Episodic liquidity crises: Cooperative and predatory trading

Journal of Finance

Volumn 62, Issue 5, 2007, Pages 2235-2274

  Carlin, Bruce Ian ^a   Lobo, Miguel Sousa ^b   Viswanathan, S ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34548499881     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01274.x     Document Type: Article

References (44)

1. Abreu, Dilip, 1988, On the theory of infinitely repeated games with discounting, Econometrica 56, 383 396.
2. Abreu, Dilip, David Pearce, and Ennio Stacchetti, 1986, Optimal cartel equilibria with imperfect monitoring, Journal of Economic Theory 39, 251 269.
3. Acharya, Viral, and Lasse Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 375 410.
4. Almgren, Robert, 2000, Optimal execution of portfolio transactions, Journal of Risk 3, 5 39.
5. Almgren, Robert, and Neil Chriss, 1999, Value under liquidation, Risk 12, 61 63.
6. Attari, Mukarram, Antonio Mello, and Martin Ruckes, 2005, Arbitraging arbitrageurs, Journal of Finance 60, 2471 2511.
7. Back, Kerry, and Shmuel Baruch, 2004, Information in securities markets: Kyle meets Glosten and Milgrom, Econometrica 72, 433 465.
8. Basar, Tomas, and Geert Olsder, 1999, Dynamic Noncooperative Game Theory (Society for Industrial and Applied Mathematics : Philadelphia).
9. Battalio, Robert, Andrew Ellul, and Robert Jennings, 2007, Reputation effects in trading on the New York Stock Exchange, Journal of Finance 62, 1243 1271.
10. Berhardt, Dan, Vladimir Dvoracek, Eric Hughson, and Ingrid Werner, 2005, Why do larger orders receive discounts on the London stock exchange Review of Financial Studies 18, 1343 1368.
11. Bernheim, Douglas, and Michael Whinston, 1990, Multimarket contact and collusive behavior, RAND Journal of Economics 21, 1 26.
12. Bertsimas, Dimitris, and Andrew Lo, 1998, Optimal control of execution costs, Journal of Financial Markets 1, 1 50.
13. Brunnermeier, Markus, and Lasse Pedersen, 2005, Predatory trading, Journal of Finance 60, 1825 1863.
14. Chan, Louis, and Josef Lakonishok, 1995, The behavior of stock prices around institutional trades, Journal of Finance 50, 1147 1174.
15. Cheng, Minder, and Ananth Madhavan, 1997, In search of liquidity: Block trades in the upstairs and downstairs markets, Review of Financial Studies 10, 175 203.
16. Cocco, Joao, Francisco Gomes, and Nuno Martins, 2003, Lending relationships in the interbank market, Working paper, London School of Business.
17. DeMarzo, Peter, and Branko Uroševic, 2000, Optimal trading by a large shareholder, Working paper, Stanford Graduate School of Business and Haas School of Business.
18. Desgranges, Gabriel, and Thierry Foucault, 2005, Reputation-based pricing and price improvements in dealership markets, Journal of Economics and Business 57, 493 527.
19. Duffie, Darrell, Nicolae Garleanu, and Lasse Pedersen, 2005, Over-the-counter markets, Econometrica 73, 1815 1847.
20. Dutta, Prajit, and Ananth Madhavan, 1997, Competition and collusion in dealer markets, Journal of Finance 52, 245 276.
21. Fedyk, Yuriy, 2001, Large investor optimization problem with direct effect of trades on prices, Working paper, Olin School of Business.
22. Foster, F. Douglas, and S. Viswanathan, 1996, Strategic trading when agents forecast the forecasts of others, Journal of Finance 51, 1437 1478.
23. Friedman, James, 1971, A non-cooperative equilibrium for supergames, Review of Economic Studies 38, 1 12.
24. Gennotte, Gerard, and Albert Kyle, 1991, Intertemporal insider trading with a smooth order flow, Working paper, Haas School of Business Administration, Berkeley.
25. Green, Edward, and Robert Porter, 1984, Noncooperative collusion under imperfect price information, Econometrica 52, 87 100.
26. Hansch, Oliver, Narayan Naik, and S. Viswanathan, 1999, Preferencing, internalization, best execution, and dealer profits, Journal of Finance 54, 1799 1828.
27. Holthausen, Robert, Richard Leftwich, and David Mayers, 1990, Large block transactions, the speed of response, and temporary and permanent stock-price effects, Journal of Financial Economics 26, 71 95.
28. Huang, Roger, and Hans Stoll, 1997, The components of the bid-ask spread: A general approach, Review of Financial Studies 10, 995 1034.
29. Huberman, Gur, and Werner Stanzl, 2004a, Arbitrage-free price update and price-impact functions, Econometrica 72, 1247 1275.
30. Huberman, Gur, and Werner Stanzl, 2004b, Optimal liquidity trading, Review of Finance 9, 165 200.
31. Kailath, Thomas, 1980, Linear Systems (Prentice-Hall, New Jersey).
32. Karatzas, Ioannis, and Steven Shreve, 1988, Brownian Motion and Stochastic Calculus (Springer, Berlin).
33. Kaul, Aditya, Vikas Mehrotra, and Randall Morck, 2000, Demand curves for stocks do slope down: New evidence from an index weights adjustment, Journal of Finance 55, 893 912.
34. Keim, Donald, and Ananth Madhavan, 1996, The upstairs market for large-block transactions: Analysis and measurement of price effects, Review of Financial Studies 9, 1 36.
35. Kraus, Alan, and Hans Stoll, 1972, Price impacts of block trading on the New York Stock Exchange, Journal of Finance 27, 569 588.
36. Massa, Massimo, and Andrei Simonov, 2003, Reputation and interdealer trading: A microstructure analysis of the treasury bond market, Journal of Financial Markets 6, 99 141.
37. Pástor, Ľuboš, and Robert Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 111, 642 685.
38. Pritsker, Matthew, 2004, Large investors: Implications for equilibrium asset returns, shock absorption, and liquidity, Working paper, Federal Reserve, Washington D.C.
39. Ramadorai, Tarun, 2003, Persistence, performance, and prices in foreign exchange markets, Working paper, Harvard University.
40. Reiss, Peter, and Ingrid Werner, 2004, Anonymity, adverse selection and the sorting of interdealer trades, Review of Financial Studies 18, 599 636.
41. Rotemberg, Julio, and Garth Saloner, 1986, A supergame-theoretic model of price wars during booms, American Economic Review 76, 390 407.
42. Sadka, Ronnie, 2006, Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk, Journal of Financial Economics, 80, 309 349.
43. Seppi, Duane, 1990, Equilibrium block trading, Journal of Finance 45, 73 94.
44. Vayanos, Dimitri, 1998, Transaction costs and asset prices: A dynamic equilibrium model, Review of Financial Studies 11, 1 58.