Archive of NBER Papers on Market Microstructures
| 2014 | ||
| w20746 |
Benjamin Lester Pierre-Olivier Weill |
Heterogeneity in Decentralized Asset Markets |
| w20588 |
Haoxiang Zhu |
Welfare and Optimal Trading Frequency in Dynamic Double Auctions |
| w20608 |
Guillaume Rocheteau Pierre-Olivier Weill |
Competing for Order Flow in OTC Markets |
| w20516 |
Michael Ostrovsky Mikhail Panov |
Strategic Trading in Informationally Complex Environments |
| w20476 |
Luis Goncalves-Pinto Yanbo Wang Moqi Xu |
Strategic News Releases in Equity Vesting Months |
| w20459 |
Eric Hughson Marc D. Weidenmier |
Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse |
| w20416 |
Andrea L. Eisfeldt Pierre-Olivier Weill |
Entry and Exit in OTC Derivatives Markets |
| w20193 |
Thomas M. Mertens |
Information Aggregation in a DSGE Model |
| w19931 |
Dimitri Vayanos |
Liquidity Risk and the Dynamics of Arbitrage Capital |
| w19898 |
John Whalley |
Are Chinese Markets for Manufactured Products More Competitive than in the US?: A Comparison of China -US Industrial Concentration Ratios |
| 2013 | ||
| w19619 |
Vyacheslav Fos |
Moral Hazard, Informed Trading, and Stock Prices |
| w19564 |
Qinghua Zhang |
Market Thickness and the Impact of Unemployment on Housing Market Outcomes |
| w19531 |
Mehmet Saglam |
High Frequency Traders: Taking Advantage of Speed |
| w19514 |
Martin Oehmke |
Predatory Short Selling |
| w19225 |
Sanjeev Kumar |
Religion and Risky Health Behaviors among U.S. Adolescents and Adults |
| w19037 |
Juan R. A. Bobenrieth Brian D. Wright |
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices. |
| w18980 |
Patrick Bayer |
Endogenous Sources of Volatility in Housing Markets: The Joint Buyer-Seller Problem |
| w18712 |
|
Competition Among the Exchanges before the SEC: Was the NYSE a Natural Hegemon? |
| 2012 | ||
| w18452 |
Vyacheslav Fos |
Do prices reveal the presence of informed trading? |
| w18408 |
Konstantin Milbradt |
Endogenous Liquidity and Defaultable Bonds |
| w18398 |
Martin Oehmke |
Bubbles, Financial Crises, and Systemic Risk |
| w18251 |
Jiang Wang |
Market Liquidity -- Theory and Empirical Evidence |
| w18084 |
Tim Bollerslev Peter F. Christoffersen Francis X. Diebold |
Financial Risk Measurement for Financial Risk Management |
| w18078 |
Francis X. Diebold Frank Schorfheide |
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
| w18022 |
Dale T. Mortensen |
Equilibrium Labor Turnover, Firm Growth and Unemployment |
| w17921 |
Andrei Kirilenko Wei Xiong |
Convective Risk Flows in Commodity Futures Markets |
| 2011 | ||
| w17653 |
|
Evaporating Liquidity |
| w17582 |
Itay Goldstein Wei Jiang |
Feedback Effects and the Limits to Arbitrage |
| w17567 |
Vivian W. Fang Emanuel Zur |
The Effect of Liquidity on Governance |
| w17027 |
Thomas M. Mertens |
The Social Cost of Near-Rational Investment |
| w16818 |
Joseph Farrell |
Freedom to Trade and the Competitive Process |
| w16804 |
Tano Santos Jose A. Scheinkman |
Cream Skimming in Financial Markets |
| w16777 |
Lasse Heje Pedersen |
Margin-Based Asset Pricing and Deviations from the Law of One Price |
| w16784 |
Christopher Geissler Kyle Mangum James W. Roberts |
Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market |
| w16743 |
Kathryn Graddy |
Sale Rates and Price Movements in Art Auctions |
| 2010 | ||
| w16628 |
Johan Hombert Pierre-Olivier Weill |
Trading and Liquidity with Limited Cognition |
| w16601 |
Lasse H. Pedersen |
Betting Against Beta |
| w16485 |
Peter M. DeMarzo Ilan Kremer |
Endogenous Information Flows and the Clustering of Announcements |
| w16394 |
Yakov Amihud Sreedhar T. Bharath |
Liquidity Risk of Corporate Bond Returns: A Conditional Approach |
| w16395 |
Ouarda Merrouche |
Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis |
| w16282 |
Andrea S. Au Thomas R. Covert Parag A. Pathak |
The Market for Borrowing Corporate Bonds |
| w16230 |
Joshua D. Gottlieb Joseph Gyourko |
Can Cheap Credit Explain the Housing Boom? |
| w16080 |
Ali Shourideh Ariel Zetlin-Jones |
Adverse Selection, Reputation and Sudden Collapses in Secondary Loan Markets |
| w15878 |
|
Why Do Inventories Rise When Demand Falls in Housing and Other Markets? |
| w15808 |
Jean Jacod |
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data |
| w15653 |
Wei Xiong |
Rollover Risk and Credit Risk |
| 2009 | ||
| w15414 |
Guillaume Rocheteau Pierre-Olivier Weill |
Crises and Liquidity in Over-the-Counter Markets |
| w15336 |
Philip E. Strahan |
Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy |
| w15297 |
|
When Everyone Runs for the Exit |
| w15215 |
Jiang Wang |
Liquidity and Asset Prices: A Unified Framework |
| w15242 |
Asim Ijaz Khwaja Erzo F.P. Luttmer Kelly Shue |
Screening Peers Softly: Inferring the Quality of Small Borrowers |
| w15254 |
Pierre-Olivier Weill |
Aggregate Implications of Micro Asset Market Segmentation |
| w15009 |
Pierre-Olivier Weill |
Liquidity Shocks and Order Book Dynamics |
| w15020 |
Takatoshi Ito |
Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture |
| w14903 |
Clemens Sialm Hanjiang Zhang |
Risk Shifting and Mutual Fund Performance |
| 2008 | ||
| w14612 |
|
Deciphering the Liquidity and Credit Crunch 2007-08 |
| w14465 |
Andrew W. Lo |
What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data |
| w14390 |
Eric van Wincoop |
International Capital Flows under Dispersed Information: Theory and Evidence |
| w14158 |
Rebecca Oman Christopher Safaya |
Short Sales and Trade Classification Algorithms |
| w14107 |
Gary Richardson |
Making Property Productive: Reorganizing Rights to Real and Equitable Estates in Britain, 1660 to 1830 |
| w14058 |
Jiang Wang |
Market Liquidity, Asset Prices and Welfare |
| w13848 |
|
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk |
| w13825 |
Jialin Yu |
High Frequency Market Microstructure Noise Estimates and Liquidity Measures |
| 2007 | ||
| w13625 |
Pengjie Gao Ravi Jagannathan |
When Does a Mutual Fund's Trade Reveal its Skill? |
| w13530 |
|
What Have We Learned From Market Design? |
| w13445 |
Richard J. Zeckhauser |
Custom Made Versus Ready to Wear Treatments; Behavioral Propensities in Physician's Choices |
| w13225 |
|
Deferred Acceptance Algorithms: History, Theory, Practice, and Open Questions |
| w12933 |
|
The Crash of 1882, Counterparty Risk, and the Bailout of the Paris Bourse |
| w12939 |
Lasse Heje Pedersen |
Market Liquidity and Funding Liquidity |
| w12887 |
Lasse H. Pedersen |
Liquidity and Risk Management |
| w12877 |
Lasse Heje Pedersen Todd Pulvino |
Slow Moving Capital |
| 2006 | ||
| w12661 |
|
Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange |
| w12020 |
Nicolae Garleanu Lasse Heje Pedersen |
Valuation in Over-the-Counter Markets |
| 2005 | ||
| w11843 |
Lasse Heje Pedersen Allen M. Poteshman |
Demand-Based Option Pricing |
| w11722 |
Parameswaran Gopikrishnan Vasiliki Plerou H. Eugene Stanley |
Institutional Investors and Stock Market Volatility |
| w11556 |
Larry Neal Eugene N. White |
The Highest Price Ever: The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints |
| w11116 |
Samita Sareen |
Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions |
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