Asset Price Dynamics with Slow-Moving Capital
By Darrell Duffie. 2010
174 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/cbcb34570991ddbdffa97000e9451fe01e5deea7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Nagpurnanand R. Prabhala
- Gerard Hoberg
- Kenneth J. Singleton
- Nitin Kumar
- S. G. Hanson
- Robin Greenwood
- Darrell Duffie
- Nicholas Barberis
Citations in the corpus
- Local Currency Sovereign Risk (2013, unknown): “In a world with imperfect capital markets, margins, haircuts and other collateral frictions create limits to arbitrage, and slow-moving capital may permit the arbitrage opportunities to persist for extended periods of time (for example, Shleifer and Vishny, 1997 and Duffie, 2010). For emerging marke”
- Algorithmic Trading and the Market for Liquidity (2013, unknown): “Frictions related to investors’ participation and monitoring of financial markets are important for trading and asset price dynamics (Duffie (2010)).”
- The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “Duffie (2010) reviews recent evidence in his 2010 Presidential Address to the American Finance Association.”
- Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2018, methodology): “Equivalently, in the terminology of Duffie (2010), arbitrage capital reacts more quickly when a fund has many close rivals.”
- Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “Limits to capital market intermediation and the consequent slow commitment of capital to new OTC commodity derivatives positions is a plausible explanation for these reversals (see Duffie (2010) and the references therein).”
- Issuer Quality and Corporate Bond Returns (2013, methodology): “As shown in 27 See, for example, Gromb and Vayanos (2002), Garleanu and Pedersen (2010), Duffie (2010), and He and Krishnamurthy (2010). Many accounts of the credit cycle also emphasize a role for fluctuations in bank balance sheets, including Holmstrom and Tirole (1997) and Kashyap, Stein, and Wilc”