Over nearly a quarter of a century, exchange-traded funds (ETFs) have become one of the
most popular passive investment vehicles among retail and professional investors because …

We survey theoretical developments in the literature on the limits of arbitrage. This literature
investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings …

This paper investigates whether Tether, a digital currency pegged to the US dollar,
influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms …

Abstract The announcement of Timothy Geithner as nominee for Treasury Secretary in
November 2008 produced a cumulative abnormal return for financial firms with which he …

Unprecedented street protests brought down Mubarak's government and ushered in an era
of competition between three rival political groups in Egypt. Using daily variation in the …

We present a model in which fire sales propagate shocks across bank balance sheets.
When a bank experiences a negative shock to its equity, a natural way to return to target …

Due to their low trading costs, exchange‐traded funds (ETFs) are a potential catalyst for
short‐horizon liquidity traders. The liquidity shocks can propagate to the underlying …

The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities
represented an unprecedented intervention in the Treasury market and provides a natural …

ABSTRACT I describe asset price dynamics caused by the slow movement of investment
capital to trading opportunities. The pattern of price responses to supply or demand shocks …

Building on Vijh (Rev. Financial Stud. 7 (1994)), we use additions to the S&P 500 to
distinguish two views of return comovement: the traditional view, which attributes it to …