Liquidity and Market Crashes

169 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, unknown): “Huang and Wang (2009) predict less liquidity provision for small stocks and Gromb and Vayanos (2002) and Brunnermeier and Pedersen (2009) predict less liquidity provision for volatile stocks.”
Strategic IPOs and product market competition (2011, background): “The assumption of myopic optimization is common in dynamic asset pricing models (e.g. Bacchetta and van Wincoop (2006) and Huang and Wang (2009)).”
The Illiquidity of Corporate Bonds (2011, background): “In a simple theory of liquidity based on costly market participation, Huang and Wang (2009) show that the bounce-back effect caused by illiquidity is more severe conditioning on an initial price movement that is negative, predicting a positive difference between γ− and γ.”
The drift burst hypothesis (2016, unknown): “The analysis also provides an opportunity to examine whether some of the predictions made in theoretical work about liquidity provision, particularly by Huang and Wang (2009), are supported by the data.”