Leverage and preemptive selling of financial institutions

Journal of Financial Intermediation - Tập 22 - Trang 123-151 - 2013
Antonio E. Bernardo1, Ivo Welch1
1Anderson Graduate School of Management at UCLA, 110 Westwood Plaza (MC 951481), Los Angeles, CA 90095-1482, United States

Tài liệu tham khảo

Acharya, 2011, Rollover risk and market freezes, The Journal of Finance, 66, 1177, 10.1111/j.1540-6261.2011.01669.x Acharya, 2009, Crisis resolution and bank liquidity, Review of Financial Studies, 24, 2166, 10.1093/rfs/hhq073 Acharya, 2008, Cash-in-the-market pricing and optimal resolution of bank failures, Review of Financial Studies, 21, 2705, 10.1093/rfs/hhm078 Acharya, V.V., Mehran, H., Thakor, A., 2010. Caught between Scylla and Charybdis? Regulating Bank Leverage when There is Rent Seeking and Risk Shifting. Tech. Rep., New York University and Federal Reserve Bank and Washington University. Acharya, 2010, Leverage, moral hazard, and liquidity, The Journal of Finance, 66, 99, 10.1111/j.1540-6261.2010.01627.x Allen, 2000, Financial contagion, Journal of Political Economy, 108, 1, 10.1086/262109 Allen, 2004, Financial fragility, liquidity and asset prices, Journal of the European Economic Association, 2, 1015, 10.1162/JEEA.2004.2.6.1015 Bernardo, 2004, Liquidity and financial market runs, Quarterly Journal of Economics, 119, 135, 10.1162/003355304772839542 Bolton, P., Santos, J., Scheinkman, J., 2009. Inside and Outside Liquidity. Tech. Rep., Columbia University, Columbia University, Princeton University. Brunnermeier, 2009, Market liquidity and funding liquidity, Review of Financial Studies, 22, 2201, 10.1093/rfs/hhn098 Brunnermeier, 2005, Predatory trading, The Journal of Finance, 60, 1825, 10.1111/j.1540-6261.2005.00781.x Calomiris, 1991, The role of demandable debt in structuring optimal banking arrangements, American Economic Review, 81, 497 Carlin, 2007, Episodic liquidity crises: cooperative and predatory trading, The Journal of Finance, 62, 2235, 10.1111/j.1540-6261.2007.01274.x Chowdhry, 1998, Leverage and market stability: the role of margin rules and price limits, Journal of Business, 71, 179, 10.1086/209742 DeAngelo, 2006, The irrelevance of the mm dividend irrelevance theorem, Journal of Financial Economics, 79, 293, 10.1016/j.jfineco.2005.03.003 Diamond, 1983, Bank runs, deposit insurance, and liquidity, Journal of Political Economy, 91, 401, 10.1086/261155 Diamond, 2005, Liquidity shortages and banking crises, The Journal of Finance, 60, 10.1111/j.1540-6261.2005.00741.x Diamond, 2011, Fear of fire sales and the credit freeze, Quarterly Journal of Economics, 126, 557, 10.1093/qje/qjr012 Fostel, 2008, Leverage cycles and the anxious economy, American Economic Review, 98, 1211, 10.1257/aer.98.4.1211 Gale, D., Yorulmazer, T., forthcoming. Liquidity hoarding. Theoretical Economics. Gorton, 2004, Liquidity, efficiency and bank bailouts, American Economic Review, 94, 455, 10.1257/0002828041464650 Gromb, 2002, Equilibrium and welfare in markets with financially constrained arbitrageurs, Journal of Financial Economics, 66, 361, 10.1016/S0304-405X(02)00228-3 Kondor, 2009, Risk in dynamic arbitrage: the price effects of convergence trading, The Journal of Finance, 64, 631, 10.1111/j.1540-6261.2009.01445.x Morris, 2004, Liquidity black holes, Review of Finance, 8, 1, 10.1023/B:EUFI.0000022155.98681.25 Oehmke, M., 2009. Gradual Arbitrage. Tech. Rep., Columbia University. Schnabel, 2004, Liquidity and contagion: the crisis of 1763, European Economic Association, 2, 929, 10.1162/1542476042813887 Shleifer, 1992, Liquidation values and debt capacity: a market equilibrium approach, The Journal of Finance, 47, 1343, 10.1111/j.1540-6261.1992.tb04661.x Shleifer, 1997, The limits of arbitrage, The Journal of Finance, 52, 35, 10.1111/j.1540-6261.1997.tb03807.x Xiong, 2001, Convergence trading with wealth effects: an amplification mechanism in financial markets, Journal of Financial Economics, 62, 247, 10.1016/S0304-405X(01)00078-2