29
H index
32
i10 index
10175
Citations
Copenhagen Business School (75% share) | 29 H index 32 i10 index 10175 Citations RESEARCH PRODUCTION: 32 Articles 52 Papers 3 Books 6 Chapters RESEARCH ACTIVITY: 20 years (2002 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ppe174 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lasse Heje Pedersen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Financial Economics | 10 |
Review of Financial Studies | 7 |
Journal of Finance | 5 |
American Economic Review | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
NBER Working Papers / National Bureau of Economic Research, Inc | 21 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 20 |
Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Econometric Society 2004 North American Winter Meetings / Econometric Society | 2 |
Year | Title of citing document | |
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2023 | Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper | |
2023 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper | |
2023 | Bitcoin Trading is Irrational! An Analysis of the Disposition Effect in Bitcoin. (2020). Haslhofer, Bernhard ; Schatzmann, Jurgen E. In: Papers. RePEc:arx:papers:2010.12415. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683. Full description at Econpapers || Download paper | |
2023 | Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446. Full description at Econpapers || Download paper | |
2023 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2023 | Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901. Full description at Econpapers || Download paper | |
2023 | Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518. Full description at Econpapers || Download paper | |
2023 | Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317. Full description at Econpapers || Download paper | |
2023 | View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2301.13594. Full description at Econpapers || Download paper | |
2023 | Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808. Full description at Econpapers || Download paper | |
2023 | Bayesian Optimization of ESG Financial Investments. (2023). Vaca, Maria Coronado ; Piris, Gabriel Gonz'Alez ; Garrido-Merch, Eduardo C. In: Papers. RePEc:arx:papers:2303.01485. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets. (2023). Chakrabarty, Siddhartha P ; Raj, Rishabh ; Mishra, Shashwat. In: Papers. RePEc:arx:papers:2305.16712. Full description at Econpapers || Download paper | |
2023 | The Cost of Misspecifying Price Impact. (2023). Webster, Kevin ; Muhle-Karbe, Johannes ; Mastromatteo, Iacopo ; Bouchaud, Jean-Philippe ; Hey, Natascha. In: Papers. RePEc:arx:papers:2306.00599. Full description at Econpapers || Download paper | |
2023 | Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning. (2023). Herremans, Dorien ; Ong, Joel. In: Papers. RePEc:arx:papers:2306.13661. Full description at Econpapers || Download paper | |
2023 | Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807. Full description at Econpapers || Download paper | |
2023 | Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies. (2023). Zohren, Stefan ; Roberts, Stephen ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.05522. Full description at Econpapers || Download paper | |
2023 | Multi-Factor Inception: What to Do with All of These Features?. (2023). Zohren, Stefan ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.13832. Full description at Econpapers || Download paper | |
2023 | Network Momentum across Asset Classes. (2023). Zohren, Stefan ; Dong, Xiaowen ; Roberts, Stephen ; Pu, Xingyue. In: Papers. RePEc:arx:papers:2308.11294. Full description at Econpapers || Download paper | |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. Full description at Econpapers || Download paper | |
2023 | ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866. Full description at Econpapers || Download paper | |
2023 | Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511. Full description at Econpapers || Download paper | |
2023 | Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047. Full description at Econpapers || Download paper | |
2023 | NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading. (2023). Chiu, Wei-Ning ; Shu, Han-Jay ; Liu, Hsiang-Hui. In: Papers. RePEc:arx:papers:2310.00747. Full description at Econpapers || Download paper | |
2023 | Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers || Download paper | |
2023 | Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper | |
2023 | Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Intermediary Market Power and Capital Constraints. (2023). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:23-51. Full description at Econpapers || Download paper | |
2023 | Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23. Full description at Econpapers || Download paper | |
2023 | Investor behavior under market stress:evidence from the Italian sovereign bond market. (2023). Panzarino, Onofrio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_033_23. Full description at Econpapers || Download paper | |
2023 | Investigating the determinants of corporate bond credit spreads in the euro area. (2023). Mirante, Pasquale ; Letta, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_036_23. Full description at Econpapers || Download paper | |
2023 | Volume dynamics around FOMC announcements. (2023). Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1079. Full description at Econpapers || Download paper | |
2023 | Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087. Full description at Econpapers || Download paper | |
2023 | To lend or not to lend: the Bank of Japans ETF purchase program and securities lending. (2023). Takahashi, Koji ; Shino, Junnosuke ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1113. Full description at Econpapers || Download paper | |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper | |
2023 | Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138. Full description at Econpapers || Download paper | |
2023 | Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145. Full description at Econpapers || Download paper | |
2023 | Shorting costs and profitability of long–short strategies. (2023). Lee, Byeungjoo ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:277-316. Full description at Econpapers || Download paper | |
2023 | Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505. Full description at Econpapers || Download paper | |
2023 | How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320. Full description at Econpapers || Download paper | |
2023 | Impact of government policy responses of COVID?19 pandemic on stock market liquidity for Australian companies. (2023). Zgheib, Bernard ; Kassamany, Talie. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:1:p:24-46. Full description at Econpapers || Download paper | |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper | |
2023 | Microstructure and asset pricing: An insight on African frontier stock markets. (2023). Nchofoung, Tii ; Hikouatcha, Prince ; Tchoffo, Pierre Ghislain ; Bidias, Hans Patrick ; Njamen, Arsene Aurelien. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:944-987. Full description at Econpapers || Download paper | |
2023 | Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765. Full description at Econpapers || Download paper | |
2023 | Asset pricing with a financial sector. (2023). Xu, Chenjie ; Li, Kai. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:67-95. Full description at Econpapers || Download paper | |
2023 | Financial development and the effect of cross?border bank flows on house prices. (2023). Hyde, Stuart ; Cho, Sungjun ; Romero, Nestor. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:39-63. Full description at Econpapers || Download paper | |
2023 | Investor attention and the use of leverage. (2023). Peltomaki, Jarkko ; Davydov, Denis. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:287-313. Full description at Econpapers || Download paper | |
2023 | International evidence on the association of leverage with stock returns and the value premium. (2023). Jansen, Benjamin A ; Garciafeijoo, Luis. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:315-341. Full description at Econpapers || Download paper | |
2023 | Effect of high?frequency trading on mutual fund performance. (2023). Singal, Vijay ; Qin, Nan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:369-394. Full description at Econpapers || Download paper | |
2023 | Political geography and the value relevance of real options. (2023). Pantzalis, Christos ; Douidar, Shaddy ; Park, Jung Chul. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:703-733. Full description at Econpapers || Download paper | |
2023 | The maturity?lengthening role of national development banks. (2023). Schclarek, Alfredo ; Yan, Jianye ; Xu, Jiajun. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:130-157. Full description at Econpapers || Download paper | |
2023 | The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and fund flow performance sensitivity: Evidence from New Zealand. (2023). Demirer, Riza ; Hegde, Prasad ; Badshah, Ihsan ; Ali, Sara. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:3:p:666-679. Full description at Econpapers || Download paper | |
2023 | Ride the trend: Is there spread momentum profit in the US commodity markets?. (2023). Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:1:p:24-47. Full description at Econpapers || Download paper | |
2023 | Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price. (2023). Vasudevan, Kaushik ; Moskowitz, Tobias J ; Hazelkorn, Todd M. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:301-345. Full description at Econpapers || Download paper | |
2023 | Principal Portfolios. (2023). Pedersen, Lasse Heje ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:347-387. Full description at Econpapers || Download paper | |
2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper | |
2023 | A Model of Systemic Bank Runs. (2023). Liu, Xuewen. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:731-793. Full description at Econpapers || Download paper | |
2023 | Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328. Full description at Econpapers || Download paper | |
2023 | Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486. Full description at Econpapers || Download paper | |
2023 | The remote work revolution: Impact on real estate values and the urban environment: 2023 AREUEA Presidential Address. (2023). van Nieuwerburgh, Stijn. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:1:p:7-48. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248. Full description at Econpapers || Download paper | |
2023 | Optimum financial areas: Retooling the governance of global finance. (2023). Jones, Erik. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:6:p:1582-1608. Full description at Econpapers || Download paper | |
2023 | Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034. Full description at Econpapers || Download paper | |
2023 | The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045. Full description at Econpapers || Download paper | |
2023 | The evaluation of the effects of ESG scores on financial markets. (2023). Costa, Michele. In: Working Papers. RePEc:bol:bodewp:wp1189. Full description at Econpapers || Download paper | |
2023 | Monitoring Banking System Connectedness with Big Data. (2023). Lopez, Jose ; Hale, Galina. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt17h5v7rj. Full description at Econpapers || Download paper | |
2023 | Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03. Full description at Econpapers || Download paper | |
2023 | Cyclical Investment Behavior of Investment Funds: Its Heterogeneity and Drivers. (2023). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2023/5. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018. Full description at Econpapers || Download paper | |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper | |
2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper | |
2023 | Preferred habitat investors in the green bond market. (2023). Boermans, Martijn. In: Working Papers. RePEc:dnb:dnbwpp:773. Full description at Econpapers || Download paper | |
2023 | The pricing of climate transition risk in Europe’s equity market. (2023). van Wijnbergen, Sweder ; Luijendijk, Rianne ; Loyson, Philippe. In: Working Papers. RePEc:dnb:dnbwpp:788. Full description at Econpapers || Download paper | |
2023 | Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1. Full description at Econpapers || Download paper | |
2023 | Systemic Risk: A Comparative Study between Public and Private Banks. (2023). Mahmoud, Imen ; Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-03-12. Full description at Econpapers || Download paper | |
2023 | Stock liquidity and societal trust. (2023). Zadeh, Mohammad Hendijani. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000612. Full description at Econpapers || Download paper | |
2023 | Are banks risk-averse or risk-neutral investors?. (2023). Ishinagi, Yoshikazu ; Takino, Kazuhiro. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000060. Full description at Econpapers || Download paper | |
2023 | The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229. Full description at Econpapers || Download paper | |
2023 | Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651. Full description at Econpapers || Download paper | |
2023 | Liability taxes, risk, and the cost of banking crises. (2023). Fatica, Serena ; Pagano, Andrea ; Kvedaras, Virmantas ; Heynderickx, Wouter ; Bellucci, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000366. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Liquidity and Risk Management In: American Economic Review. [Full Text][Citation analysis] | article | 67 |
2007 | Liquidity and Risk Management.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
2007 | Slow Moving Capital In: American Economic Review. [Full Text][Citation analysis] | article | 174 |
2007 | Slow Moving Capital.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 174 | paper | |
2007 | Slow Moving Capital.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 174 | paper | |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 607 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 607 | paper | |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 188 |
2005 | Predatory Trading In: Journal of Finance. [Full Text][Citation analysis] | article | 141 |
2004 | Predatory Trading.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 141 | paper | |
2004 | Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 141 | paper | |
2004 | Predatory Trading.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 141 | paper | |
2013 | Value and Momentum Everywhere In: Journal of Finance. [Full Text][Citation analysis] | article | 719 |
2013 | Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance. [Full Text][Citation analysis] | article | 156 |
2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
2018 | Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance. [Full Text][Citation analysis] | article | 49 |
2018 | Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
2015 | Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
2012 | Betting Against Beta In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 525 |
2014 | Betting against beta.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 525 | article | |
2010 | Betting Against Beta.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 525 | paper | |
2020 | Principal Portfolios In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Principal Portfolios.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | Early Option Exercise: Never Say Never In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2016 | Early option exercise: Never say never.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2018 | Generalized Recovery In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2019 | Generalized recovery.(2019) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2016 | Generalized Recovery.(2016) In: 2016 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2018 | Size Matters, if You Control Your Junk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
2018 | Size matters, if you control your junk.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2018 | Deep Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Betting Against Correlation: Testing Theories of the Low-Risk Effect In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 29 |
2020 | Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
2018 | Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 114 |
2018 | Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | article | |
2003 | Asset Pricing with Liquidity Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1114 |
2004 | Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1114 | paper | |
2005 | Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1114 | article | |
2004 | Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1114 | paper | |
2005 | Demand-Based Option Pricing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 227 |
2005 | Demand-Based Option Pricing.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 227 | paper | |
2009 | Demand-Based Option Pricing.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 227 | article | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 196 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 196 | paper | |
2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 196 | article | |
2007 | Market Liquidity and Funding Liquidity In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2264 |
2007 | Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2264 | paper | |
2007 | Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2264 | paper | |
2009 | Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2264 | article | |
2009 | When Everyone Runs for the Exit In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 52 |
2009 | When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
2009 | When Everyone Runs for the Exit.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
2010 | Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 93 |
2011 | Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | chapter | |
2010 | Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2010 | Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2012 | Measuring Systemic Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 946 |
2010 | Measuring systemic risk.(2010) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 946 | paper | |
2017 | Measuring Systemic Risk.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 946 | article | |
2013 | Buffett’s Alpha In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Buffetts Alpha.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2013 | Carry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Carry.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2013 | Carry.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Market Liquidity In: Cambridge Books. [Citation analysis] | book | 0 |
2013 | Market Liquidity.(2013) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 0 | book | |
2011 | Monitoring Leverage In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Monitoring Leverage.(2012) In: NBER Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 358 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 358 | paper | |
2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 5 |
2016 | Dynamic portfolio choice with frictions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 63 |
2012 | Time series momentum In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 459 |
2021 | Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 121 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 240 |
2012 | How to Calculate Systemic Risk Surcharges In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2009 | Carry Trades and Currency Crashes In: NBER Chapters. [Full Text][Citation analysis] | chapter | 594 |
2008 | Carry Trades and Currency Crashes.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 594 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 594 | paper | ||
2011 | Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers. [Full Text][Citation analysis] | paper | 270 |
2011 | Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 270 | article | |
2012 | Embedded Leverage In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2022 | Embedded Leverage.(2022) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2021 | Is There A Replication Crisis In Finance? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 21 |
2006 | Liquidity and Asset Prices In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 217 |
2005 | Liquidity and Asset Prices.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 217 | paper | |
2019 | Economics with Market Liquidity Risk In: Critical Finance Review. [Full Text][Citation analysis] | article | 5 |
2004 | Adverse Selection and the Required Return In: Review of Financial Studies. [Full Text][Citation analysis] | article | 32 |
2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books. [Citation analysis] | book | 28 |
2019 | Quality minus junk In: Review of Accounting Studies. [Full Text][Citation analysis] | article | 33 |
2013 | TAXING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
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