Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage

By Robin Greenwood. 2005

276 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/021e202e53953c7c7215df1c6210518cecb3a53a

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Citations in the corpus

Mutual Fund Trading Pressure: Firm‐Level Stock Price Impact and Timing of SEOs (2012, unknown): “Prior empirical evidence of short-lived price pressure in equity markets is presented in Kraus and Stoll (1972), Harris and Gurel (1986), Shleifer (1986), and Mitchell, Pulvino, and Stafford (2004), and evidence of slightly longer-lived price pressure of a few weeks is presented in Greenwood (2005).”
FLOW AND STOCK EFFECTS OF LARGE-SCALE TREASURY PURCHASES: EVIDENCE ON THE IMPORTANCE OF LOCAL SUPPLY (2012, unknown): “While no study to date has specifically estimated the V&V model using observed data on Treasury supply fluctuations, Greenwood and Vayanos (2010b) have tested a number of qualitative hypotheses generated by V&V, and Kaminska, Vayanos, and Zinna (2011) have recently produced an estimated version of t”
Capital Market-Driven Corporate Finance (2009, background): “See, for example, Shleifer (1986) for evidence on the Standard & Poor’s (S&P) 500 inclusion effect or, for more recent applications, Wurgler & Zhuravskaya (2002), Mitchell et al. (2004), and Greenwood (2005).”
Corporate Financing Decisions When Investors Take the Path of Least Resistance (2007, unknown): “After the merger, 66.67% of the A-specialists have long positions with an aggregate market value of 193.31, and sleeping T-investors have a long position with a market value of 50.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Additional evidence of the effect on asset price dynamics of specific-investor positions has been offered by Greenwood (2005b), Bekaert, Harvey, and Lundblad (2007), Bartram, Griffin, and Ng (2010), Jotikasthira et al. (2009), Chaisurote (2008), and Lou (2009).”
Trading imbalances, predictable reversals, and cross-stock price pressure (2008, background): “…on large rare events such as additions and deletions from stock indexes—see Harris and Gurel (1986), Shleifer (1986), Wurgler and Zhuravskaya (2002), and Greenwood (2005) for some examples.3 The second strand uses volume as a proxy for times when there are a large number of liquidity trades.”
Bond Supply and Excess Bond Returns (2014, unknown): “Similar to Greenwood (2005) and Garleanu, Pedersen and Poteshman (2007), the pressure that supply shocks exert on prices depends on the degree of substitutability of the assets whose supplies are being changed.”
Asset Prices and Institutional Investors (2013, background): “The extensive literature on index effects growing out of Harris and Gurel (1986) and Shleifer (1986) has now confirmed in many countries and many markets that stocks rise when added to an index (e.g., Wurgler and Zhuravskaya (2002), Chen, Noronha, and Singal (2004) and Greenwood (2005)).”
Demand-Based Option Pricing (2009, unknown): “The starting point of our analysis is that options are traded because they are useful and, therefore, options cannot be redundant for all investors (Hakansson (1979)).”
Do ETFs Increase Volatility? (2018, unknown): “Our paper indirectly relates to the rich literature on the effect of indexing (Shleifer, 1986; Barberis, Shleifer, and Wurgler, 2005; Greenwood, 2005; Wurgler, 2011; Chang, Hong, and Liskovich, 2015).”
Is Bitcoin Really Untethered? (2020, background): “…demand curves for financial securities are typically not flat, demand or supply shocks can have large effects on prices even in the absence of fundamental information (Harris and Gurel (1986), Shleifer (1986), Greenwood (2005)), and may persist for surprisingly long periods of time (Duffie (2010)).”
Managing Underwriters and the Marketing of Seasoned Equity Offerings (2010, unknown): “…or deletions of index components also find support for a negatively sloped demand curve (see Harris and Gurel (1986), Shleifer (1986), Dhillon and Johnson (1991), Lynch and Mendenhall (1997), Kaul, Mehrotra, and Morck (2000), Wurgler and Zhuravskaya (2002), and Greenwood (2005), among others).”
Illiquidity Contagion and Liquidity Crashes (2014, unknown): “Thus, as highlighted by Gromb and Vayanos (2002) or Brunnermeier and Pedersen (2009), a decrease in arbitrage capital (a lower λ) generates an increase in the illiquidity of both assets.”
Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights (2008, background): “Consistent with this simple intuition, Barberis, Wurgler and Shleifer (2005), and Greenwood and Sosner (2007) document decreases in the correlation with lagged index returns following inclusion into a stock index.”
Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “Our strategy makes our estimates comparable to Greenwood et al. (2014), who apply the same liquidity number to all the assets of banks that underwent the stress test conducted by the European Banking Authority in 2011q3.”
Should Benchmark Indices Have Alpha? Revisiting Performance (2010, methodology): “Hansen and Jagannathan (1997) demonstrate how to measure the distance between a true stochastic discount factor that prices all assets and the one implied by the asset pricing model.”