How Does Deleveraging Affect Funding Market Liquidity?

References

• Acharya V, Viswanathan S (2011) Leverage, moral hazard, and liquidity. J. Finance 66(1):99–138.Crossref, Google Scholar
• Admati AR, Pfleiderer P (1988) A theory of intraday patterns: Volume and price variability. Rev. Financial Stud. 1(1):3–40.Crossref, Google Scholar
• Baker M, Bradley B, Wurgler J (2011) Benchmarks as limits to arbitrage: Understanding the low volatility anomaly. Financial Anal. J. 67(1):40–54.Crossref, Google Scholar
• Barber B, Odean T (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors. J. Finance 55(2):773–806.Crossref, Google Scholar
• Bessembinder H, Venkataraman K (2010) Bid-ask spreads: Measuring trade execution costs in financial markets. Cont R, ed. Encyclopedia of Quantitative Finance (John Wiley & Sons, Hoboken, NJ).Google Scholar
• Bian J, Da Z, Lou D, Zhou H (2019) Leverage network and market contagion. PBCSF-NIFR Research Paper.Google Scholar
• Bian J, He Z, Shue K, Zhou H (2018) Leverage-induced fire sales and stock market crashes. NBER Working Paper No. 25040, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Brogaard J, Li D, Xia Y (2017) Stock liquidity and default risk. J. Financial Econom. 124(3):486–502.Crossref, Google Scholar
• Brunnermeier MK, Oehmke M (2013) The maturity rat race. J. Finance 68(2):483–521.Crossref, Google Scholar
• Brunnermeier MK, Pedersen LH (2009) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
• Calonico S, Cattaneo MD, Titunik R (2014) Robust nonparametric confidence intervals for regression discontinuity designs. Econometrica 82(6):2295–2326.Crossref, Google Scholar
• Calonico S, Cattaneo MD, Farrell MH, Titunik R (2017) Rdrobust: Software for regression-discontinuity designs. Stata J. 17(2):331–367.Crossref, Google Scholar
• Cattaneo MD, Titiunik R, Vazquez-Bare G (2016) Inference in regression discontinuity designs under local randomization. Stata J. 16(2):372–404.Crossref, Google Scholar
• Chen Q, Goldstein I, Jiang W (2010) Payoff complementarities and financial fragility: Evidence from mutual fund outflows. J. Financial Econom. 97(2):239–262.Crossref, Google Scholar
• Christoffersen SEK, Simutin M (2017) On the demand for high-beta stocks: Evidence from mutual funds. Rev. Financial Stud. 30(8):2596–2620.Crossref, Google Scholar
• Diamond DW, Dybvig PH (1983) Bank runs, deposit insurance, and liquidity. J. Political Econom. 91(3):401–419.Crossref, Google Scholar
• Ellsberg D (1961) Risk, ambiguity, and the savage axioms. Quart. J. Econom. 75(4):643–669.Crossref, Google Scholar
• Fama E, French K (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.Crossref, Google Scholar
• Fang VW, Xuan T, Tice S (2014) Does stock liquidity enhance or impede firm innovation? J. Finance 69(5):2085–2125.Crossref, Google Scholar
• Frazzini A, Pedersen LH (2012) Embedded leverage. NBER Working Paper No. 18558, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Frazzini A, Pedersen LH (2014) Betting against beta. J. Financial Econom. 111(1):1–25.Crossref, Google Scholar
• Gao P, Hu A, Kelly P, Peng C, Zhu N (2020) What makes structured products popular? Evidence from China’s structured funds. Working paper, University of Notre Dame, Notre Dame, IN.Google Scholar
• Gelman A, Imbens G (2019) Why high-order polynomials should not be used in regression discontinuity designs. J. Bus. Econom. Statist. 37(3):447–456.Google Scholar
• Gormley TA, Matsa DA (2011) Growing out of trouble corporate responses to liability risk. Rev. Financial Stud. 24(8):2781–2821.Crossref, Google Scholar
• Gorton G, Metrick A (2012) Securitized banking and the run on repo. J. Financial Econom. 104(3):425–451.Crossref, Google Scholar
• Greenwood R, Landier A, Thesmar D (2015) Vulnerable banks. J. Financial Econom. 115(3):471–485.Crossref, Google Scholar
• Hameed A, Kang W, Viswanathan S (2010) Stock market declines and liquidity. J. Finance 65(1):257–293.Crossref, Google Scholar
• He Z, Xiong W (2012) Dynamic debt runs. Rev. Financial Stud. 25(6):1799–1843.Crossref, Google Scholar
• Hong H, Sraer D (2013) Quiet bubbles. J. Financial Econom. 110(3):596–606.Crossref, Google Scholar
• Hu C, Liu Y-J, Zhu N (2019) De-leverage and illiquidity contagion. J. Banking Finance 102:1–18.Crossref, Google Scholar
• Huang RD, Stoll HR (1997) The components of the bid-ask spread: A general approach. Rev. Financial Stud. 10(4):995–1034.Crossref, Google Scholar
• Imbens G, Kalyanaraman K (2012) Optimal bandwidth choice for the regression discontinuity estimator. Rev. Econom. Statist. 79(3):933–959.Crossref, Google Scholar
• Kacperczyk M, Schnabl P (2013) How safe are money market funds? Quart. J. Econom. 128(3):1073–1122.Crossref, Google Scholar
• Kahraman B, Tookes HE (2017) Trader leverage and liquidity. J. Finance 72(4):1567–1610.Crossref, Google Scholar
• Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1336.Crossref, Google Scholar
• Lee DS, Lemieux T (2010) Regression discontinuity designs in economics. J. Econom. Literature 48(2):281–355.Google Scholar
• Roberts MR, Whited TM (2013) Endogeneity in empirical corporate finance. Constantinides G, Stulz R, Harris M, eds. Handbook of the Economics of Finance, vol. 2, Part A, (Elsevier, North-Holland, Amsterdam), 493–572.Google Scholar
• Shleifer A, Vishny R (1992) Liquidation values and debt capacity: A market equilibrium approach. J. Finance 47(4):1343–1366.Crossref, Google Scholar
• Tao J, Wu YY, Zhang JY (2017) The performance of China’s stock market price limits: Noise mitigator or noise maker? China Finance Rev. Internat. 7(1):85–97.Crossref, Google Scholar
• Teo M (2011) The liquidity risk of liquid hedge funds. J. Financial Econom. 100(1):24–44.Crossref, Google Scholar
• Xiong W, Yu J (2011) The Chinese warrants bubble. Amer. Econom. Rev. 101(6):2723–2753.Crossref, Google Scholar