Anticipated and repeated shocks in liquid markets

Review of Financial Studies

Volumn 26, Issue 8, 2013, Pages 1890-1912

  Lou, Dong ^a   Yan, Hongjun ^b   Zhang, Jinfan ^c  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b YALE SCHOOL OF MANAGEMENT   (United States)

^c Center for AI and Institutions at CKGSB   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84897728116     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hht034     Document Type: Article

References (38)

1. Adrian, T., E. Etula, and T. Muir. Forthcoming. Financial intermediaries and the cross-section of asset returns. Journal of Finance.
2. Amihud, Y., and H. Mendelson. 1991. Liquidity, maturity, and the yields on U.S. treasury securities. Journal of Finance 46:31-53.
3. Asness, C., T. Moskowitz, and L. Pedersen. 2013. Value and momentum everywhere. Journal of Finance 68:929-85.
4. Brunnermeir, M., S. Nagel, and L. Pedersen. 2008. Carry trades and currency crashes. NBER Macroeconomics Annual 23:313-47.
5. Coval, J., and E. Stafford. 2007. Asset fire sales (and purchases) in equity markets, Journal of Financial Economics 86:479-512.
6. D'Amico, S., and T. King. 2011. Flow and stock effects of large-scale Treasury purchases. Working Paper, Federal Reserve Board.
7. Duffie, D. 1996. Special repo rates. Journal of Finance 51:493-526.
8. Duffee, G. 1996. Idiosyncratic variation of Treasury bill yields. Journal of Finance 51:527-52.
9. Fleckenstein, M., F. Longstaff, and H. Lustig. 2013. The TIPS-Treasury bond puzzle. Journal of Finance Advance Access published January 30, 2013, doi:10.1111/jofi.12032.
10. Fleming, M. 2003. Measuring Treasury market liquidity. FRBNY Economic Policy Review (September): 83-108.
11. Fleming, M., and J. Rosenberg. 2007. How do Treasury dealers manage their positions? Working Paper, Federal Reserve Bank of New York.
12. Frazzini, A., and O. Lamont. 2008. Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics 88:299-322.
13. Gagnon, J., M. Raskin, J. Remache, and B. Sack. 2010. Large-scale asset purchases by the Federal Reserve: Did they work? Working Paper, Federal Reserve Bank of New York.
14. Garbade, D., and M. Rutherford. 2007. Buybacks in Treasury cash and debt Management. Federal Reserve Bank of New York Staff Reports, No. 304.
15. Goldreich, D. 2007. Underpricing in discriminatory and uniform-price Treasury auctions. Journal of Financial and Quantitative Analysis 42:443-66.
16. Goldreich, D., B. Hanke, and P. Nath. 2005. The price of future liquidity: Time-varying liquidity in the US Treasury market. Review of Finance 91:1-32.
17. Gorton, G., and A. Metrick. 2010. Securitized banking and the run on repo. Journal of Financial Economics 104: 425-51.
18. Greenwood, R., and D. Vayanos. 2010. Bond supply and excess bond returns. Working Paper, London School Economics.
19. Han, B., F. Longstaff, and C. Merrill. 2007. The U.S. Treasury buyback auctions: The cost of retiring illiquid Bonds. Journal of Finance 62:2673-93.
20. Jordan, B., and S. Jordan. 1997. Special repo rates: An empirical analysis. Journal of Finance 52:2051-72.
21. Kaul, A., V. Mehrotra, and R. Morck. 2000. Demand curves for stocks do slope down: New evidence from an index weights adjustment. Journal of Finance 55:893-912.
22. Keane, F. 1996. Repo rate patterns for new Treasury notes. Current Issues in Economics and Finance 2:1-6.
23. Krishnamurthy, A. 2002. The bond/old-bond spread. Journal of Financial Economics 66:463-506.
24. Krishnamurthy, A., and A. Vissing-Jorgensen. 2010. The aggregate demand for Treasury debt. Journal of Political Economy 120:233-67.
25. Krishnamurthy, A., and A. Vissing-Jorgensen. 2011. The effects of quantitative easing on interest rates. Working Paper, Northwestern Kellogg School.
26. Kuttner, K. 2006. Can central banks target bond prices? NBER Working Paper No. 12454.
27. Lou, D. 2012. A flow-based explanation for return predictability. Review of Financial Studies 25:3457-89.
28. Lustig, H., N. Roussanov, and A. Verdelhan. 2009. Common risk factors in currency markets. Working Paper, UCLA, MIT, and Wharton School.
29. Meli, J. 2004. Do capital constraints on market makers matter? Evidence from the US Treasury market. Working Paper, Chicago Booth School.
30. Mitchell, M., T. Pulvino, and E. Stafford. 2004. Price pressure around mergers. Journal of Finance 59:31-63.
31. Mueller, P., A. Vedolin, and Y. Yen. 2011. Bond variance risk premia. Working Paper, London School of Economics.
32. Newman, Y., and M. Rierson. 2003. Illiquidity spillovers: Theory and evidence from european telecom bond issuance. Working Paper, Stanford Graduate School of Business.
33. Newey, W., and K. West. 1987. Asimple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703-8.
34. Shleifer, A. 1986. Do demand curves for stocks slope down? Journal of Finance 41:579-90.
35. Simon, D. 1991. Segmentation in the Treasury bill market: Evidence from cash management bills. Journal of Financial and Quantitative Analysis 26:97-108.
36. Swanson, E. 2011. Lets twist again: Ahigh-frequency event-study analysis of operation twist and its implications for QE2. Brookings Papers on Economic Activity 1:151-88.
37. Wurgler, J., and E. Zhuravskaya. 2002. Does arbitrage flatten demand curves for stocks? Journal of Business 75: 583-608.
38. Vayanos, D., and J. Vila. 2009. A preferred-habitat model of the term-structure of interest rates. Working Paper, London School of Economics.