Liquidity Black Holes

By Stephen Morris, Hyun Song Shin. 2004

416 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a9f5d164331a10dfd59fc75b8f634ecc1141a83

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Citations in the corpus

Rollover Risk and Credit Risk (2012, neutral): “This feature also di¤erentiates our model from other papers related to rollover risk, e.g., Morris and Shin (2004, 2009) and He and Xiong (2009), which all assume implicit constraints on raising more equity when rms are in distress.”
Stock Market Declines and Liquidity (2010, neutral): “In the coordination failure models of Bernardo and Welch (2003) and Morris and Shin (2004), traders face differing trading limits that cause them to sell.”
The drift burst hypothesis (2016, background): “Morris and Shin (2004) study a game-theoretic setup (inspired by bank run models), in which mutually reinforcing selling of short-term traders against a downward sloping demand curve from long-term traders can also result in market crashes.”
Risk and liquidity in a system context (2008, neutral): “The results reported here are also related to the developing theoretical literature on the role of liquidity in asset pricing (Acharya and Pedersen (2005), Brunnermeier and Pedersen (2005a, 2005b), Morris and Shin (2004)).”
Payoff complementarities and financial fragility: Evidence from mutual fund outflows $ (2010, background): “…crises (Morris and Shin (1998), Corsetti, Dasgupta, Morris, and Shin (2004)), bank runs (Goldstein and Pauzner (2005), Rochet and Vives (2004)), contagion of financial crises (Dasgupta (2004), Goldstein and Pauzner (2004)), and stock-market liquidity (Morris and Shin (2004), Plantin (2009)).”
Liquidity and Contagion: The Crisis of 1763 (2004, background): “Bernardo and Welch (2004), Brunnermeier and Pedersen (2002) and Morris and Shin (2004a) have used this device in modelling limited liquidity facing active traders.”
Liquidity and Leverage (2010, neutral): “As well as those mentioned in the opening to our paper, recent contributions to the role of liquidity in asset pricing include Allen and Gale (2004), Acharya and Pedersen (2005), Brunnermeier and Pedersen (2005, 2007), Morris and Shin (2004) and Acharya, Shin and Yorulmazer (2007a, 2007b)).”
Bank Runs and Institutions: The Perils of Intervention (2009, background): “Bernardo and Welch [3] and Morris and Shin [26] have provided important first steps in developing models of this type of market fragility.”
The Liquidity Risk of Liquid Hedge Funds (2011, methodology): “Theoretical work by Campbell, Grossman, and Wang (1993), Gromb and Vayanos (2002), Morris and Shin (2004) and others, suggests that when funds 15 take on excessive liquidity risk, capital shocks from investors could translate into short–term price changes for the underlying assets held by the…”