Presidential Address: Asset Price Dynamics with Slow‐Moving Capital

By Darrell Duffie. 2010

682 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1b6892439832465b911d934697ae4ca7ad2e6be1

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Citations in the corpus

Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets (2020, neutral): “…high-valuation bidders relatively scarce and lead to arbitrage persistence (see, for example, Mitchell et al. (2007) , Coval and Stafford (2007) and Duffie (2010) ). results, the differences between the two groups are even more pronounced at the peak, consistent with mid-March being the phase of…”
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis (2021, background): “(Shleifer (1986), Wurgler and Zhuravskaya (2002), Duffie (2010), Chang et al. (2014), Koijen and Yogo (2019)), while the present paper is about the macro-elasticity of demand, ⇣.”
An Institutional Theory of Momentum and Reversal (2013, neutral): “To ensure that the active fund can add Duffie’s (2010) presidential address to the American Finance Association, and the references therein.”
Algorithmic Trading and the Market for Liquidity (2013, background): “I. Introduction Frictions related to investors’ participation and monitoring of financial markets are important for trading and asset price dynamics (Duffie (2010)).”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, neutral): “…(1998), Gromb and Vayanos (2002), Xiong (2001), Kyle and Xiong (2001), Vayanos (2004), Pavlova and Rigobon (2007)„ Brunnermeier and Pedersen (2009), Duffie (2010), Adrian and Shin (2010), Garleanu and Pederson (2011), Adrian and Boyarchenko (2012), Basak and Pavlova (2013), Gabaix and Maggiori…”
Durable consumption and asset management with transaction and observation costs (2012, neutral): “Examples of these models are Duffie and Sun (1990), Gabaix and Laibson (2001), Sims (2005), Reis (2006), Abel, Eberly, and Panageas (2007, 2009) among others.”
Regulatory Pressure and Fire Sales in the Corporate Bond Market (2011, positive): “Why do these patterns exist and where are the potential buyers? Duffie, Garleanu, and Pedersen (2007) provide some recent theoretical guidance.”
Investor Attention and Stock Market Volatility (2015, background): “…aversion coefficient is equal to the reciprocal of the intertemporal elasticity of substitution, α = ψ, the recursive utility reduces to the standard time-separable power utility with relative risk aversion α and intertemporal elasticity of substitution 1/α. Presidential Address of Duffie (2010).”
Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison (2014, background): “(3) Frictions may make arbitrage capital slow-moving—and thus better able to offset the impact of preferred habitat investors in the long-run than in the short-run (Duffie, 2010; Mitchell et al., 2007).”
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)).”
Market intraday momentum (2018, background): “In his presidential address, Duffie (2010) emphasizes the important role of the slow-moving capital and infrequent decisions in our understanding of a number of stylized facts in finance.”
Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds (2020, positive): “1 In Duffie, Gȃrleanu, and Pedersen (2005), market makers are assumed to off-load inventories in a frictionless interdealer market.”
When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, positive): “In addition, corporate bond trades might have been crowded out by better opportunities in the also disrupted Treasury market (see Duffie 2020 and He, Nagel, and Song 2020). One manifestation of this lower willingness to intermediate is that the price that dealers charge for trading bonds rose during”
Speculation and Hedging in Segmented Markets (2014, positive): “In his presidential address, Duffie (2010) suggests that due to slow movement of investment capital, many trading opportunities cannot be exploited by investors who want to take advantage of them.”