Margin-Based Asset Pricing and Deviations from the Law of One Price
By Nicolae Gârleanu. 2011
658 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ebbad5a47117ee208f1ab11dc6a5c50916291ae1
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
- Lasse Heje Pedersen
- Zhiguo He
- Jeremy C. Stein
- Markus K. Brunnermeier
- Matteo Maggiori
- Arvind Krishnamurthy
- Nicolae Gârleanu
- Alp Simsek
In Finance
- Zhiguo He
- Lasse Heje Pedersen
- Arvind Krishnamurthy
- Jeremy C. Stein
- Markus K. Brunnermeier
- Matteo Maggiori
- S. G. Hanson
- Stefan Nagel
Citations in the corpus
- Time Series Momentum (2012, background): “…Treasury Eurodollar (TED) spread, a proxy for funding liquidity as suggested by Brunnermeier and Pedersen (2009), Asness, Moskowitz, and Pedersen (2010), and Garleanu and Pedersen (2011), and the top 20% most extreme realizations of the TED spread to capture the most illiquid funding environments.”
- Bubbles, Financial Crises, and Systemic Risk (2012, neutral): “Garleanu and Pedersen (2011) provide a theoretical model that underscores this point, while Mitchell and”
- The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “…with lower strategy-level arbitrage capital.13 The balance sheet strength of financial intermediaries may be another key driver of arbitrageur funding constraints, as pointed out by Brunnermeier and Pedersen (2009), Garleanu and Pedersen (2011), Geanakoplos (2010), and Frazzini and Pedersen (2011).”
- Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, methodology): “These are Mitchell, Pedersen, and Pulvino (2007) focusing on the convertible bond market, and, during the recent financial crisis, Mitchell and Pulvino (2011) and Garleanu and Pedersen (2011), both addressing the CDS and bond yield spread.”
- Financial Regulation in a Quantitative Model of the Modern Banking System (2017, neutral): “5E.g. Brunnermeier and Sannikov (2014), He and Krishnamurthy (2013), Garleanu and Pedersen (2011), Adrian and Boyarchenko (2015), Moreira and Savov (2014).”