NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Working Group on Market Microstructures Archive


2012
w18452 Pierre Collin-Dufresne
Vyacheslav Fos

Do prices reveal the presence of informed trading?

w18408 Zhiguo He
Konstantin Milbradt

Endogenous Liquidity and Defaultable Bonds

w18398 Markus K. Brunnermeier
Martin Oehmke

Bubbles, Financial Crises, and Systemic Risk

w18251 Dimitri Vayanos
Jiang Wang

Market Liquidity — Theory and Empirical Evidence

w18084 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Financial Risk Measurement for Financial Risk Management

w18078 Fei Chen
Francis X. Diebold
Frank Schorfheide

A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

w18022 Melvyn G. Coles
Dale T. Mortensen

Equilibrium Labor Turnover, Firm Growth and Unemployment

w17921 Ing-Haw Cheng
Andrei Kirilenko
Wei Xiong

Convective Risk Flows in Commodity Futures Markets


2011
w17653 Stefan Nagel
Evaporating Liquidity

w17582 Alex Edmans
Itay Goldstein
Wei Jiang

Feedback Effects and the Limits to Arbitrage

w17567 Alex Edmans
Vivian W. Fang
Emanuel Zur

The Effect of Liquidity on Governance

w17027 Tarek A. Hassan
Thomas M. Mertens

The Social Cost of Near-Rational Investment

w16818 Aaron Edlin
Joseph Farrell

Freedom to Trade and the Competitive Process

w16804 Patrick Bolton
Tano Santos
Jose A. Scheinkman

Cream Skimming in Financial Markets

w16784 Patrick Bayer
Christopher Geissler
James W. Roberts

Speculators and Middlemen: The Role of Intermediaries in the Housing Market

w16777 Nicolae Gârleanu
Lasse Heje Pedersen

Margin-Based Asset Pricing and Deviations from the Law of One Price

w16743 Orley C. Ashenfelter
Kathryn Graddy

Sale Rates and Price Movements in Art Auctions


2010
w16628 Bruno Biais
Johan Hombert
Pierre-Olivier Weill

Trading and Liquidity with Limited Cognition

w16601 Andrea Frazzini
Lasse H. Pedersen

Betting Against Beta

w16485 Viral V. Acharya
Peter M. DeMarzo
Ilan Kremer

Endogenous Information Flows and the Clustering of Announcements

w16395 Viral V. Acharya
Ouarda Merrouche

Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis

w16394 Viral V. Acharya
Yakov Amihud
Sreedhar T. Bharath

Liquidity Risk of Corporate Bond Returns: A Conditional Approach

w16282 Paul Asquith
Andrea S. Au
Thomas R. Covert
Parag A. Pathak

The Market for Borrowing Corporate Bonds

w16230 Edward L. Glaeser
Joshua D. Gottlieb
Joseph Gyourko

Can Cheap Credit Explain the Housing Boom?

w16080 V.V. Chari
Ali Shourideh
Ariel Zetlin-Jones

Adverse Selection, Reputation and Sudden Collapses in Secondary Loan Markets

w15878 Edward P. Lazear
Why Do Inventories Rise When Demand Falls in Housing and Other Markets?

w15808 Yacine Aït-Sahalia
Jean Jacod

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

w15653 Zhiguo He
Wei Xiong

Rollover Risk and Credit Risk


2009
w15414 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crises and Liquidity in Over-the-Counter Markets

w15336 George O. Aragon
Philip E. Strahan

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

w15297 Lasse Heje Pedersen
When Everyone Runs for the Exit

w15254 Chris Edmond
Pierre-Olivier Weill

Aggregate Implications of Micro Asset Market Segmentation

w15242 Rajkamal Iyer
Asim Ijaz Khwaja
Erzo F.P. Luttmer
Kelly Shue

Screening Peers Softly: Inferring the Quality of Small Borrowers

w15215 Dimitri Vayanos
Jiang Wang

Liquidity and Asset Prices: A Unified Framework

w15020 Yuko Hashimoto
Takatoshi Ito

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture

w15009 Bruno Biais
Pierre-Olivier Weill

Liquidity Shocks and Order Book Dynamics

w14903 Jennifer Huang
Clemens Sialm
Hanjiang Zhang

Risk Shifting and Mutual Fund Performance


2008
w14612 Markus K. Brunnermeier
Deciphering the Liquidity and Credit Crunch 2007-08

w14465 Amir E. Khandani
Andrew W. Lo

What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

w14390 Cédric Tille
Eric van Wincoop

International Capital Flows under Dispersed Information: Theory and Evidence

w14158 Paul Asquith
Rebecca Oman
Christopher Safaya

Short Sales and Trade Classification Algorithms

w14107 Dan Bogart
Gary Richardson

Making Property Productive: Reorganizing Rights to Real and Equitable Estates in Britain, 1660 to 1830

w14058 Jennifer Huang
Jiang Wang

Market Liquidity, Asset Prices and Welfare

w13848 Bruce Lehmann
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk

w13825 Yacine Ait-Sahalia
Jialin Yu

High Frequency Market Microstructure Noise Estimates and Liquidity Measures


2007
w13625 Zhi Da
Pengjie Gao
Ravi Jagannathan

When Does a Mutual Fund's Trade Reveal its Skill?

w13530 Alvin E. Roth
What Have We Learned From Market Design?

w13445 Richard G. Frank
Richard J. Zeckhauser

Custom Made Versus Ready to Wear Treatments; Behavioral Propensities in Physician's Choices

w13225 Alvin E. Roth
Deferred Acceptance Algorithms: History, Theory, Practice, and Open Questions

w12939 Markus K. Brunnermeier
Lasse Heje Pedersen

Market Liquidity and Funding Liquidity

w12933 Eugene N. White
The Crash of 1882, Counterparty Risk, and the Bailout of the Paris Bourse

w12887 Nicolae B. Garleanu
Lasse H. Pedersen

Liquidity and Risk Management

w12877 Mark Mitchell
Lasse Heje Pedersen
Todd Pulvino

Slow Moving Capital


2006
w12661 Eugene N. White
Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange

w12020 Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen

Valuation in Over-the-Counter Markets


2005
w11843 Nicolae Garleanu
Lasse Heje Pedersen
Allen M. Poteshman

Demand-Based Option Pricing

w11722 Xavier Gabaix
Parameswaran Gopikrishnan
Vasiliki Plerou
H. Eugene Stanley

Institutional Investors and Stock Market Volatility

w11556 Lance E. Davis
Larry Neal
Eugene N. White

The Highest Price Ever: The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints

w11116 Ali Hortacsu
Samita Sareen

Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions


Generated Tue Jul 22 00:01:02 2014

 
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