Asset Pricing and the Credit Market

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Margin-Based Asset Pricing and Deviations from the Law of One Price (2011, unknown): “…economies, e.g., Dumas (1989), Wang (1996), Chan and Kogan (2002), Bhamra and Uppal (2007), Weinbaum (2009), Gârleanu and Panageas (2008), and Longstaff and Wang (2009). market liquidity in over-the-counter search markets (Duffie, Gârleanu, and Pedersen (2005, 2007), Vayanos and Weill…”
Rare Disasters and Risk Sharing with Heterogeneous Beliefs (2011, background): “Research by Rietz (1988), Longstaff and Piazzesi (2004), Barro (2006) and others show that the threat of rare economic disasters that cause severe losses in output and consumption can have large impact on the equity premium.”