Flight to Quality, Flight to Liquidity, and the Pricing of Risk

By Dimitri Vayanos. 2004

275 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/24f0e9dfad3aa6532d00f8a7620f1f31ec9114b5

Citations in the corpus

• Transparency and Liquidity Uncertainty in Crisis Periods (2011, unknown): “Similarly, Vayanos (2004) suggests that liquidity providers become more risk averse in the face of uncertainty about fundamental asset values.”
• An Institutional Theory of Momentum and Reversal (2013, unknown): “…that literature is that when poor performance triggers outflows because of an exogenous performance - flow relationship ( Shleifer and Vishny 1997 , Vayanos 2004 ) , a lower bound on the equity stake of fund managers ( He and Krishnamurthy 2008ab ) , or learning about managerial ability ( Dasgupta…”
• A Liquidity-Based Theory of Closed-End Funds (2009, unknown): “... (1986), Eisfeldt (2004), Glaeser and Kallal (1997), Glosten and Milgrom (1985), Grossman and Miller (1988), Heaton and Lucas (1996), Hirshleifer (1988), Holmstr¨om and Tirole (1998), Holmstr¨om and Tirole (2001), Huang (2003), Huang and Wang (2005), Kyle (1985), Kyle and Xiong (2001), Lo, Mamays”
• Stock Market Declines and Liquidity (2010, unknown): “In Vayanos (2004), investors become more risk averse and their preference for liquidity increases in volatile times.”
• Asset Prices and Institutional Investors (2013, unknown): “…and Woolley (2010), Guerreri and Kondor (2012), in which outflows following poor performance are due to learning about managerial ability, and Vayanos (2004) and Kaniel and Kondor (2012) in which outflows oc- 5See also Kapur and Timmermann (2005) and Arora, Ju, and Ou-Yang (2006) for related…”
• Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, unknown): “For example, Vayanos (2004) and Brunnermeier and Pedersen (2009) predict that liquidity providers are less willing to make markets in volatile, illiquid securities due to the higher collateral or margin requirements.”
• Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “What is key to the framework of Vayanos (2004) is that A (vt) is convex.”
• Time-Varying Liquidity Risk and the Cross Section of Stock Returns (2008, unknown): “In a different context, Vayanos (2004) also emphasizes the role of market volatility in the variation of illiquidity premium.”
• A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019, unknown): “25 See Xiong (2001), Kyle and Xiong (2001), Vayanos (2004), and Brunnermeier and Pedersen (2009).”
• Liquidity and Expected Returns: Lessons from Emerging Markets (2007, unknown): “In addition, higher volatility is likely associated with a higher compensation for providing liquidity, see for instance Vayanos (2004).”
• The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, unknown): “Withdrawals due to poor performance can lead to liquidation (Berk and Green (2002) and Vayanos (2003) ).”
• Flights to Safety (2014, unknown): “In Vayanos (2004), investors behave like fund managers and their fear of redemptions during high volatility periods cause them to reduce holdings of less liquid assets, resulting in a flight-to-liquidity.”
• Delayed Expected Loss Recognition and the Risk Profile of Banks: delayed loss recognition and the risk profile of banks (2015, unknown): “…less transparent to outside investors than banks delaying less, and this lower transparency induces greater 7 Brunermeier and Pedersen (2009) and Vayanos (2004) show that liquidity can dry up in a flight to quality where liquidity providers flee assets with high levels of uncertainty about…”