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Stock price fragility

Citations

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Cited by:

  1. Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024. "The Booms and Busts of Beta Arbitrage," Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
  2. Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie, 2016. "European bond markets: Do illiquidity and concentration aggravate price shocks?," Economics Letters, Elsevier, vol. 141(C), pages 143-146.
  3. Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi & John Sedunov, 2021. "The Granular Nature of Large Institutional Investors," Management Science, INFORMS, vol. 67(11), pages 6629-6659, November.
  4. Fricke, Christoph & Fricke, Daniel, 2021. "Vulnerable asset management? The case of mutual funds," Journal of Financial Stability, Elsevier, vol. 52(C).
  5. Beber, Alessandro & Brandt, Michael, 2014. "Switching Risk Off: FX Correlations and Risk Premia," CEPR Discussion Papers 10214, C.E.P.R. Discussion Papers.
  6. Miguel Antón & Christopher Polk, 2014. "Connected Stocks," Journal of Finance, American Finance Association, vol. 69(3), pages 1099-1127, June.
  7. Kenechukwu E. Anadu & Mathias S. Kruttli & Patrick E. McCabe & Emilio Osambela, 2018. "The Shift from Active to Passive Investing : Potential Risks to Financial Stability?," Finance and Economics Discussion Series 2018-060r1, Board of Governors of the Federal Reserve System (U.S.), revised 29 Jun 2020.
  8. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
  9. Dong Lou & Christopher Polk, 2022. "Comomentum: Inferring Arbitrage Activity from Return Correlations," The Review of Financial Studies, Society for Financial Studies, vol. 35(7), pages 3272-3302.
  10. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "An unintended consequence of holding dollar assets," Bank of England working papers 953, Bank of England.
  11. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series 2017-121, Board of Governors of the Federal Reserve System (U.S.).
  12. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
  13. Wang, Hu, 2024. "ESG investment preference and fund vulnerability," International Review of Financial Analysis, Elsevier, vol. 91(C).
  14. Kim, Donghyun & Li, Chengcheng & Wang, Xiaoqiong, 2023. "Liquidity Dry-ups in equity markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  15. Nanda, Vikram & Wu, Wei & Zhou, Xing (Alex), 2019. "Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(6), pages 2543-2574, December.
  16. Malamud, Semyon, 2016. "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers 11469, C.E.P.R. Discussion Papers.
  17. Smales, L.A., 2019. "Bitcoin as a safe haven: Is it even worth considering?," Finance Research Letters, Elsevier, vol. 30(C), pages 385-393.
  18. Aragon, George O. & Kim, Min S., 2023. "Fire sale risk and expected stock returns," Journal of Financial Economics, Elsevier, vol. 149(3), pages 578-609.
  19. Greenwood, Robin & Landier, Augustin & Thesmar, David, 2015. "Vulnerable banks," Journal of Financial Economics, Elsevier, vol. 115(3), pages 471-485.
  20. Daniel Fricke, 2019. "Are specialist funds “special”?," Financial Management, Financial Management Association International, vol. 48(2), pages 441-472, June.
  21. Bian, Jiangze & Da, Zhi & He, Zhiguo & Lou, Dong & Shue, Kelly & Zhou, Hao, 2024. "The drivers and implications of retail margin trading," LSE Research Online Documents on Economics 126110, London School of Economics and Political Science, LSE Library.
  22. Johan Sulaeman & Kelsey D. Wei, 2019. "Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure," Management Science, INFORMS, vol. 65(11), pages 5427-5448, November.
  23. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
  24. Blocher, Jesse, 2016. "Network externalities in mutual funds," Journal of Financial Markets, Elsevier, vol. 30(C), pages 1-26.
  25. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
  26. Jordan Brooks & Michael Katz & Hanno Lustig, 2018. "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers 25127, National Bureau of Economic Research, Inc.
  27. Hvidkjær, Søren & Massa, Massimo & Rzeźnik, Aleksandra, 2023. "Co-illiquidity management," Journal of Empirical Finance, Elsevier, vol. 74(C).
  28. Doina C. Chichernea & Alex Petkevich & Blerina Bela Zykaj, 2015. "Idiosyncratic Volatility, Institutional Ownership, and Investment Horizon," European Financial Management, European Financial Management Association, vol. 21(4), pages 613-645, September.
  29. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2014. "Do Hedge Funds Reduce Idiosyncratic Risk?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(4), pages 843-877, August.
  30. Wu, Ying, 2019. "Asset pricing with extreme liquidity risk," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 143-165.
  31. Söhnke M. Bartram & John M. Griffin & Tae-Hoon Lim & David T. Ng, 2015. "How Important Are Foreign Ownership Linkages for International Stock Returns?," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3036-3072.
  32. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  33. Bing Zhu & Stanimira Milcheva, 2020. "The Pricing of Spatial Linkages in Companies’ Underlying Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 443-475, October.
  34. Andrei Shleifer & Robert Vishny, 2011. "Fire Sales in Finance and Macroeconomics," Journal of Economic Perspectives, American Economic Association, vol. 25(1), pages 29-48, Winter.
  35. Robert Garrison & Pankaj K. Jain & Mark Paddrik, 2024. "Cross‐Asset Tandem Trading and Extraordinary Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1508-1542, September.
  36. Ni, Xiaoran & Peng, Qiyuan & Yin, Sirui & Zhang, Ting, 2020. "Attention! Distracted institutional investors and stock price crash," Journal of Corporate Finance, Elsevier, vol. 64(C).
  37. Steven Chong Xiao, 2020. "Do Noisy Stock Prices Impede Real Efficiency?," Management Science, INFORMS, vol. 66(12), pages 5990-6014, December.
  38. Okorie, David Iheke & Bouri, Elie & Mazur, Mieszko, 2024. "NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 126-151.
  39. Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020. "Debt De-risking," BIS Working Papers 868, Bank for International Settlements.
  40. Stefan Gissler, 2015. "A margin call gone wrong: Credit, stock prices, and Germany's Black Friday 1927," Finance and Economics Discussion Series 2015-54, Board of Governors of the Federal Reserve System (U.S.).
  41. Cox, Raymond A.K. & Dayanandan, Ajit & Donker, Han, 2016. "The Ricochet Effect of Bad News," The International Journal of Accounting, Elsevier, vol. 51(3), pages 385-401.
  42. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  43. Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Post-Print hal-01705092, HAL.
  44. Kalle Rinne & Matti Suominen, 2014. "Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy," LSF Research Working Paper Series 14-01, Luxembourg School of Finance, University of Luxembourg.
  45. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
  46. Agarwal, Vikas & Hanouna, Paul & Moussawi, Rabih & Stahel, Christof W., 2021. "Do ETFs increase the commonality in liquidity of underlying stocks?," CFR Working Papers 21-04, University of Cologne, Centre for Financial Research (CFR).
  47. Chernenko, Sergey & Sunderam, Adi, 2020. "Do fire sales create externalities?," Journal of Financial Economics, Elsevier, vol. 135(3), pages 602-628.
  48. Huang, Jing-Zhi & Wang, Yan & Wang, Ying, 2024. "Does ownership concentration affect corporate bond volatility? Evidence from bond mutual funds," Journal of Banking & Finance, Elsevier, vol. 165(C).
  49. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
  50. Andrea Barbon & Angelo Ranaldo, 2023. "NFT Bubbles," Papers 2303.06051, arXiv.org.
  51. Lin, Li & Guo, Xin-Yu, 2019. "Identifying fragility for the stock market: Perspective from the portfolio overlaps network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 132-151.
  52. Sergey Chernenko & Adi Sunderam, 2018. "Do Fire Sales Create Externalities?," NBER Working Papers 25104, National Bureau of Economic Research, Inc.
  53. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
  54. Hu, Conghui & Liu, Yu-Jane & Zhu, Ning, 2019. "De-Leverage and illiquidity contagion," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 1-18.
  55. Wang, Hu & Shen, Hong & Li, Shouwei, 2023. "ESG performance and stock price fragility," Finance Research Letters, Elsevier, vol. 56(C).
  56. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Unconventional monetary policy and financialization of commodities," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  57. Zhou, Tong, 2021. "Ambiguity, asset illiquidity, and price variability," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 280-292.
  58. Cook, Douglas O. & Luo, Shikong (Scott), 2023. "Fund flow-induced volatility and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 146(C).
  59. Kim, Daehwan & Iwasawa, Seiichiro, 2017. "Hot money and cross-section of stock returns during the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 8-22.
  60. Nan Qin & Vijay Singal, 2015. "Indexing and Stock Price Efficiency," Financial Management, Financial Management Association International, vol. 44(4), pages 875-904, October.
  61. Antonio Falato & Ali Hortaçsu & Dan Li & Chaehee Shin, 2021. "Fire‐Sale Spillovers in Debt Markets," Journal of Finance, American Finance Association, vol. 76(6), pages 3055-3102, December.
  62. Li, Jie & Ren, Da & Feng, Xu & Zhang, Yongjie, 2016. "Network of listed companies based on common shareholders and the prediction of market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 508-521.
  63. Choi, Jaewon & Hoseinzade, Saeid & Shin, Sean Seunghun & Tehranian, Hassan, 2020. "Corporate bond mutual funds and asset fire sales," Journal of Financial Economics, Elsevier, vol. 138(2), pages 432-457.
  64. Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017. "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 45-63.
  65. Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
  66. Galvani, Valentina, 2022. "Country-Based Investing with Exchange Rate and Reserve Currency," Working Papers 2022-5, University of Alberta, Department of Economics.
  67. David C. Ling & Chongyu Wang & Tingyu Zhou, 2023. "How do institutional investors react to local shocks during a crisis? A test using the COVID‐19 pandemic," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1246-1284, September.
  68. Berger, Dave & Pukthuanthong, Kuntara, 2012. "Market fragility and international market crashes," Journal of Financial Economics, Elsevier, vol. 105(3), pages 565-580.
  69. Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable Funds?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168209, Verein für Socialpolitik / German Economic Association.
  70. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
  71. Itzhak Ben‐David & Francesco Franzoni & Rabih Moussawi, 2018. "Do ETFs Increase Volatility?," Journal of Finance, American Finance Association, vol. 73(6), pages 2471-2535, December.
  72. Zhi Da & Sophie Shive, 2018. "Exchange traded funds and asset return correlations," European Financial Management, European Financial Management Association, vol. 24(1), pages 136-168, January.
  73. Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  74. Lakshithe Wagalath, 2014. "Modelling the rebalancing slippage of leveraged exchange-traded funds," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1503-1511, September.
  75. Kondor, Péter & Sadka, Ronnie & Kang, Namho, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers 8307, C.E.P.R. Discussion Papers.
  76. Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano & Wagner, Alexander F., 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
  77. George M. Korniotis & Alok Kumar & Jeremy K. Page, 2020. "Investor sophistication and asset prices," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 557-579, October.
  78. Lakshithe Wagalath, 2013. "Modeling the rebalancing slippage of Leveraged Exchange-Traded Funds," Working Papers 2013-FIN-02, IESEG School of Management.
  79. Mariassunta Giannetti & Chotibhak Jotikasthira, 2024. "Bond Price Fragility and the Structure of the Mutual Fund Industry," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2063-2109.
  80. Augustin Landier & David Thesmar, 2011. "Regulating Systemic Risk through Transparency: Trade-Offs in Making Data Public," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 31-44, National Bureau of Economic Research, Inc.
  81. Emil Siriwardane, 2014. "Concentrated Capital Losses and the Pricing of Corporate Credit Risk," Working Papers 14-10, Office of Financial Research, US Department of the Treasury, revised 12 Feb 2015.
  82. Qifei Zhu, 2020. "The Missing New Funds," Management Science, INFORMS, vol. 66(3), pages 1193-1204, March.
  83. Coudert, Virginie & Salakhova, Dilyara, 2020. "Do mutual fund flows affect the French corporate bond market?," Economic Modelling, Elsevier, vol. 87(C), pages 496-510.
  84. Li, Jie & Zhang, Yongjie & Feng, Xu & An, Yahui, 2019. "Which kind of investor causes comovement?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 1-15.
  85. Özgür Özel & Mustafa Utku Özmen & Erdal Yılmaz, 2021. "Foreign investor dominance and low domestic investor absorption capacity: Implications on capital outflows," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4361-4371, July.
  86. Fabrice Riva & Thomas Marta, 2022. "Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique," Post-Print hal-03969597, HAL.
  87. Reza Bradrania & Robert Elliott & Winston Wu, 2022. "Institutional ownership and liquidity commonality: evidence from Australia," Papers 2211.03287, arXiv.org.
  88. Kruttli, Mathias S. & Monin, Phillip J. & Watugala, Sumudu W., 2022. "The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks," Journal of Financial Economics, Elsevier, vol. 146(3), pages 965-988.
  89. Cho, Thummim, 2020. "Turning alphas into betas: Arbitrage and endogenous risk," Journal of Financial Economics, Elsevier, vol. 137(2), pages 550-570.
  90. Yongtae Kim & Lixin (Nancy) Su & Xindong (Kevin) Zhu, 2017. "Does the cessation of quarterly earnings guidance reduce investors’ short-termism?," Review of Accounting Studies, Springer, vol. 22(2), pages 715-752, June.
  91. Chernenko, Sergey & Sunderam, Adi, 2016. "Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds," ESRB Working Paper Series 23, European Systemic Risk Board.
  92. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2011. "ETFs, Arbitrage, and Contagion," Working Paper Series 2011-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  93. Francis, Bill & Hasan, Iftekhar & Shen, Yinjie (Victor) & Ye, Pengfei, 2021. "Stock price fragility and the cost of bank loans," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 118-135.
  94. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  95. Reza Bradrania & Robert Elliott & Winston Wu, 2022. "Institutional ownership and liquidity commonality: evidence from Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1231-1272, April.
  96. Bian, Jiangze & Da, Zhi & He, Zhiguo & Lou, Dong & Shue, Kelly & Zhou, Hao, 2021. "Margin trading and leverage management," LSE Research Online Documents on Economics 118851, London School of Economics and Political Science, LSE Library.
  97. Sergey Chernenko & Adi Sunderam, 2016. "Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds," NBER Working Papers 22391, National Bureau of Economic Research, Inc.
  98. Walter I. Boudry & Robert A. Connolly & Eva Steiner, 2022. "What happens during flight to safety: Evidence from public and private real estate markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 147-172, March.
  99. Sui, Cong & Chen, Nan & Yang, Mo, 2023. "Not all market participants are alike when facing crisis: Evidence from the 2015 Chinese stock market turbulence," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  100. Broman, Markus S., 2016. "Liquidity, style investing and excess comovement of exchange-traded fund returns," Journal of Financial Markets, Elsevier, vol. 30(C), pages 27-53.
  101. Huang, Shiyang & Huang, Yulin & Lin, Tse-Chun, 2019. "Attention allocation and return co-movement: Evidence from repeated natural experiments," Journal of Financial Economics, Elsevier, vol. 132(2), pages 369-383.
  102. Broman, Markus S., 2020. "Local demand shocks, excess comovement and return predictability," Journal of Banking & Finance, Elsevier, vol. 119(C).
  103. Ryan P. McDonough, 2023. "Corporate communication and shareholder base retention: evidence from spin-offs," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1283-1327, May.
  104. Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen, 2016. "Location and excess comovement," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 293-308.
  105. Fos, Vyacheslav & Chinco, Alex, 2019. "The Sound Of Many Funds Rebalancing," CEPR Discussion Papers 13561, C.E.P.R. Discussion Papers.
  106. Wen, Bohui & Bi, ShaSha & Yuan, Ming & Hao, Jing, 2023. "Financial constraint, cross-sectoral spillover and systemic risk in China," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 1-11.
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