Stock Price Fragility

By Robin Greenwood, David Thesmar. 2011

247 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3c89ac84e13ef57b091213b1b861ae479978fc13

Citations in the corpus

• The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, unknown): “1 See Gromb and Vayanos (2010) and Section 1 for a review of the relevant theoretical literature on limited arbitrage.”
• Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds (2016, unknown): “…markets, including Shleifer and Vishny (1992), Shleifer and Vishny (1997), Coval and Stafford (2007), Ellul, Jotikasthira and Lundblad (2011), Greenwood and Thesmar (2011), and Merrill et al (2012).3 Our results show how mutual funds use cash holdings to manage the risk of fire sales created…”
• The Granular Nature of Large Institutional Investors (2016, unknown): “The literature has shown convincingly that common institutional ownership modifies the correlation structure of returns (Greenwood and Thesmar 2011, Anton and Polk 2014).”
• Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “1 See also, Hasbrouck and Seppi (2001), Huberman and Halka (2001), and Eckbo and Norli (2002).”
• Exchange Traded Funds and Asset Return Correlations (2013, unknown): “Examples include Greenwood & Thesmar (2011), Anton & Polk (2014) and Bartram, Griffin, Lim, & Ng (2015).”