Imperfect Competition, Information Heterogeneity, and Financial Contagion

By Paolo Pasquariello. 2007

134 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f961ecc4e7b92cd8f60edff9f958aff00cd99f8c

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Citations in the corpus

The on-the-run liquidity phenomenon (2009, unknown): “There is a significant body of research studying the various processes through which multiple identical units such as government securities are sold (e.g., see Krishna, 2002, for a review).”
The Effect of Banking Crisis on Bank-Dependent Borrowers (2011, unknown): “This, in turn, causes greater decline in the equity prices of liquid stocks during periods of crisis (Pasquariello, 2007).”
Time-Series and Cross-Sectional Excess Comovement in Stock Indexes (2008, methodology): “Alternatively, Fleming et al. (1998), Kodres and Pritsker (2002), and Pasquariello (2002) emphasize how portfolio rebalancing activity by insiders, motivated either by risk considerations or strategic motives, may eventually lead equilibrium asset prices to move together beyond the degree justified…”
Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, unknown): “A crisis in one country may give a “wake-up call” to international investors to reassess the risks in other countries, and uninformed or less informed investors may find it difficult to extract the informed signal from the falling price, and follow the strategies of better informed investors generat”
Illiquidity Contagion and Liquidity Crashes (2014, unknown): “Our analysis is related to models of financial crises (Gennotte and Leland (1990), Barlevy and Veronesi (2003), and Yuan (2005)) and financial contagion (e.g., King and Wadhwani (1990), Kodres and Pritsker (2002), Yuan (2005), or Pasquariello (2007)).”
On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, background): “, Pasquariello (2007)). However, the analysis of Ross (1989) may lead to the opposite inference.”
Information Asymmetry, Diversification, and Cost of Capital (2007, background): “…of risky assets, have been considered in Caballe and Krishnan (1994); Daniel, Hirshleifer, and Subrahmanyam (2001); Kodres and Pritsker (2002); and Pasquariello (2004). takers, though strictly speaking this is only suitable in the limiting case where the numbers of assets and investors are…”