A Search-Based Theory of the On-the-Run Phenomenon
By Pierre-Olivier Weill, Dimitri Vayanos. 2006
377 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/37b48f0bc1b8e536486ccd1fc54694c6c0a156ef
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Zhiguo He
- Konstantin W. Milbradt
- Paolo Pasquariello
- Clara Vega
- Nicolae Gârleanu
- Jiang Wang
- Giorgio Valente
- Peter Feldhütter
In Finance
- Zhiguo He
- Konstantin W. Milbradt
- Paolo Pasquariello
- Clara Vega
- Nicolae Gârleanu
- Peter Feldhütter
- René Garcia
- Jean-Sébastien Fontaine
In Management Science and Operations Research
- Peter Feldhütter
- Giorgio Valente
- Clara Vega
- Daniel L. Thornton
- Zhiguo He
- Nicolae Gârleanu
- Jiang Wang
- Paolo Pasquariello
Citations in the corpus
- The on-the-run liquidity phenomenon (2009, positive): “, the cost of shorting, as in Duffie, 1996; Krishnamurthy, 2002), search costs (Vayanos and Weill, 2008), or the value of future liquidity (Goldreich, Hanke and Nath, 2005).”
- The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, positive): “Vayanos and Weill (2008), Vayanos and Wang (2007) and Weill (2008) extend the number of assets in the economy and derive cross-sectional implications for expected returns.”
- Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, positive): “These constraints essentially allow for the full proceeds of short sales (see, inter alia, Vayanos and Weill, 2008 and the references therein).”
- Endogenous Liquidity and Defaultable Bonds (2012, background): “…show in LT96 and emphasized in HX12, 7The existing literature often assumes constant asset payoffs and infinite maturity; for instance, focusing on a very different market, Vayanos and Weill (2008) use a search framework to explain the difference between off-the-run and on-the-run treasury yields.”
- Margin-Based Asset Pricing and Deviations from the Law of One Price (2011, positive): “For instance, corporate bonds have low market liquidity in over-the-counter search markets (Duffie, Gˆarleanu, and Pedersen (2005, 2007), Vayanos and Weill (2008) ) and this makes them less attractive as collateral since they can be difficult to sell.”
- Liquidity and Market Crashes (2009, background): “In a setting similar to ours, Lo, Mamaysky, and Wang (2004) show that even in continuous time the gain from trading is asymmetric around the optimal holding due to the fact that traders only trade infrequently.”
- Bond Liquidity Premia (2012, background): “Vayanos and Weil [55] extend this view and include search frictions explicitly(3).”