Bureau of Economic Research, Inc.
    22. Juha Seppala & Federico Ravenna, 2007. "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers 513, Society for Economic Dynamics.
    23. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
    24. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    25. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
    26. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
    27. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
    28. Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 395-422, March.
    29. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    30. Fan, Longzhen & Johansson, Anders C., 2010. "China's official rates and bond yields," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 996-1007, May.
    31. Pereira, Pedro L. Valls, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," Textos para discussão 175, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    32. Francisco Palomino, 2008. "The Economic Content of Interest Rates, Monetary Policy and Time-Varying Risk Premia," 2008 Meeting Papers 957, Society for Economic Dynamics.
    33. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
    34. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    35. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    36. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
    37. Croce, Mariano & Nguyen, Thien & Raymond, Steve, 2019. "Persistent Government Debt and Aggregate Risk Distribution," CEPR Discussion Papers 13922, C.E.P.R. Discussion Papers.
    38. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
    39. Benjamin Croitoru & Lei Lu, 2015. "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs," Management Science, INFORMS, vol. 61(9), pages 2203-2219, September.
    40. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
    41. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
    42. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    43. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    44. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    45. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
    46. Croce, M. & Nguyen, Thien T. & Raymond, S., 2021. "Persistent government debt and aggregate risk distribution," Journal of Financial Economics, Elsevier, vol. 140(2), pages 347-367.

  6. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2004. "Estimating the Gains From Trade in Limit Order Markets," CEPR Discussion Papers 4432, C.E.P.R. Discussion Papers.

    Cited by:

    1. Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2021. "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation," Staff Reports 993, Federal Reserve Bank of New York.
    2. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
    3. Jean-Edouard Colliard & Thierry Foucault, 2012. "Trading Fees and Efficiency in Limit Order Markets," The Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3389-3421.
    4. Degryse, H.A. & van Achter, M. & Wuyts, G., 2012. "Internalization, Clearing and Settlement, and Liquidity," Discussion Paper 2012-001, Tilburg University, Tilburg Law and Economic Center.
    5. Degryse, H.A. & van Achter, M. & Wuyts, G., 2007. "Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Other publications TiSEM a63f4ee1-35ab-4fe3-a4ba-2, Tilburg University, School of Economics and Management.
    6. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
    8. Alessio Emanuele Biondo, 2018. "Order book microstructure and policies for financial stability," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 196-218, March.
    9. Buti, Sabrina & Rindi, Barbara, 2013. "Undisclosed orders and optimal submission strategies in a limit order market," Journal of Financial Economics, Elsevier, vol. 109(3), pages 797-812.
    10. Thomas Philippon & Emiliano S. Pagnotta, 2011. "The Welfare Effects of Financial Innovation: High-Frequency Trading in Equity Markets," 2011 Meeting Papers 1246, Society for Economic Dynamics.
    11. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
    12. Alessio Emanuele Biondo, 2019. "Order book modeling and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 469-489, September.
    13. Cebiroğlu, Gökhan & Horst, Ulrich, 2015. "Optimal order display in limit order markets with liquidity competition," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100.
    14. Biondo, Alessio Emanuele, 2017. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics Discussion Papers 2017-104, Kiel Institute for the World Economy (IfW Kiel).
    15. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    16. Biondo, Alessio Emanuele, 2018. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-21.
    17. Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
    18. Jung-Wook Kim & Jason Lee & Randall Morck, 2009. "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers 14733, National Bureau of Economic Research, Inc.
    19. Withanawasam, R.M. & Whigham, P.A. & Crack, Timothy Falcon, 2013. "Characterizing limit order prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5346-5355.
    20. Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
    21. Vaihekoski, Mika, 2008. "History of finance research and education in Finland: the first thirty years," Bank of Finland Research Discussion Papers 18/2008, Bank of Finland.
    22. Zhu, Hongyu & Yamamoto, Ryuichi, 2022. "Order submission, information asymmetry, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    23. Hans Degryse & Mark Van Achter & Gunther Wuyts, 2022. "Plumbing of Securities Markets: The Impact of Post-trade Fees on Trading and Welfare," Management Science, INFORMS, vol. 68(1), pages 635-653, January.
    24. Jin-Hyuk Kim & Peter Newberry & Calvin Qiu, 2015. "An Empirical Analysis of a Crowdfunding Platform," Working Papers 15-12, NET Institute.
    25. Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
    26. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    27. Bogdan Negrea, 2011. "How to Compute the Liquidity Cost in the Orders-Driven Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 007-019, June.
    28. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
    29. Mao, Wen & Pagano, Michael S., 2011. "Specialists as risk managers: The competition between intermediated and non-intermediated markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 51-66, January.
    30. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
    31. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    32. Xing, Xiaochuan & Xue, Yi, 2017. "Trading mechanisms and market quality: Limit-order books versus dealership markets," Economics Letters, Elsevier, vol. 154(C), pages 35-44.
    33. Adrian D. Lee & Shan Choy, 2014. "Contracts for dummies? The performance of investors in contracts for difference," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(3), pages 965-997, September.
    34. Thomas Stöckl & Michael Kirchler, 2010. "Trading strategies and trading profits in experimental asset markets with cumulative information," Working Papers 2010-09, Faculty of Economics and Statistics, Universität Innsbruck.
    35. Iwatsubo, Kentaro & Rhee, S. Ghon & Zhang, Ye Zhou, 2023. "Dealership versus continuous auction: Evidence from the JASDAQ market," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    36. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
    37. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
    38. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
    39. Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
    40. Sperl, Miriam, 2008. "Quantifying the efficiency of the Xetra LOB market: Detailed recipe," CFS Working Paper Series 2008/21, Center for Financial Studies (CFS).
    41. Bernales, Alejandro, 2017. "The success of option listings," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 139-161.
    42. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    43. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
    44. Barkley, Aaron & Groeger, Joachim R. & Miller, Robert A., 2021. "Bidding frictions in ascending auctions," Journal of Econometrics, Elsevier, vol. 223(2), pages 376-400.
    45. Stefan Palan & Thomas Stöckl, 2014. "When chasing the offender hurts the victim: Collateral damage from insider legislation," Working Paper Series, Social and Economic Sciences 2014-03, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    46. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
    47. Giuliano Graziani & Barbara Rindi, 2023. "Optimal Tick Size," Working Papers 688, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    48. Petter Dahlström & Björn Hagströmer & Lars L. Nordén, 2024. "The determinants of limit order cancellations," The Financial Review, Eastern Finance Association, vol. 59(1), pages 181-201, February.
    49. Joachim R. Groeger, 2016. "The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets," Papers 1609.03471, arXiv.org.
    50. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, vol. 66(C), pages 98-124.
    51. Albert Menkveld & Boyan Jovanovic, 2016. "Dispersion and Skewness of Bid Prices," 2016 Meeting Papers 1395, Society for Economic Dynamics.
    52. Lo, Ingrid & Sapp, Stephen G., 2008. "The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1056-1073, November.
    53. Jon A. Garfinkel, 2009. "Measuring Investors' Opinion Divergence," Journal of Accounting Research, Wiley Blackwell, vol. 47(5), pages 1317-1348, December.

  7. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.

    Cited by:

    1. Foucault, Thierry & Kandel, Eugene & Kadan, Ohad, 2001. "Limit Order Book as a Market for Liquidity," CEPR Discussion Papers 2889, C.E.P.R. Discussion Papers.
    2. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
    3. Saumya Ranjan Dash & Debasish Maitra & Byomakesh Debata & Jitendra Mahakud, 2021. "Economic policy uncertainty and stock market liquidity: Evidence from G7 countries," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 611-626, June.
    4. Brunel, Alexandre, 2011. "Impact des rachats d’actions sur la liquidité et la rentabilité des actions," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/6404 edited by Hamon, Jacques.
    5. Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," Economics Series Working Papers 2004-FE-04, University of Oxford, Department of Economics.
    6. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit.
    7. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
    8. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
    9. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    10. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
    11. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Post-Print hal-00515873, HAL.
    12. Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
    13. Ingrid Lo & Stephen Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Staff Working Papers 05-42, Bank of Canada.
    14. Carlson, John A. & Lo, Melody, 2006. "One minute in the life of the DM/US$: Public news in an electronic market," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1090-1102, November.
    15. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4601-4641, November.
    16. Bruce Lehmann, 2008. "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers 13848, National Bureau of Economic Research, Inc.

  8. Richard Green & Burton Hollifield, 2000. "The Personal Tax Advantage of Equity," Econometric Society World Congress 2000 Contributed Papers 1611, Econometric Society.

    Cited by:

    1. Macnamara, Patrick, 2019. "Taxes and financial frictions: Implications for corporate capital structure," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 82-100.
    2. Harrington, Scott E. & Niehaus, Greg, 2003. "Capital, corporate income taxes, and catastrophe insurance," Journal of Financial Intermediation, Elsevier, vol. 12(4), pages 365-389, October.
    3. Miglo, Anton, 2010. "The Pecking Order, Trade-off, Signaling, and Market-Timing Theories of Capital Structure: a Review," MPRA Paper 46691, University Library of Munich, Germany, revised 2013.
    4. Kristian Rydqvist & Joshua Spizman & Ilya A. Strebulaev, 2011. "Government Policy and Ownership of Financial Assets," NBER Working Papers 17522, National Bureau of Economic Research, Inc.
    5. Miglo, Anton & Liang, Shuting & Lee, Zhenting, 2014. "Capital Structure of Internet Companies: Case Study," MPRA Paper 56330, University Library of Munich, Germany.
    6. Kenneth J. Kopecky & Zhichuan (Frank) Li & Timothy F. Sugrue & Alan L. Tucker, 2018. "Revisiting M&M with Taxes: An Alternative Equilibrating Process," IJFS, MDPI, vol. 6(1), pages 1-12, January.
    7. Graham, John R. & Tucker, Alan L., 2006. "Tax shelters and corporate debt policy," Journal of Financial Economics, Elsevier, vol. 81(3), pages 563-594, September.
    8. Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2009. "The Evolution of Aggregate Stock Ownership - A Unified Explanation," SIFR Research Report Series 68, Institute for Financial Research.
    9. Hanlon, Michelle & Heitzman, Shane, 2010. "A review of tax research," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 127-178, December.
    10. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    11. Grinblatt, Mark & Liu, Jun, 2002. "Debt Policy, Corporate Taxes, and Discount Rates," University of California at Los Angeles, Anderson Graduate School of Management qt7dx622kj, Anderson Graduate School of Management, UCLA.
    12. ElBannan, Mona A., 2017. "Stock market liquidity, family ownership, and capital structure choices in an emerging country," Emerging Markets Review, Elsevier, vol. 33(C), pages 201-231.
    13. Norman Schürhoff, 2005. "Capital Gains Taxes, Irreversible Investment, and Capital Structure," FAME Research Paper Series rp131, International Center for Financial Asset Management and Engineering.
    14. Anton Miglo, 2012. "Managers versus Students: New Approach in Improving Capital Structure Education," Journal of Education and Vocational Research, AMH International, vol. 3(11), pages 353-369.
    15. Nippel, Peter, 2006. "Capital structure decisions under the German tax code," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 607, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    16. Jules H. van Binsbergen & John Graham & Jie Yang, 2010. "The Cost of Debt," NBER Working Papers 16023, National Bureau of Economic Research, Inc.
    17. Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2011. "The evolution of aggregate stock ownership," CFS Working Paper Series 2011/18, Center for Financial Studies (CFS).
    18. Dahlquist, Magnus & Robertsson, Göran & Rydqvist, Kristian, 2007. "Direct Evidence of Dividend Tax Clienteles," SIFR Research Report Series 51, Institute for Financial Research.
    19. Lally, Martin, 2011. "Optimal dividend policy, debt policy and the level of investment within a multi-period DCF framework," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 21-40, January.
    20. Babkin, Anton & Glover, Brent & Levine, Oliver, 2017. "Are corporate inversions good for shareholders?," Journal of Financial Economics, Elsevier, vol. 126(2), pages 227-251.
    21. Burak Pirgaip, 2021. "Pan(dem)ic reactions in Turkish stock market: evidence from share repurchases," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 381-402, June.
    22. Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2014. "Government policy and ownership of equity securities," Journal of Financial Economics, Elsevier, vol. 111(1), pages 70-85.
    23. Lipson, Marc L. & Mortal, Sandra, 2009. "Liquidity and capital structure," Journal of Financial Markets, Elsevier, vol. 12(4), pages 611-644, November.
    24. William M. Gentry & Deen Kemsley & Christopher J. Mayer, 2001. "Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts," NBER Working Papers 8486, National Bureau of Economic Research, Inc.
    25. Hartzmark, Samuel M. & Solomon, David H., 2013. "The dividend month premium," Journal of Financial Economics, Elsevier, vol. 109(3), pages 640-660.
    26. Seth Armitage, 2008. "Incorporating Financing‐Related Determinants Of Value In The Discounted Cash Flow Model," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 274-298, April.
    27. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
    28. Oded, Jacob, 2011. "Stock repurchases: How firms choose between a self tender offer and an open-market program," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3174-3187.
    29. Mai, Nhat Chi, 2012. "Market timing, taxes and capital structure: evidence from Vietnam," OSF Preprints t3mvs, Center for Open Science.
    30. Rydqvist, Kristian & Dahlquist, Magnus & Robertsson, Göran, 2006. "Direct Evidence of Dividend Tax Clienteles," CEPR Discussion Papers 6005, C.E.P.R. Discussion Papers.
    31. Gottesman, Aron A. & Jacoby, Gady, 2006. "Payout policy, taxes, and the relation between returns and the bid-ask spread," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 37-58, January.

  9. Hollifield, B. & Yaron, A., 1999. "The Foreign Exchange Risk Premium: Real and Nominal Factors," GSIA Working Papers 1999-17, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Katrin Rabitsch, 2014. "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Papers wuwp171, Vienna University of Economics and Business, Department of Economics.
    2. Mitchener, Kris James & Pina, Gonçalo, 2020. "Pegxit pressure," Journal of International Money and Finance, Elsevier, vol. 107(C).
    3. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    4. Rabitsch, Katrin, 2016. "An incomplete markets explanation of the UIP puzzle," FinMaP-Working Papers 53, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    5. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics.
    6. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
    7. Doriana Ruffino & Jonathan Treussard, 2006. "A Study of Inaction in Investment Games via the Early Exercise Premium Representation," Boston University - Department of Economics - Working Papers Series WP2006-040, Boston University - Department of Economics.
    8. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
    9. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 423-442, March.
    10. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc.
    11. Poghosyan Tigran, 2012. "Determinants of the Foreign Exchange Risk Premium in the Gulf Cooperation Council Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 7(3), pages 1-26, May.
    12. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
    13. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    14. Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
    15. Rabitsch, Katrin, 2014. "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Paper Series 171, WU Vienna University of Economics and Business.
    16. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    17. Katrin Rabitsch, 2016. "An Incomplete Markets Explanation of the Uncovered Interest Rate Parity Puzzle," Review of International Economics, Wiley Blackwell, vol. 24(2), pages 422-446, May.
    18. Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
    19. Bernard Walley, 2015. "Macroeconomic sources of foreign exchange risk premium: evidence from South Africa," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 382-395, April.
    20. Iwata, Shigeru & Wu, Shu, 2009. "Stock market liberalization and international risk sharing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 461-476, July.
    21. Kocenda, Evzen & Poghosyan, Tigran, 2009. "Macroeconomic sources of foreign exchange risk in new EU members," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2164-2173, November.

  10. Bernhardt, Dan & Hollifield, Burton & Hughson, Eric, 1993. "Investment and Insider Trading," Working Papers 830, California Institute of Technology, Division of the Humanities and Social Sciences.

    Cited by:

    1. Ordonez-Calafi, Guillem & Bernhardt, Dan, 2019. "Blockholder Disclosure Thresholds and Hedge Fund Activism," The Warwick Economics Research Paper Series (TWERPS) 1203, University of Warwick, Department of Economics.
    2. Luis Angel Medrano & Xavier Vives, 2004. "Regulating Insider Trading When Investment Matters," Review of Finance, Springer, vol. 8(2), pages 199-277.
    3. Juliane Begenau & Maryam Farboodi & Laura Veldkamp, 2018. "Big Data in Finance and the Growth of Large Firms," NBER Working Papers 24550, National Bureau of Economic Research, Inc.
    4. Arturo Bris, 2005. "Do Insider Trading Laws Work?," European Financial Management, European Financial Management Association, vol. 11(3), pages 267-312, June.
    5. Andrea Buffa & Giovanna Nicodano, 2006. "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Carlo Alberto Notebooks 16, Collegio Carlo Alberto.
    6. Kumar, Praveen & Langberg, Nisan & Oded, Jacob & Sivaramakrishnan, K., 2017. "Voluntary disclosure and strategic stock repurchases," Journal of Accounting and Economics, Elsevier, vol. 63(2), pages 207-230.
    7. Vahe Lskavyan, 2015. "Insider regulation and the incentive to invest as an insider," Economics of Governance, Springer, vol. 16(3), pages 207-227, August.
    8. Vinh Huy Nguyen & Suchismita Mishra & Pankaj K. Jain, 2022. "Institutional trading around repurchase announcements: An uphill battle," The Financial Review, Eastern Finance Association, vol. 57(3), pages 485-507, August.
    9. Michael Firth & T. Y. Leung & Oliver M. Rui, 2011. "Insider Trading in Hong Kong: Tests of Stock Returns and Trading Frequency," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 505-533.
    10. Aaron Gilbert & Alireza Tourani-Rad & Tomasz Piotr Wisniewski, 2007. "Insiders and the law: The impact of regulatory change on insider trading," Management International Review, Springer, vol. 47(5), pages 745-766, September.
    11. Franklin Allen & Richard Herring, 2001. "Banking Regulation versus Securities Market Regulation," Center for Financial Institutions Working Papers 01-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
    12. Lenkey, Stephen L., 2017. "Insider trading and the short-swing profit rule," Journal of Economic Theory, Elsevier, vol. 169(C), pages 517-545.
    13. Maug, Ernst, 2002. "Insider trading legislation and corporate governance," European Economic Review, Elsevier, vol. 46(9), pages 1569-1597, October.
    14. Begenau, Juliane & Farboodi, Maryam & Veldkamp, Laura, 2018. "Big data in finance and the growth of large firms," Journal of Monetary Economics, Elsevier, vol. 97(C), pages 71-87.
    15. Oded, Jacob, 2011. "Stock repurchases: How firms choose between a self tender offer and an open-market program," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3174-3187.
    16. Fujun Lai & Qian Wang & Qingxiang Feng, 2019. "Does Chinese Financial Market Information Promote Listed Manufacturing Firms’ Productivity?," Sustainability, MDPI, vol. 11(2), pages 1-20, January.
    17. Chi-Wen Lee & Zemin Lu, 2008. "Trading on inside information when there may be tippees," Review of Quantitative Finance and Accounting, Springer, vol. 31(3), pages 241-260, October.

  11. Green, R.C. & Hollifield, B., 1990. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," GSIA Working Papers 1990-12, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
    2. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
    3. Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
    4. Walter Hlawitschka & Michael Tucker, 2008. "Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe," Journal of Asset Management, Palgrave Macmillan, vol. 9(1), pages 67-72, May.
    5. Zion Guo & Hsin-Yi Huang, 2012. "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 104-116, December.
    6. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    7. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
    8. John Knight & Stephen Satchell, 2005. "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics.
    9. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    10. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
    11. Andrew F. Siegel & Artemiza Woodgate, 2007. "Performance of Portfolios Optimized with Estimation Error," Management Science, INFORMS, vol. 53(6), pages 1005-1015, June.
    12. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
    13. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
    14. Korkie, Bob & Nakamura, Masao, 1997. "Block holding and keiretsu in Japan: the effects of capital markets liberalization measures on the stock market," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 113-140, February.
    15. Weidong Tian & Qing Zhou, 2017. "Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 289-324, June.
    16. Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
    17. J. Sa‐Aadu & James Shilling & Ashish Tiwari, 2010. "On the Portfolio Properties of Real Estate in Good Times and Bad Times1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(3), pages 529-565, September.
    18. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2021. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," LIDAM Reprints LFIN 2021014, Université catholique de Louvain, Louvain Finance (LFIN).
    19. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    20. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
    21. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
    22. Hancock, G.D., 2005. "A text book treatment of calculating returns on non-traditional portfolios," Review of Financial Economics, Elsevier, vol. 14(2), pages 173-186.
    23. Daniel Kinn, 2018. "Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning," Papers 1804.01764, arXiv.org, revised Jul 2018.
    24. Hlouskova, Jaroslava & Lee, Gabriel S., 2001. "Legal Restrictions on Portfolio Holdings: Some Empirical Results," Economics Series 93, Institute for Advanced Studies.
    25. Freyaldenhoven, Simon, 2022. "Factor models with local factors — Determining the number of relevant factors," Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
    26. Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal Asset Allocation Based on Utility Maximization in the Presence of Market Frictions," Working Papers ubs0605, University of Brescia, Department of Economics.
    27. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
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    43. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
    44. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
    45. Bogdan Negrea, 2011. "How to Compute the Liquidity Cost in the Orders-Driven Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 007-019, June.
    46. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
    47. Rakowski, David & Wang Beardsley, Xiaoxin, 2008. "Decomposing liquidity along the limit order book," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1687-1698, August.
    48. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
    49. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society.
    50. Jiangze Bian & Kalok Chan & Donghui Shi & Hao Zhou, 2018. "Do Behavioral Biases Affect Order Aggressiveness?," Review of Finance, European Finance Association, vol. 22(3), pages 1121-1151.
    51. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
    52. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    53. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 627-640.
    54. Dan Ladley & Klaus Reiner Schenk-Hoppe, 2007. "Do Stylised Facts of Order Book Markets Need Strategic Behaviour?," Swiss Finance Institute Research Paper Series 07-20, Swiss Finance Institute.
    55. Alexis Stenfors & Masayuki Susai, 2017. "Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market," Working Papers in Economics & Finance 2017-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    56. Rama Cont & Sasha Stoikov & Rishi Talreja, 2010. "A Stochastic Model for Order Book Dynamics," Operations Research, INFORMS, vol. 58(3), pages 549-563, June.
    57. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
    58. Anh Tu Le & Thai-Ha Le & Wai-Man Liu & Kingsley Y. Fong, 2021. "Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model," Annals of Operations Research, Springer, vol. 297(1), pages 241-275, February.
    59. Mariani, Francesca & Recchioni, Maria Cristina & Ciommi, Mariateresa, 2019. "Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1178-1189.
    60. Sperl, Miriam, 2008. "Quantifying the efficiency of the Xetra LOB market: Detailed recipe," CFS Working Paper Series 2008/21, Center for Financial Studies (CFS).
    61. Alexis Stenfors & Masayuki Susai, 2021. "Stealth Trading in FX Markets," Working Papers in Economics & Finance 2021-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    62. Kyungsub Lee & Byoung Ki Seo, 2021. "Analytic formula for option margin with liquidity costs under dynamic delta hedging," Papers 2103.15302, arXiv.org.
    63. Verhoeven, Peter & Ching, Simon & Guan Ng, Hock, 2004. "Determinants of the decision to submit market or limit orders on the ASX," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 1-18, January.
    64. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2008. "Relation between bid-ask spread, impact and volatility in order-driven markets," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 41-57.
    65. Yue‐cheong Chan, 2005. "Price Movement Effects on the State of the Electronic Limit‐Order Book," The Financial Review, Eastern Finance Association, vol. 40(2), pages 195-221, May.
    66. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    67. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
    68. Lin, William T. & Tsai, Shih-Chuan & Chiu, Peter, 2016. "Do foreign institutions outperform in the Taiwan options market?," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 101-115.
    69. Naes, Randi & Skjeltorp, Johannes A., 2003. "Equity trading by institutional investors: Evidence on order submission strategies," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1779-1817, September.
    70. Barkley, Aaron & Groeger, Joachim R. & Miller, Robert A., 2021. "Bidding frictions in ascending auctions," Journal of Econometrics, Elsevier, vol. 223(2), pages 376-400.
    71. Yoshida, Yushi & Susai, Masayuki, 2016. "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper 70291, University Library of Munich, Germany.
    72. Beltran, Héléna & Grammig, Joachim & Menkveld, Albert J., 2005. "Understanding the limit order book: Conditioning on trade informativeness," CFR Working Papers 05-05, University of Cologne, Centre for Financial Research (CFR).
    73. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 113-140, June.
    74. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
    75. Coluzzi, Chiara & Ginebri, Sergio, 2008. "Order Dynamics in the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08050, University of Molise, Department of Economics.
    76. Petter Dahlström & Björn Hagströmer & Lars L. Nordén, 2024. "The determinants of limit order cancellations," The Financial Review, Eastern Finance Association, vol. 59(1), pages 181-201, February.
    77. Joachim R. Groeger, 2016. "The Informational Content of the Limit Order Book: An Empirical Study of Prediction Markets," Papers 1609.03471, arXiv.org.
    78. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
    79. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, vol. 66(C), pages 98-124.
    80. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
    81. Gava, Luana, 2005. "The speed of limit order execution in the Spanish stock exchange," DEE - Working Papers. Business Economics. WB wb057718, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    82. Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
    83. Khalil Dayri & Mathieu Rosenbaum, 2012. "Large tick assets: implicit spread and optimal tick size," Papers 1207.6325, arXiv.org, revised Jan 2013.
    84. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
    85. Bruce Lehmann, 2008. "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers 13848, National Bureau of Economic Research, Inc.
    86. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.

  13. Burton Hollifield & Alan Kraus, "undated". "Defining bad news: Changes in return distribution that decrease risky asset demand," GSIA Working Papers 2007-E32, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Gollier, C. & Kimball, M.S., 1996. "New Methods in the Classical Economics of Uncertainty: Comparing Risks," Papers 96.412, Toulouse - GREMAQ.
    2. Chuang, O-Chia & Kuan, Chung-Ming & Tzeng, Larry Y., 2017. "Testing for central dominance: Method and application," Journal of Econometrics, Elsevier, vol. 196(2), pages 368-378.

  14. Burton Hollifield & Robert Miller & Patrik Sandas & Joshua Slive, "undated". "Liquidity Supply and Demand: Empirical Evidence from the Vancouver Stock Exchange," GSIA Working Papers 1999-E19, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Bae, Kee-Hong & Jang, Hasung & Park, Kyung Suh, 2003. "Traders' choice between limit and market orders: evidence from NYSE stocks," Journal of Financial Markets, Elsevier, vol. 6(4), pages 517-538, August.
    2. Degryse, H.A. & de Jong, F.C.J.M. & van Ravenswaaij, M. & Wuyts, G., 2002. "Aggressive Orders and the Resiliency of a Limit Order Market," Discussion Paper 2002-80, Tilburg University, Center for Economic Research.
    3. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
    4. Verhoeven, Peter & Ching, Simon & Guan Ng, Hock, 2004. "Determinants of the decision to submit market or limit orders on the ASX," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 1-18, January.
    5. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.

  15. Richard C. Green & Burton Hollifield & Norman Schurhoff, "undated". "Financial Intermediation and the Costs of Trading in an Opaque Market," GSIA Working Papers 2004-11, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Osler, Carol & Savaser, Tanseli, 2022. "Shrouding and the FX trades of global custody bank," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Song Han & Dan Li, 2011. "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers 052011, Hong Kong Institute for Monetary Research.
    3. Andra C. Ghent, 2019. "What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration," NBER Working Papers 25966, National Bureau of Economic Research, Inc.
    4. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
    5. Ji Shen & Bin Wei & Hongjun Yan, 2018. "Financial Intermediation Chains in an OTC Market," FRB Atlanta Working Paper 2018-15, Federal Reserve Bank of Atlanta.
    6. Daniel Garrett & Ivan T. Ivanov, 2023. "Gas Guns and Governments: Financial Costs of Anti-ESG Policies," Working Paper Series WP 2023-07, Federal Reserve Bank of Chicago.
    7. Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A framework for debt-maturity management," Working Papers 1919, Banco de España.
    8. Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2015. "Competing for Order Flow in OTC Markets," Post-Print hal-04149211, HAL.
    9. Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
    10. Lifang Li & Valentina Galvani, 2021. "Informed Trading and Momentum in the Corporate Bond Market [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 25(6), pages 1773-1816.
    11. Richard Green & Burton Hollifield & Norman Schurhoff, "undated". "Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues," GSIA Working Papers 2005-E56, Carnegie Mellon University, Tepper School of Business.
    12. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank.
    13. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    14. Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2009. "The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation," Research Papers 2023, Stanford University, Graduate School of Business.
    15. Lang (Kate) Yang & Yulianti Abbas, 2020. "General‐Purpose Local Government Defaults: Type, Trend, and Impact," Public Budgeting & Finance, Wiley Blackwell, vol. 40(4), pages 62-85, December.
    16. Nicholas Wilson, 2011. "Fertility Responses to Prevention of Mother-to-Child Transmission of HIV," Center for Development Economics 2011-08, Department of Economics, Williams College, revised Sep 2011.
    17. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2019. "Asset Issuance in Over-the-Counter Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 4-29, July.
    18. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2019. "An Information-based Theory of Financial Intermediation," 2019 Meeting Papers 403, Society for Economic Dynamics.
    19. Emil Siriwardane & Bernard Herskovic & Andrea Eisfeldt, 2016. "Risk Reallocation in OTC Derivatives Networks," 2016 Meeting Papers 538, Society for Economic Dynamics.
    20. Farrell, Michael & Murphy, Dermot & Painter, Marcus & Zhang, Guangli, 2023. "The complexity yield puzzle: A textual analysis of municipal bond disclosures," Working Papers 338, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    21. Schürhoff, Norman & Li, Dan, 2014. "Dealer Networks," CEPR Discussion Papers 10237, C.E.P.R. Discussion Papers.
    22. Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020. "Relationship Trading in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, vol. 75(2), pages 683-734, April.
    23. Bruno Biais & Richard Green, 2019. "The Microstructure of the Bond Market in the 20th Century," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 250-271, July.
    24. Albert Lee Chun & Ethan Namvar & Xiaoxia Ye & Fan Yu, 2019. "Modeling Municipal Yields With (and Without) Bond Insurance," Management Science, INFORMS, vol. 65(8), pages 3694-3713, August.
    25. Ji Shen & Bin Wei & Hongjun Yan, 2021. "Financial Intermediation Chains in an Over-the-Counter Market," Management Science, INFORMS, vol. 67(7), pages 4623-4642, July.
    26. Markus Herrmann & Martin Hibbeln, 2023. "Trading and liquidity in the catastrophe bond market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 283-328, June.
    27. Carol Osler & Geir Bjonnes & Neophytos Kathitziotis, 2016. "Bid-Ask Spreads in OTC Markets," Working Papers 102, Brandeis University, Department of Economics and International Business School.
    28. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2016. "Private Information in Over-the-Counter Markets," Working Paper 16-16, Federal Reserve Bank of Richmond.
    29. Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Information chasing versus adverse selection," Bank of England working papers 971, Bank of England.
    30. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
    31. Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    32. Gao, Pengjie & Lee, Chang & Murphy, Dermot, 2020. "Financing dies in darkness? The impact of newspaper closures on public finance," Journal of Financial Economics, Elsevier, vol. 135(2), pages 445-467.
    33. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Occasional Papers 0501, Banco de España.
    34. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    35. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    36. Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006. "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, vol. 82(2), pages 251-288, November.
    37. John M. Griffin & Nicholas Hirschey & Samuel Kruger, 2023. "Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?," Journal of Finance, American Finance Association, vol. 78(2), pages 887-934, April.
    38. Han, Song & Huang, Alan Guoming & Kalimipalli, Madhu & Wang, Ke, 2022. "Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds," Journal of Financial Markets, Elsevier, vol. 59(PB).
    39. Glode, Vincent & Opp, Christian C. & Sverchkov, Ruslan, 2022. "To pool or not to pool? Security design in OTC markets," Journal of Financial Economics, Elsevier, vol. 145(2), pages 508-526.
    40. Carol Osler & Tanseli Savaser & Thang Tan Nguyen, 2012. "Asymetric Information and the Foreign-Exchange Trades of Global Custody Banks," Working Papers 55, Brandeis University, Department of Economics and International Business School.
    41. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    42. Natasha Khan, 2007. "Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds," Staff Working Papers 07-5, Bank of Canada.
    43. Chalmers, John & Liu, Yu (Steve) & Wang, Z. Jay, 2021. "The difference a day makes: Timely disclosure and trading efficiency in the muni market," Journal of Financial Economics, Elsevier, vol. 139(1), pages 313-335.
    44. Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012. "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 50-78.
    45. Carol Osler, 2012. "Market Microstructure and the Profitability of Currency Trading," Working Papers 48, Brandeis University, Department of Economics and International Business School.
    46. Larcker, David F. & Watts, Edward M., 2020. "Where's the greenium?," Journal of Accounting and Economics, Elsevier, vol. 69(2).
    47. Reitz, Stefan & Slopek, Ulf D., 2012. "Fixing the Phillips curve: The case of downward nominal wage rigidity in the US," Kiel Working Papers 1795, Kiel Institute for the World Economy (IfW Kiel).
    48. Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020. "True Cost of Immediacy," Swiss Finance Institute Research Paper Series 20-71, Swiss Finance Institute.
    49. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
    50. Saki Bigio & Galo Nuño & Juan Passadore, 2023. "Debt-Maturity Management with Liquidity Costs," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 119-190.
    51. Cornaggia, Kimberly & Hund, John & Nguyen, Giang, 2022. "Investor attention and municipal bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
    52. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
    53. Biais, Bruno & Declerck, Fany, 2007. "Liquidity, Competition & Price Discovery in the European Corporate Bond Market," IDEI Working Papers 475, Institut d'Économie Industrielle (IDEI), Toulouse.
    54. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
    55. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    56. Brown, Craig O., 2017. "The politics of government financial management: Evidence from state bonds," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 158-175.
    57. deHaan, Ed & Li, Jiacui & Watts, Edward M., 2023. "Retail bond investors and credit ratings," Journal of Accounting and Economics, Elsevier, vol. 76(1).
    58. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008. "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series 2008/47, Center for Financial Studies (CFS).
    59. Stephanie F. Cheng, 2021. "The Information Externality of Public Firms’ Financial Information in the State‐Bond Secondary Market," Journal of Accounting Research, Wiley Blackwell, vol. 59(2), pages 529-574, May.
    60. Emil Siriwardane, 2014. "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," Working Papers 14-10, Office of Financial Research, US Department of the Treasury, revised 12 Feb 2015.
    61. Richter, Sylvia & Heyde, Frank & Horsch, Andreas & Wünsche, Andreas, 2021. "Determinants of project bond prices – Insights into infrastructure and energy capital markets," Energy Economics, Elsevier, vol. 97(C).
    62. Zhuo Zhong & Kei Kawakami, 2016. "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers 822, Society for Economic Dynamics.
    63. Batten, Jonathan A. & Lončarski, Igor & Szilagyi, Peter G., 2021. "Strategic insider trading in foreign exchange markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
    64. Antonio Díaz, 2009. "Retail Investors and the Trading of Treasury Securities," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 45-63, August.
    65. Cashman, George D., 2010. "Pay-performance sensitivity and firm size: Insights from the mutual fund industry," Journal of Corporate Finance, Elsevier, vol. 16(4), pages 400-412, September.
    66. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
    67. Lang (Kate) Yang, 2022. "Fiscal transparency or fiscal illusion? Housing and credit market responses to fiscal monitoring," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 29(1), pages 1-29, February.
    68. Lu, Dong & Zhan, Yaosong, 2022. "Over-the-counter versus double auction in asset markets with near-zero-intelligence traders," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    69. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
    70. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    71. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
    72. Dunne, Peter G & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.
    73. Christine Cuny & Omri Even‐Tov & Edward M. Watts, 2021. "From Implicit to Explicit: The Impact of Disclosure Requirements on Hidden Transaction Costs," Journal of Accounting Research, Wiley Blackwell, vol. 59(1), pages 215-242, March.
    74. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    75. John Bagley & Nicholas Fritsch & Shawn Nee, 2021. "Municipal Markets and the Municipal Liquidity Facility," Working Papers 21-07, Federal Reserve Bank of Cleveland.

  16. Michael Gallmeyer & Burton Hollifield & Duane Seppi, "undated". "Liquidity Discovery and Asset Pricing," GSIA Working Papers 2004-10, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. von Thadden, Ernst-Ludwig & Pagano, Marco & Favero, Carlo A., 2008. "How Does Liquidity Affect Government Bond Yields?," CEPR Discussion Papers 6649, C.E.P.R. Discussion Papers.
    2. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, University Library of Munich, Germany.
    4. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.

  17. A Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, "undated". "Financial leverage and the leverage effect: A market and firm analysis," GSIA Working Papers 2007-E31, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.

  18. Michael Gallmeyer & Burton Hollifield, "undated". "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers 2002-E2, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    2. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    3. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
    4. Elyès Jouini & Clotilde Napp, 2008. "Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model," Post-Print halshs-00176630, HAL.
    5. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
    6. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
    7. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
    8. Elyès Jouini & Clotilde Napp, 2004. "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print halshs-00176465, HAL.
    9. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    10. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
    11. Anna Pavlova & Roberto Rigobon, 2005. "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers 11440, National Bureau of Economic Research, Inc.
    12. Uppal, Raman & Bhamra, Harjoat Singh, 2006. "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers 5726, C.E.P.R. Discussion Papers.
    13. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.

  19. Richard Green & Burton Hollifield & Norman Schurhoff, "undated". "Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues," GSIA Working Papers 2005-E56, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Babus, Ana & Kondor, Peter, 2018. "Trading and information diffusion in over-the-counter markets," LSE Research Online Documents on Economics 118939, London School of Economics and Political Science, LSE Library.
    2. Song Han & Dan Li, 2011. "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers 052011, Hong Kong Institute for Monetary Research.
    3. Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017. "Discriminatory Pricing of Over-the-Counter Derivatives," Swiss Finance Institute Research Paper Series 17-70, Swiss Finance Institute.
    4. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 101(3), pages 596-620, September.
    5. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
    6. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.
    7. Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
    8. Ronen, Tavy & Zhou, Xing, 2013. "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 61-103.
    9. Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2015. "Competing for Order Flow in OTC Markets," Post-Print hal-04149211, HAL.
    10. Hörner, Johannes & Lovo, Stefano & Tomala, Tristan, 2018. "Belief-free price formation," Journal of Financial Economics, Elsevier, vol. 127(2), pages 342-365.
    11. Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2021. "Zero‐intelligence versus human agents: An experimental analysis of the efficiency of Double Auctions and Over‐the‐Counter markets of varying sizes," Post-Print hal-03520323, HAL.
    12. Bruce I. Carlin & Simon Gervais, 2009. "Legal Protection in Retail Financial Markets," NBER Working Papers 14972, National Bureau of Economic Research, Inc.
    13. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
    14. Daniel Garrett & Andrey Ordin & James W Roberts & Juan Carlos Suárez Serrato, 2023. "Tax Advantages and Imperfect Competition in Auctions for Municipal Bonds," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(2), pages 815-851.
    15. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2019. "Asset Issuance in Over-the-Counter Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 4-29, July.
    16. Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity in frictional asset markets," Working Papers (Old Series) 1105, Federal Reserve Bank of Cleveland.
    17. Bruno Biais & Richard Green, 2019. "The Microstructure of the Bond Market in the 20th Century," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 250-271, July.
    18. O’ Hara, Maureen & Wang, Yihui & (Alex) Zhou, Xing, 2018. "The execution quality of corporate bonds," Journal of Financial Economics, Elsevier, vol. 130(2), pages 308-326.
    19. Kamate, Vidya & Kumar, Abhishek, 2024. "Dealer networks, client sophistication and pricing in OTC derivatives," Journal of International Money and Finance, Elsevier, vol. 140(C).
    20. Schultz, Paul, 2012. "The market for new issues of municipal bonds: The roles of transparency and limited access to retail investors," Journal of Financial Economics, Elsevier, vol. 106(3), pages 492-512.
    21. Kondor, Péter & Babus, Ana, 2013. "Trading and information diffusion in OTC markets," CEPR Discussion Papers 9271, C.E.P.R. Discussion Papers.
    22. Yulianti Abbas, 2022. "Financial statement timeliness and bond‐price dispersion in the municipal market," Public Budgeting & Finance, Wiley Blackwell, vol. 42(1), pages 66-97, March.
    23. Julien Hugonnier & Benjamin R. Lester & Pierre-Olivier Weill, 2018. "Frictional Intermediation in Over-the-Counter Markets," Swiss Finance Institute Research Paper Series 18-59, Swiss Finance Institute.
    24. Olga S. Belomyttseva & Larisa S. Grinkevich & Anastasiia M. Grinkevich & Samo Bobek & Polona Tominc, 2018. "Tax incentives for bond-oriented individual investors: evidence from the Russian Federation," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 4(2), pages 108-124.
    25. Ge, Yao & Liu, Yangshu & Qiao, Zheng & Shen, Zhe, 2020. "State ownership and the cost of debt: Evidence from corporate bond issuances in China," Research in International Business and Finance, Elsevier, vol. 52(C).
    26. Liu, Hong & Wang, Yajun, 2016. "Market making with asymmetric information and inventory risk," Journal of Economic Theory, Elsevier, vol. 163(C), pages 73-109.
    27. John M. Griffin & Nicholas Hirschey & Samuel Kruger, 2023. "Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?," Journal of Finance, American Finance Association, vol. 78(2), pages 887-934, April.
    28. Han, Song & Huang, Alan Guoming & Kalimipalli, Madhu & Wang, Ke, 2022. "Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds," Journal of Financial Markets, Elsevier, vol. 59(PB).
    29. Darío Cestau, 2018. "The political affiliation effect on state credit risk," Public Choice, Springer, vol. 175(1), pages 135-154, April.
    30. Tima T. Moldogaziev & Cheol Liu & Martin J. Luby, 2017. "Public Corruption in the U.S. States and Its Impact on Public Debt Pricing," Kyklos, Wiley Blackwell, vol. 70(2), pages 306-329, May.
    31. Kakhbod, Ali & Song, Fei, 2020. "Dynamic price discovery: Transparency vs. information design," Games and Economic Behavior, Elsevier, vol. 122(C), pages 203-232.
    32. Evgeny Danilov, 2023. "Impact of Market Changes and Regulatory Measures on Accuracy of Bond Valuation in Portfolios of Russian Credit Institutions," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 108-125, December.
    33. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2014. "To disclose or not to disclose: Transparency and liquidity in the structured product market," CFS Working Paper Series 461, Center for Financial Studies (CFS).
    34. Carolyn Sissoko, 2017. "The Plight of Modern Markets: How Universal Banking Undermines Capital Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(1), pages 53-104, February.
    35. Chalmers, John & Liu, Yu (Steve) & Wang, Z. Jay, 2021. "The difference a day makes: Timely disclosure and trading efficiency in the muni market," Journal of Financial Economics, Elsevier, vol. 139(1), pages 313-335.
    36. Cestau, Dario & Green, Richard C. & Schürhoff, Norman, 2013. "Tax-subsidized underpricing: The market for Build America Bonds," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 593-608.
    37. Larcker, David F. & Watts, Edward M., 2020. "Where's the greenium?," Journal of Accounting and Economics, Elsevier, vol. 69(2).
    38. Zhang, Shengxing, 2018. "Liquidity misallocation in an over-the-counter market," LSE Research Online Documents on Economics 86800, London School of Economics and Political Science, LSE Library.
    39. Florian Nagler & Giorgio Ottonello, 2022. "Inventory-Constrained Underwriters and Corporate Bond Offerings [Signalling by underpricing in the IPO market]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 639-666.
    40. Liu, Clark & Wang, Shujing & Wei, K.C. John & Zhong, Ninghua, 2019. "The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 57-77.
    41. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
    42. Cuny, Christine, 2018. "When knowledge is power: Evidence from the municipal bond market," Journal of Accounting and Economics, Elsevier, vol. 65(1), pages 109-128.
    43. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
    44. Carlin, Bruce I., 2009. "Strategic price complexity in retail financial markets," Journal of Financial Economics, Elsevier, vol. 91(3), pages 278-287, March.
    45. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    46. Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
    47. Brown, Craig O., 2017. "The politics of government financial management: Evidence from state bonds," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 158-175.
    48. deHaan, Ed & Li, Jiacui & Watts, Edward M., 2023. "Retail bond investors and credit ratings," Journal of Accounting and Economics, Elsevier, vol. 76(1).
    49. Matthew L. Kozora & Bruce Mizrach & Matthew Peppe & Or Shachar & Jonathan S. Sokobin, 2020. "Alternative Trading Systems in the Corporate Bond Market," Staff Reports 938, Federal Reserve Bank of New York.
    50. Nikolova, Stanislava & Wang, Liying & Wu, Juan (Julie), 2020. "Institutional allocations in the primary market for corporate bonds," Journal of Financial Economics, Elsevier, vol. 137(2), pages 470-490.
    51. Alexander Eisl & Rainer Jankowitsch & Marti G. Subrahmanyam, 2017. "The Manipulation Potential of Libor and Euribor," European Financial Management, European Financial Management Association, vol. 23(4), pages 604-647, September.
    52. Richter, Sylvia & Heyde, Frank & Horsch, Andreas & Wünsche, Andreas, 2021. "Determinants of project bond prices – Insights into infrastructure and energy capital markets," Energy Economics, Elsevier, vol. 97(C).
    53. Di Maggio, Marco & Kermani, Amir & Song, Zhaogang, 2017. "The value of trading relations in turbulent times," Journal of Financial Economics, Elsevier, vol. 124(2), pages 266-284.
    54. Jean-Sébastien Fontaine & Adrian Walton, 2020. "Contagion in Dealer Networks," Staff Working Papers 20-1, Bank of Canada.
    55. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
    56. Bessembinder, Hendrik & Jacobsen, Stacey & Maxwell, William & Venkataraman, Kumar, 2022. "Overallocation and secondary market outcomes in corporate bond offerings," Journal of Financial Economics, Elsevier, vol. 146(2), pages 444-474.
    57. Tarun Ramadorai, 2008. "What determines transaction costs in foreign exchange markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 14-25.

Articles

  1. Burton Hollifield & Alan Kraus, 2009. "Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand," Management Science, INFORMS, vol. 55(7), pages 1227-1236, July.
    See citations under working paper version above.
  2. Michael Gallmeyer & Burton Hollifield, 2008. "An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy," Review of Finance, European Finance Association, vol. 12(2), pages 323-364.

    Cited by:

    1. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
    2. Jarrow, Robert & Lamichhane, Sujan, 2022. "Risk premia, asset price bubbles, and monetary policy," Journal of Financial Stability, Elsevier, vol. 60(C).
    3. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
    4. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    5. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    6. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
    7. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
    8. Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
    9. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    10. Hirota, Shinichi, 2023. "Money supply, opinion dispersion, and stock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1286-1310.
    11. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    12. Anufriev, M. & Tuinstra, J., 2013. "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," CeNDEF Working Papers 13-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    13. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
    14. Stavros Panageas, 2007. "Optimal Retirement Benefit Guarantees," 2007 Meeting Papers 172, Society for Economic Dynamics.
    15. Wang, Lanfang & Wang, Susheng, 2021. "Unusual investor behavior under tacit and endogenous market signals," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 76-97.
    16. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
    17. Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
    18. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(2), pages 283-314, June.
    19. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
    20. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
    21. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
    22. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    23. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
    24. Motolese, Maurizio & Nakata, Hiroyuki, 2024. "Are macroeconomic indices fool's gold?," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 240-260.
    25. Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016. "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 227-239.
    26. Kristoffer Nimark, 2012. "Speculative Dynamics in the Term Structure of Interest Rates," Working Papers 430, Barcelona School of Economics.
    27. Lim, Bryan Y., 2011. "Short-sale constraints and price bubbles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2443-2453, September.
    28. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    29. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    30. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
    31. Boehmer, Ekkehart & Huszar, Zsuzsa R. & Jordan, Bradford D., 2010. "The good news in short interest," Journal of Financial Economics, Elsevier, vol. 96(1), pages 80-97, April.
    32. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    33. Du, Ke & Fu, Yishu & Qin, Zhenjiang & Zhang, Shuoxun, 2020. "Regime shift, speculation, and stock price," Research in International Business and Finance, Elsevier, vol. 52(C).
    34. Ki Beom Binh & Hogyu Jhang, 2015. "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 335-352, November.
    35. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    36. Stephen L. Lenkey, 2021. "Informed Trading with a Short-Sale Prohibition," Management Science, INFORMS, vol. 67(3), pages 1803-1824, March.
    37. Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.
    38. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
    39. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    40. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    41. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    42. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
    43. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    44. Fellner, Gerlinde & Theissen, Erik, 2014. "Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 113-127.
    45. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    46. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
    47. Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).
    48. Min Shen & Gabriel Turinici, 2012. "Liquidity generated by heterogeneous beliefs and costly estimations," Post-Print hal-00638966, HAL.

  3. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
    See citations under working paper version above.
  4. Green, Richard C. & Hollifield, Burton & Schurhoff, Norman, 2007. "Dealer intermediation and price behavior in the aftermarket for new bond issues," Journal of Financial Economics, Elsevier, vol. 86(3), pages 643-682, December.
    See citations under working paper version above.
  5. Burton Hollifield & Robert A. Miller & Patrik Sandås & Joshua Slive, 2006. "Estimating the Gains from Trade in Limit‐Order Markets," Journal of Finance, American Finance Association, vol. 61(6), pages 2753-2804, December.
    See citations under working paper version above.
  6. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
    See citations under working paper version above.
  7. Burton Hollifield & Robert A. Miller & Patrik Sandås, 2004. "Empirical Analysis of Limit Order Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 1027-1063.
    See citations under working paper version above.
  8. Hollifield, Burton & Koop, Gary & Li, Kai, 2003. "A Bayesian analysis of a variance decomposition for stock returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 583-601, December.

    Cited by:

    1. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    2. Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    3. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    4. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    5. Zhang, Tongbin, 2014. "Stock Price, Real Riskless Interest Rate and Learning," MPRA Paper 57090, University Library of Munich, Germany.
    6. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
    7. Yi-Mien Lin & Yun-Sheng Hsu & Shieh-Liang Chen, 2009. "Cash-flow news, market liquidity and liquidity risk," Applied Economics, Taylor & Francis Journals, vol. 41(9), pages 1137-1156.

  9. Green, Richard C. & Hollifield, Burton, 2003. "The personal-tax advantages of equity," Journal of Financial Economics, Elsevier, vol. 67(2), pages 175-216, February.
    See citations under working paper version above.
  10. Hollifield, Burton, 2002. "Comment on: : Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 27-30, January.

    Cited by:

    1. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
    2. Chow, William W. & Fung, Michael K., 2008. "Volatility of stock price as predicted by patent data: An MGARCH perspective," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 64-79, January.
    3. Michael K. Fung, 2009. "Is Innovativeness a Link between Pay and Performance?," Financial Management, Financial Management Association International, vol. 38(2), pages 411-429, June.
    4. Amir Rubin & Daniel Smith, 2010. "Comparing Different Explanations of the Volatility Trend," NCER Working Paper Series 68, National Centre for Econometric Research.

  11. Giammarino, Ronald & Heinkel, Robert & Hollifield, Burton, 1997. "Defensive Mechanisms and Managerial Discretion," Journal of Finance, American Finance Association, vol. 52(4), pages 1467-1493, September.

    Cited by:

    1. Walter Novaes, 2002. "Managerial Turnover and Leverage under a Takeover Threat," Journal of Finance, American Finance Association, vol. 57(6), pages 2619-2650, December.
    2. Gérard Charreaux, 2000. "L'approche économico-financière de l'investissement: une vision critique," Working Papers CREGO 1000501, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    3. Pearce II, John A. & Robinson, Richard Jr., 2004. "Hostile takeover defenses that maximize shareholder wealth," Business Horizons, Elsevier, vol. 47(5), pages 15-24.
    4. Chemla, Gilles, 2005. "Hold-up, stakeholders and takeover threats," Journal of Financial Intermediation, Elsevier, vol. 14(3), pages 376-397, July.
    5. Portolano, Alessandro, 2000. "The decision to adopt defensive tactics in Italy," International Review of Law and Economics, Elsevier, vol. 20(4), pages 425-452, December.

  12. Hollifield, Burton & Uppal, Raman, 1997. "An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets," Journal of Finance, American Finance Association, vol. 52(5), pages 2145-2170, December.

    Cited by:

    1. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    2. Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
    3. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
    4. Raj Aggarwal & Sijing Zong, 2008. "Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and Under-Reaction," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 241-277, September.
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  14. Giammarino, Ronald & Heinkel, Robert & Hollifield, Burton, 1994. "Corporate Financing Decisions and Anonymous Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 351-377, September.

    Cited by:

    1. Ang, James S. & Brau, James C., 2003. "Concealing and confounding adverse signals: insider wealth-maximizing behavior in the IPO process," Journal of Financial Economics, Elsevier, vol. 67(1), pages 149-172, January.
    2. Francesca Cornelli & David D. Li, "undated". "Risk Arbitrage in Takeovers," Rodney L. White Center for Financial Research Working Papers 17-98, Wharton School Rodney L. White Center for Financial Research.
    3. Cornelli, Francesca & Li, David Daokui, 1998. "Risk Arbitrage in Takeovers," CEPR Discussion Papers 2026, C.E.P.R. Discussion Papers.
    4. Kenneth A. Carow & Steven R. Cox & Dianne M. Roden, 2007. "The Role of Insider Influence in Mutual‐to‐Stock Conversions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1285-1304, September.
    5. Esther B. Del Brio & Javier Perote & Julio Pindado, 2003. "Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 715-747, June.

  15. Green, Richard C & Hollifield, Burton, 1992. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-1809, December.
    See citations under working paper version above.
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