Marti G. Subrahmanyam

New York University (NYU) - Leonard N. Stern School of Business

44 West 4th Street

Suite 9-160

New York, NY NY 10012

United States

SCHOLARLY PAPERS

114

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516

CROSSREF CITATIONS

861

Scholarly Papers (114)

1.
Downloads 5,832 ( 1,789)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,832 (1,870)

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non-standard errors, multi-analyst approach, liquidity

2.

Informed Options Trading Prior to M&A Announcements: Insider Trading?

Number of pages: 48 Posted: 26 May 2014 Last Revised: 27 Oct 2015
Patrick Augustin, Patrick Augustin, Menachem Brenner and Marti G. Subrahmanyam
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 2,058 (10,837)
Citation 39

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Asymmetric Information, Civil Litigations, Insider Trading, Mergers and Acquisitions, Market Microstructure, Equity Options, SEC

An Analytical Approach to the Valuation of American Path-Dependent Options

Salomon Center WP S-96-42
Number of pages: 43 Posted: 23 Jan 1997
Jing-Zhi Huang, Bin Gao and Marti G. Subrahmanyam
Pennsylvania State University - University Park - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,733 (14,017)
Citation 2

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An Analytic Approach to the Valuation of American Path Dependent Options

NYU Working Paper No. FIN-96-015
Number of pages: 47 Posted: 07 Nov 2008
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 91 (388,754)

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4.

Credit Default Swaps – A Survey

Foundations and Trends® in Finance: Vol. 9: No. 1–2, pp 1-196
Number of pages: 199 Posted: 03 Dec 2014 Last Revised: 13 Jan 2015
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 1,425 (19,185)
Citation 14

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Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

Number of pages: 40 Posted: 16 Jun 2009 Last Revised: 17 Mar 2010
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 791 (43,995)
Citation 13

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Liquidity, Corporate Bonds, Financial Crises, OTC Markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

NYU Working Paper No. FIN-09-009
Number of pages: 40 Posted: 08 Sep 2009 Last Revised: 16 Mar 2010
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 194 (217,749)
Citation 19

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liquidity, corporate bonds, financial crises, OTC markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises

NYU Working Paper No. FIN-11-043
Number of pages: 40 Posted: 13 Jan 2012
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 164 (251,902)

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Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

NYU Working Paper No. 2451/31421
Number of pages: 52 Posted: 13 Jan 2012 Last Revised: 10 Sep 2013
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 339 (124,975)

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Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

Number of pages: 67 Posted: 24 Dec 2011 Last Revised: 24 Feb 2012
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 316 (134,526)
Citation 39

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Credit default swap, bankruptcy risk, empty creditor, restructuring

7.
Downloads 1,097 ( 28,259)
Citation 6

The Manipulation Potential of Libor and Euribor

Number of pages: 55 Posted: 15 Jan 2013 Last Revised: 12 Nov 2014
Alexander Eisl, Alexander Eisl, Rainer Jankowitsch and Marti G. Subrahmanyam
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,096 (27,863)
Citation 2

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money markets, Libor, Euribor, manipulation, collusion

The Manipulation Potential of Libor and Euribor

European Financial Management, Vol. 23, Issue 4, pp. 604-647, 2017
Number of pages: 44 Posted: 02 Oct 2017
Alexander Eisl, Alexander Eisl, Rainer Jankowitsch and Marti G. Subrahmanyam
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1 (933,997)
Citation 4

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money markets, Libor, Euribor, manipulation, collusion

Price Dispersion in OTC Markets: A New Measure of Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 36 Posted: 04 Mar 2008 Last Revised: 10 Apr 2008
Rainer Jankowitsch, Amrut J. Nashikkar and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 884 (37,883)
Citation 35

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liquidity, corporate bonds, market microstructure, OTC markets

Price Dispersion in OTC Markets: A New Measure of Liquidity

NYU Working Paper No. FIN-08-013
Number of pages: 38 Posted: 09 Mar 2009
Marti G. Subrahmanyam, Amrut J. Nashikkar and Rainer Jankowitsch
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and WU (Vienna University of Economics and Business)
Downloads 176 (238,299)
Citation 7

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9.

Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets

Number of pages: 46 Posted: 20 Jun 2002
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,060 (29,687)
Citation 8

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Interest rate options, interest rate caps/floors, term structure of interest rates, hedging

10.

Informed Options Strategies before Corporate Events

CFS Working Paper, No. 541, Journal of Financial Markets, Forthcoming, LawFin Working Paper No. 39
Number of pages: 72 Posted: 09 Oct 2016 Last Revised: 07 Jul 2022
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal, HEC Montréal and New York University (NYU) - Leonard N. Stern School of Business
Downloads 985 (32,927)
Citation 3

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corporate announcements, derivatives, event studies, insider trading, market microstructure

11.
Downloads 976 ( 33,375)
Citation 2

The Term Structure of Interest-Rate Futures Prices

EFA 2001 Barcelona Meetings
Number of pages: 68 Posted: 13 Dec 1999
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 857 (39,489)
Citation 2

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The Term Structure of Interest-Rate Futures Prices.

NYU Working Paper No. S-DRP-01-11
Number of pages: 45 Posted: 07 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 67 (464,389)

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The Term Structure of Interest-Rate Futures Prices

NYU Working Paper No. FIN-01-040
Number of pages: 45 Posted: 03 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 52 (525,605)

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Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

Number of pages: 46 Posted: 30 Mar 2000
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 797 (43,558)
Citation 7

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Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

NYU Working Paper No. FIN-99-048
Number of pages: 46 Posted: 11 Nov 2008
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 84 (408,498)

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Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

NYU Working Paper No. FIN-01-043
Number of pages: 46 Posted: 03 Nov 2008
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 50 (534,946)

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13.

Liquidity Effect in OTC Options Markets: Premium or Discount?

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 05 Dec 2005 Last Revised: 20 Aug 2010
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 910 (36,858)
Citation 3

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Liquidity, interest rate options, euro interest rate markets, Euribor market, OTC options markets

14.
Downloads 894 ( 37,787)
Citation 4

Financial Markets and the Macro Economy

AFA 2007 Chicago Meetings Paper
Number of pages: 49 Posted: 04 Mar 2005
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 661 (55,811)
Citation 6

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Volatility, comovement, information, market efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. FIN-05-003
Number of pages: 49 Posted: 03 Nov 2008
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Leonard N. Stern School of Business
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Volatility, Comovement, Information, Market Efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. SC-AM-05-03
Number of pages: 49 Posted: 04 Nov 2008
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 88 (397,025)

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An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

Number of pages: 46 Posted: 19 Mar 2001
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 440 (92,685)
Citation 5

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An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. FIN-00-010
Number of pages: 49 Posted: 03 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 302 (141,184)

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Interest rate options, interest rate caps/floors, term structure of interest rates

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. S-DRP-01-18
Number of pages: 49 Posted: 07 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 83 (411,405)

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Interest rate options, interest rate caps/floors, term structure of interest rates

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets

NYU Working Paper No. FIN-01-044
Number of pages: 49 Posted: 03 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 64 (475,530)

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Interest rate options, interest rate caps/floors, term structure of interest rates

16.

In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 29 May 2020 Last Revised: 11 Aug 2021
McGill UniversityMcGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and Darden School of Business
Downloads 870 (39,241)
Citation 9

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COVID-19, coronavirus, credit risk, debt, fiscal capacity, pandemic, sovereign

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

Number of pages: 50 Posted: 04 Jul 2001
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 703 (51,518)
Citation 3

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The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. S-DRP-01-14
Number of pages: 51 Posted: 07 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 125 (312,771)

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The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. FIN-01-041
Number of pages: 51 Posted: 03 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 39 (591,613)

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Margin Rules, Informed Trading in Derivatives, and Price Dynamics

Number of pages: 33 Posted: 07 Aug 2003
Kose John, Apoorva Koticha, Marti G. Subrahmanyam and Ranga Narayanan
New York University (NYU) - Department of Finance, Northeastern University, New York University (NYU) - Leonard N. Stern School of Business and Case Western Reserve University - Weatherhead School of Management
Downloads 710 (50,820)
Citation 1

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Margin Rules, Informed Trading in Derivatives and Price Dynamics

NYU Working Paper No. FIN-99-047
Number of pages: 33 Posted: 11 Nov 2008
Kose John, Apoorva Koticha, Ranga Narayanan and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, Northeastern University, Case Western Reserve University - Weatherhead School of Management and New York University (NYU) - Leonard N. Stern School of Business
Downloads 45 (559,389)
Citation 1

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Margin Rules, Informed Trading in Derivatives, and Price Dynamics

NYU Working Paper No. S-DRP-01-05
Number of pages: 33 Posted: 07 Nov 2008
Kose John, Apoorva Koticha, Ranga Narayanan and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, Northeastern University, Case Western Reserve University - Weatherhead School of Management and New York University (NYU) - Leonard N. Stern School of Business
Downloads 36 (609,061)
Citation 1

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19.

The Determinants of Recovery Rates in the US Corporate Bond Market

Journal of Financial Economics 114 (1): 155-177
Number of pages: 47 Posted: 04 Sep 2012 Last Revised: 17 Sep 2014
Rainer Jankowitsch, Florian Nagler and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Bocconi University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 795 (44,305)
Citation 28

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credit risk, recovery rate, corporate bonds, liquidity

20.
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Citation 6

Credit Risk and the Yen Interest Rate Swap Market

Number of pages: 43 Posted: 19 May 2000
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 581 (65,881)
Citation 9

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Credit Risk and the Yen Interest Rate Swap Market

NYU Working Paper No. S-DRP-01-08
Number of pages: 43 Posted: 07 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University (NYU) - Leonard N. Stern School of Business and Waseda University
Downloads 78 (426,922)

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Credit Risk, Japanese Government Bonds Market, Swap Pricing

Credit Risk and the Yen Interest Rate Swap Market

NYU Working Paper No. S-CDM-01-08
Number of pages: 43 Posted: 05 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University (NYU) - Leonard N. Stern School of Business and Waseda University
Downloads 63 (479,395)

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Credit Risk, Japenese Goverment Bonds Market, Swap Pricing

Credit Risk and the Yen Interest Rate Swap Market

NYU Working Paper No. FIN-01-042
Number of pages: 43 Posted: 03 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University (NYU) - Leonard N. Stern School of Business and Waseda University
Downloads 49 (539,599)

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Credit Risk, Japanase Government Bonds market, Swap Pricing

21.

A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 24 May 2006
Justin S. P. Chan, Dong Hong and Marti G. Subrahmanyam
Independent, Singapore Management University - Lee Kong Chian School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 630 (60,131)

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American Depositary Receipts (ADRs), dual listing, liquidity, turnover, premium

Latent Liquidity and Corporate Bond Yield Spreads

NYU Working Paper No. FIN-07-013
Number of pages: 49 Posted: 03 Nov 2008
Amrut J. Nashikkar and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 462 (87,568)

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Corporate Bonds, Credit Risk, Credit Default Swaps, Basis, Liquidity, Latent Liquidity

Latent Liquidity and Corporate Bond Yield Spreads

NYU Working Paper No. FIN-06-023
Number of pages: 47 Posted: 03 Nov 2008
Amrut J. Nashikkar and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 148 (274,394)

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Market Incompleteness and Super Value Additivity: Implications for Securitization

Number of pages: 49 Posted: 07 Dec 2003
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business
Downloads 511 (77,454)
Citation 7

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Incomplete Markets, Valuation and Spanning, Securitization

Market Incompleteness and Super Value Additivity: Implications for Securitization

NYU Working Paper No. OM-2005-07
Number of pages: 49 Posted: 03 Nov 2008
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business
Downloads 57 (503,670)

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24.

The Valuation of American-Style Swaptions in a Two-Factor Spot Futures Model

Number of pages: 40 Posted: 15 Jan 2000
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 538 (73,441)
Citation 5

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25.

The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

Number of pages: 25 Posted: 18 Jan 2002
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 530 (74,796)
Citation 1

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interest rate swaps, interest rate swap spreads, relative value, international linkages, credit risk

26.

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

Journal of Financial Economics (JFE), Vol. 122, No. 1, 2016
Number of pages: 66 Posted: 01 Apr 2015 Last Revised: 11 Aug 2021
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Darden School of Business and Waseda University
Downloads 512 (78,061)
Citation 8

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Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market

27.

Attention Triggers and Investors' Risk-Taking

Journal of Financial Economics, DOI: 10.1016/j.jfineco.2021.05.031, ADB-IGF Special Working Paper Series “Fintech to Enable Development, Investment, Financial Inclusion, and Sustainability”
Number of pages: 69 Posted: 20 Jul 2020 Last Revised: 27 May 2021
Marc Arnold, Matthias Pelster and Marti G. Subrahmanyam
University of St. Gallen - School of Finance, Paderborn University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 501 (80,168)
Citation 4

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Investor Attention, Trading Behavior, Risk-Taking

28.

Transparency and Liquidity in the Structured Product Market

Number of pages: 50 Posted: 01 Sep 2012 Last Revised: 05 Nov 2014
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 487 (82,904)
Citation 16

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liquidity, structured products, OTC markets, transparency, TRACE

Credit Default Swaps Around the World: Investment and Financing Effects

Review of Financial Studies, forthcoming., WBS Finance Group Research Paper No. 248
Number of pages: 74 Posted: 22 Apr 2018 Last Revised: 30 Aug 2021
University of Warwick, University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School, Seoul National University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 397 (104,450)
Citation 4

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Credit default swaps, CDS, investment policy, financing policy, creditor rights, property rights, private credit, ownership concentration

Credit Default Swaps Around the World: Investment and Financing Effects

Review of Financial Studies, forthcoming., WBS Finance Group Research Paper No. 253, Kenan Institute of Private Enterprise Research Paper No. 18-21
Number of pages: 74 Posted: 28 Aug 2018 Last Revised: 30 Aug 2021
University of Warwick, University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School, Seoul National University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 79 (423,655)
Citation 7

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Credit Default Swaps, Cds, Investment Policy, Financing Policy, Creditor Rights, Property Rights, Private Credit, Ownership Concentration

Coupon Effects and the Pricing of Japanese Government Bonds an Empirical Analysis

Number of pages: 31 Posted: 13 Oct 1998
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 385 (108,296)
Citation 1

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Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis

NYU Working Paper No. FIN-98-078
Number of pages: 44 Posted: 11 Nov 2008
Young Ho Eom, Marti G. Subrahmanyam and Jun Uno
Yonsei University, New York University (NYU) - Leonard N. Stern School of Business and Waseda University
Downloads 83 (411,405)

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Japanese Government Bond Market, Accounting and Tax Effects, Term Structure

Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis

Posted: 21 Oct 1998
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University (NYU) - Leonard N. Stern School of Business

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31.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 41 Posted: 11 Feb 2015 Last Revised: 26 Feb 2020
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 450 (91,099)
Citation 6

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Capital Structure, Derivatives, Options, SEC

The Structure and Formation of Business Groups: Evidence from Korean Chaebols

NYU Working Paper No. FIN-08-012
Number of pages: 57 Posted: 09 Mar 2009 Last Revised: 15 Sep 2011
Heitor Almeida, Sang Yong Park, Marti G. Subrahmanyam and Daniel Wolfenzon
University of Illinois at Urbana-Champaign, Yonsei University, New York University (NYU) - Leonard N. Stern School of Business and Columbia University - Columbia Business School, Finance
Downloads 401 (103,231)
Citation 13

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Business groups, family firms, firm performance, pyramids, cross-shareholdings, parent company discount

The Structure and Formation of Business Groups: Evidence from Korean Chaebols

NBER Working Paper No. w14983
Number of pages: 48 Posted: 26 May 2009 Last Revised: 11 Jun 2022
Heitor Almeida, Sang Yong Park, Marti G. Subrahmanyam and Daniel Wolfenzon
University of Illinois at Urbana-Champaign, Yonsei University, New York University (NYU) - Leonard N. Stern School of Business and Columbia University - Columbia Business School, Finance
Downloads 40 (586,112)

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The Economic Determinants of Interest Rate Option Smiles

Number of pages: 33 Posted: 12 Apr 2007
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 356 (118,253)

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Volatility smiles, interest rate options, euro interest rate markets, Euribor market

The Economic Determinants of Interest Rate Option Smiles

NYU Working Paper No. FIN-07-016
Number of pages: 15 Posted: 03 Nov 2008
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 84 (408,498)
Citation 2

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34.

Regulation, Asset Complexity, and the Informativeness of Credit Ratings

Number of pages: 55 Posted: 19 Nov 2015 Last Revised: 09 Mar 2022
Rainer Jankowitsch, Giorgio Ottonello and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Nova School of Business and Economics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 424 (97,622)

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ratings, regulation, asset complexity, corporate bonds, information costs

35.

Central Bank-Driven Mispricing

SAFE Working Paper No. 226
Number of pages: 80 Posted: 27 Aug 2018 Last Revised: 10 Jul 2022
Loriana Pelizzon, Marti G. Subrahmanyam and Davide Tomio
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business and Darden School of Business
Downloads 422 (98,133)
Citation 6

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Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage

36.

The Transmission of Swap Spreads and Volatilities in the International Swap Markets

Number of pages: 37 Posted: 02 Mar 2002
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 387 (108,469)
Citation 3

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Interest Rate Swaps, Interest Rate Swap Spreads, Volatility of Swap Spreads, Credit Risk, Transmission of Swap Spreads

37.
Downloads 385 (109,149)
Citation 12

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 385 (108,296)
Citation 12

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agency conflicts, asset pricing, CDS, credit risk, derivatives, market structure, sovereign debt

Credit Default Swaps: Past, Present, and Future

Annual Review of Financial Economics, Vol. 8, pp. 175-196, 2016
Posted: 18 Nov 2016
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

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Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

AFA 2011 Denver Meetings Paper
Number of pages: 67 Posted: 26 Mar 2010 Last Revised: 08 Aug 2012
Marti G. Subrahmanyam, Vijaya B. Marisetty and V. Ravi Anshuman
New York University (NYU) - Leonard N. Stern School of Business, RMIT University and Indian Institute of Management Bangalore
Downloads 254 (168,514)
Citation 1

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Private Placement, Preferential Allotment, Business Groups, Underinvestment

Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

Number of pages: 67 Posted: 14 Nov 2010 Last Revised: 08 Aug 2012
V. Ravi Anshuman, Vijaya B. Marisetty and Marti G. Subrahmanyam
Indian Institute of Management Bangalore, RMIT University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 76 (433,412)

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Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

Number of pages: 59 Posted: 25 Nov 2010
V. Ravi Anshuman, Vijaya B. Marisetty and Marti G. Subrahmanyam
Indian Institute of Management Bangalore, RMIT University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 37 (603,085)

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39.

High Frequency Traders without Trading: Price Discovery and Liquidity Provision in the Pre-Opening Period

SAFE Working Paper No. 144
Number of pages: 73 Posted: 21 Sep 2016 Last Revised: 23 Mar 2022
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 349 (121,700)
Citation 2

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: High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

NYU Working Paper No. S-DRP-05-08
Number of pages: 60 Posted: 05 Nov 2008
George Chacko, Sriketan Mahanti, Gaurav Mallik and Marti G. Subrahmanyam
Santa Clara University - Finance Department, State Street Global Markets, State Street Global Markets and New York University (NYU) - Leonard N. Stern School of Business
Downloads 222 (192,044)

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The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

NYU Working Paper No. FIN-05-037
Number of pages: 60 Posted: 03 Nov 2008
George Chacko, Sriketan Mahanti, Gaurav Malik and Marti G. Subrahmanyam
Santa Clara University - Finance Department, State Street Global Markets, affiliation not provided to SSRN and New York University (NYU) - Leonard N. Stern School of Business
Downloads 126 (312,771)

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41.
Downloads 338 (126,061)
Citation 19

When Does Strategic Debt-Service Matter?

Number of pages: 45 Posted: 27 May 2002
New York University (NYU) - Department of Finance, ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 259 (165,321)
Citation 2

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strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management

When Does Strategic Debt Service Matter?

NYU Working Paper No. FIN-02-013
Number of pages: 45 Posted: 03 Nov 2008
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 37 (603,085)

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When Does Strategic Debt-Service Matter?

Number of pages: 47 Posted: 13 Nov 2002
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
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Citation 1
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Strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management

When Does Strategic Debt Service Matter?

NYU Working Paper No. S-CDM-02-03
Number of pages: 45 Posted: 05 Nov 2008
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
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When Does Strategic Debt Service Matter?

Economic Theory, pp. 1-16, April 2006
Posted: 09 May 2006
ProfessorNew York University - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance

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Strategic debt-service, optimal cash management, liquidity defaults, strategic defaults, yield spreads

42.
Downloads 328 (130,173)
Citation 4

Security Design with Status Concerns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 51 Posted: 29 Jan 2015 Last Revised: 20 Aug 2020
Suleyman Basak, Dmitry Makarov, Alex Shapiro and Marti G. Subrahmanyam
London Business School, HSE University, International College of Economics and Finance (ICEF), New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 326 (130,256)
Citation 3

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Security Design, Status Concerns, Convertible Securities, Financing, Hybrid Securities

Security Design with Status Concerns

CEPR Discussion Paper No. DP15193
Number of pages: 54 Posted: 12 Sep 2020
Suleyman Basak, Dmitry Makarov, Alex Shapiro and Marti G. Subrahmanyam
London Business School, HSE University, International College of Economics and Finance (ICEF), New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
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Convertible Securities, Financing, hybrid securities, security design, Status concerns

43.

How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities

CFS Working Paper No. 540
Number of pages: 86 Posted: 09 Oct 2016 Last Revised: 08 Jun 2021
McGill UniversityMcGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and Darden School of Business
Downloads 320 (133,497)
Citation 5

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credit default swaps, credit risk, debt, demand and supply, OTC

44.

Sourcing for Online Marketplaces with Demand and Price Uncertainty

Number of pages: 39 Posted: 22 Oct 2015 Last Revised: 23 Jun 2022
Vishal Gaur, Nikolay Osadchiy, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, Emory University - Goizueta Business School, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business
Downloads 316 (135,259)
Citation 1

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Supply chain management, Stochastic inventory theory, Optimal stopping.

45.

Credit Default Swaps and Corporate Cash Holdings

Number of pages: 50 Posted: 11 Jun 2014 Last Revised: 10 Jan 2015
Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 314 (136,149)
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An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

NYU Working Paper No. FIN-99-001
Number of pages: 44 Posted: 04 Nov 2008
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 197 (214,750)
Citation 4

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An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

NYU Working Paper No. FIN-98-068
Number of pages: 66 Posted: 11 Nov 2008
Marti G. Subrahmanyam
New York University (NYU) - Leonard N. Stern School of Business
Downloads 117 (328,194)

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An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Posted: 15 Oct 1998
Anurag Gupta and Marti G. Subrahmanyam
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business

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47.

Limited Arbitrage and Liquidity in the Market for Credit Risk

NYU Working Paper No. FIN-08-011
Number of pages: 49 Posted: 09 Mar 2009
Marti G. Subrahmanyam, Amrut J. Nashikkar and Sriketan Mahanti
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and State Street Global Markets
Downloads 310 (138,045)
Citation 6

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Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 03 Nov 2008
Vijaya B. Marisetty and Marti G. Subrahmanyam
RMIT University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 171 (243,132)

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Initial Public Offering (IPO), Underpricing, Business Groups, Certification

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 03 Nov 2008
Vijaya B. Marisetty and Marti G. Subrahmanyam
RMIT University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 133 (298,371)
Citation 1

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Initial Public Offering (IPO), Underpricing, Business Groups, Certification

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

Indian Institute of Capital Markets 9th Capital Markets Conference Paper
Posted: 17 Jan 2006
Vijaya B. Marisetty and Marti G. Subrahmanyam
RMIT University and New York University (NYU) - Leonard N. Stern School of Business

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Initial Public Offering (IPO), underpricing, business groups, certification, tunneling

Securitization and Real Investment in Incomplete Markets

McCombs Research Paper Series No. IROM-09-09, Johnson School Research Paper Series No. #17-09
Number of pages: 54 Posted: 23 Jan 2009 Last Revised: 14 Apr 2009
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business
Downloads 158 (260,056)
Citation 3

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Securitization and Real Investment in Incomplete Markets

NYU Working Paper No. FIN-09-010
Number of pages: 50 Posted: 08 Sep 2009
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business
Downloads 130 (303,666)

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The Valuation of American Barrier Options Using the Decomposition Technique

NYU Working Paper No. FIN-99-002
Number of pages: 47 Posted: 07 Nov 2008
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 199 (212,766)
Citation 2

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The Valuation of American Barrier Options Using the Decomposition Technique

NYU Working Paper No. FIN-98-067
Number of pages: 44 Posted: 11 Nov 2008
Marti G. Subrahmanyam and Jing-Zhi Huang
New York University (NYU) - Leonard N. Stern School of Business and Pennsylvania State University - University Park - Department of Finance
Downloads 78 (426,922)

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The Valuation of American Barrier Options Using The Decomposition Technique

Posted: 08 Feb 2001
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business

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51.

Collateral Eligibility of Corporate Debt in the Eurosystem

SAFE Working Paper No. 275, NYU Stern School of Business
Number of pages: 101 Posted: 27 Apr 2020 Last Revised: 12 Nov 2020
Loriana Pelizzon, Max Riedel, Zorka Simon and Marti G. Subrahmanyam
Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE and New York University (NYU) - Leonard N. Stern School of Business
Downloads 274 (156,702)
Citation 2

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Collateral Policy, ECB, Corporate Bonds, Eligibility premium

52.

Liquidity and Asset Prices in Multiple Markets

NYU Working Paper No. FIN-05-006
Number of pages: 49 Posted: 03 Nov 2008
Justin S. P. Chan and Marti G. Subrahmanyam
Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 274 (156,702)

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American Depositary Receipts (ADRs), dual listing, liquidity, turnover

53.

What Drives Liquidity in the Chinese Credit Bond Markets?

NYU Stern School of Business
Number of pages: 70 Posted: 14 Feb 2020 Last Revised: 01 Apr 2020
Jingyuan Mo and Marti G. Subrahmanyam
New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 272 (157,942)
Citation 2

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credit bonds; yield spread; liquidity effects; policy shocks; China

54.

Latent Liquidity: A New Measure of Liquidity, with an Application Corporate Bonds

NYU Working Paper No. FIN-07-012
Number of pages: 29 Posted: 03 Nov 2008
affiliation not provided to SSRN, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Finance Department and State Street Global Markets
Downloads 259 (165,936)
Citation 2

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Fixed Income, Corporate Bonds, Liquidity, Asset Pricing, Market Microstructure

55.

Market Liquidity and Competition among Designated Market Makers

SAFE Working Paper No. 247, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, NYU Stern School of Business
Number of pages: 112 Posted: 18 Apr 2019 Last Revised: 27 Jul 2022
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business and Norwegian School of Economics (NHH) - Department of Finance
Downloads 254 (169,121)
Citation 1

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Designated Market Makers (DMMs), Liquidity Provision

56.

The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy

SAFE Working Paper No. 285, 2020, NYU Stern School of Business
Number of pages: 34 Posted: 13 Aug 2020 Last Revised: 29 Oct 2020
Bocconi University - Department of Finance, CSEF - University of Naples Federico II - Department of Economic and Statistical Sciences, University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
Downloads 233 (183,736)
Citation 1

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COVID-19, pandemics, losses, distress, equity, recapitalization

57.
Downloads 233 (183,736)
Citation 2

Coming Early to the Party

SAFE Working Paper No. 182
Number of pages: 65 Posted: 20 Sep 2017
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 188 (223,842)
Citation 3

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High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery

Coming Early to the Party

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2020 , NYU Stern School of Business
Number of pages: 63 Posted: 18 Jun 2020
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 45 (559,389)

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High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 09 Mar 2009
Marti G. Subrahmanyam and Vijaya B. Marisetty
New York University (NYU) - Leonard N. Stern School of Business and RMIT University
Downloads 119 (324,258)
Citation 3

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Initial Public Offering (IPO), Underpricing, Business Groups, Certification

Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market

NYU Working Paper No. 2451/26384
Number of pages: 63 Posted: 03 Nov 2008
Marti G. Subrahmanyam and Vijaya B. Marisetty
New York University (NYU) - Leonard N. Stern School of Business and RMIT University
Downloads 72 (446,628)

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Initial Public Offering (IPO), Underpricing, Business Groups, Certification

59.

Illiquidity or Credit Deterioration: A Study of Liquidity in the Us Corporate Bond Market During

NYU Working Paper No. 2451/31418
Number of pages: 40 Posted: 26 Jun 2013
Marti G. Subrahmanyam, Rainer Jankowitsch and Nils Friewald
New York University (NYU) - Leonard N. Stern School of Business, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 181 (231,400)

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. S-AM-00-04
Number of pages: 37 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Marti G. Subrahmanyam
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 106 (351,828)

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University
Downloads 73 (443,249)

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61.

Why Do Interest Rate Options Smile?

NYU Working Paper No. FIN-06-029
Number of pages: 50 Posted: 03 Nov 2008
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 171 (242,832)

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62.

Can Central Banks Boost Corporate Investment? Evidence from the ECB Liquidity Injections

Number of pages: 60 Posted: 13 Feb 2017 Last Revised: 28 Nov 2018
Copenhagen Business School, New York University (NYU) - Leonard N. Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 165 (250,178)
Citation 13

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63.

Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate Bonds

NYU Working Paper No. FIN-06-024
Number of pages: 54 Posted: 03 Nov 2008
State Street Global Markets, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Finance Department and State Street Global Markets
Downloads 161 (255,480)
Citation 7

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Scarcity and Spotlight Effects on Liquidity: Quantitative Easing in Japan

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 47 Posted: 23 Jan 2018 Last Revised: 18 Apr 2018
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 84 (408,498)
Citation 7

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Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 04 Jun 2017
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 75 (436,579)
Citation 1

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Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

65.

Interest Rate Option Markets: The Role of Liquidity in Volatility Smiles

NYU Working Paper No. S-DRP-04-03
Number of pages: 52 Posted: 05 Nov 2008
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 143 (281,039)

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Volatility smiles, liquidity, interest rate options, euro interestrate markets, Euribor market

66.

Clientele Effect in Sovereign Bonds: Evidence from Malaysia

Chen, Minxia, and Joseph Cherian and Ziyun Li and Yuping Shao and Marti G. Subramanyam, Clientele Effect in Sovereign Bonds: Evidence from Malaysia.
Number of pages: 97 Posted: 26 Jun 2018 Last Revised: 13 Apr 2022
Minxia Chen, Joseph Cherian, Ziyun Li, Yuping Shao and Marti G. Subrahmanyam
INSEAD - Finance, Students, Asia School of Business, Singapore Exchange Ltd., National University of Singapore (NUS) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 139 (287,343)

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clientele effect, liquidity, credit risk, sovereign Sukuk, Islamic sovereign bond, con- ventional sovereign bond, Ramadan, sovereign repo market

67.

Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

NYU Working Paper No. FIN-94-037
Number of pages: 35 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 131 (300,656)
Citation 1

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Correlation Risk, Derivatives, Portfolio Performance, Exchange Risk

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

NYU Working Paper No. FIN-98-070
Number of pages: 40 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Sandra Peterson and Richard C. Stapleton
New York University (NYU) - Leonard N. Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 123 (316,627)

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An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

Posted: 15 Oct 1998
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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Pricing and Hedging American Options: A Recursive Integration Method

NYU Working Paper No. FIN-95-025
Number of pages: 32 Posted: 11 Nov 2008
Jing-Zhi Huang, Marti G. Subrahmanyam and George C Yu
Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and O'Melveny & Myers LLP
Downloads 115 (332,246)
Citation 24

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Pricing and Hedging American Options: A Recursive Integration Method

REVIEW OF FINANCIAL STUDIES, Vol 9 No. 1
Posted: 20 Jul 1998
Jing-Zhi Huang and Marti G. Subrahmanyam
Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business

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70.

Credit Default Swaps, Exacting Creditors and Corporate Liquidity Management

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 20/2016
Number of pages: 57 Posted: 02 Feb 2017
Marti G. Subrahmanyam, Sarah Qian Wang and Dragon Yongjun Tang
New York University (NYU) - Leonard N. Stern School of Business, University of Warwick - Warwick Business School and The University of Hong Kong - Faculty of Business and Economics
Downloads 108 (345,092)
Citation 19

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Credit default swaps, Cash, Liquidity, Empty creditors

71.

The Term Structure of Interest-Rate Future Prices

NYU Working Paper No. FIN-99-045
Number of pages: 51 Posted: 11 Nov 2008
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 102 (358,504)

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72.

The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

Number of pages: 25 Posted: 17 Mar 2001
Young Ho Eom, Jun Uno and Marti G. Subrahmanyam
Yonsei University, Waseda University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 100

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interest rate swaps, interest rate swap spreads, relative value, international linkages, credit risk

Credit Default Swaps Around the World

Review of Financial Studies, forthcoming., NYU Stern School of Business, WBS Finance Group Research Paper
Number of pages: 61 Posted: 17 Jul 2020 Last Revised: 01 Sep 2021
University of Warwick, University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School, Seoul National University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 94 (380,801)

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Credit default swaps, CDS, investment policy, financing policy, creditor rights, property rights, ownership concentration

Credit Default Swaps Around the World

CEPR Discussion Paper No. DP15668
Number of pages: 68 Posted: 11 Feb 2021
University of Warwick, University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School, Seoul National University and New York University (NYU) - Leonard N. Stern School of Business
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74.

A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates

NYU Working Paper No. FIN-96-029
Number of pages: 39 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 92 (382,756)
Citation 11

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75.

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

NYU Stern School of Business
Number of pages: 34 Posted: 29 May 2020 Last Revised: 10 Sep 2020
Bocconi University - Department of Finance, CSEF - University of Naples Federico II - Department of Economic and Statistical Sciences, University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
Downloads 86 (398,911)
Citation 2

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COVID-19, pandemics, losses, distress, equity, recapitalization

76.

When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel

NYU Working Paper No. FIN-99-003
Number of pages: 30 Posted: 07 Nov 2008
Guntar Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 86 (398,911)
Citation 10

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77.

The Drivers and Pricing of Liquidity in Interest Rate Option Markets

NYU Working Paper No. FIN-05-036
Number of pages: 38 Posted: 03 Nov 2008
Prachi Deuskar and Marti G. Subrahmanyam
Indian School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 85 (401,684)

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78.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2020, NYU Stern School of Business
Number of pages: 89 Posted: 22 Jun 2020
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Leonard N. Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 79 (419,157)

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High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

79.

Private Placements to Owner-Managers: Theory and Evidence

NYU Working Paper No. 2451/31420
Number of pages: 66 Posted: 13 Jan 2012
V. Ravi Anshuman, Vijaya B. Marisetty and Marti G. Subrahmanyam
affiliation not provided to SSRN, RMIT University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 74 (434,864)

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80.

The Valuation of American-Style Options on Bonds

NYU Working Paper No. FIN-96-027
Number of pages: 39 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 74 (434,864)

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American Bond Options, Stochastic Interest Rates

Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-96-025
Number of pages: 38 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 45 (559,389)

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Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-98-063
Number of pages: 31 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University (NYU) - Leonard N. Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 29 (654,685)

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Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

Journal of Economic Theory, 1998
Posted: 20 May 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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82.

Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

NYU Working Paper No. FIN-94-036
Number of pages: 39 Posted: 11 Nov 2008
Teng-Suan Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 72 (441,265)
Citation 12

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83.

Lighting Up the Dark: Liquidity in the German Corporate Bond Market

Deutsche Bundesbank Discussion Paper No. 21/2021
Number of pages: 1 Posted: 29 Jul 2021
Yalin Gündüz, Michael Schneider, Loriana Pelizzon and Marti G. Subrahmanyam
Deutsche Bundesbank, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
Downloads 56 (499,916)

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84.

Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps

NYU Working Paper No. FIN-98-069
Number of pages: 43 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Young Ho Eom and Jun Uno
New York University (NYU) - Leonard N. Stern School of Business, Yonsei University and Waseda University
Downloads 50 (525,590)

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Credit Risk, Japanese Government Bonds Market, Swap Pricing

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-95-022
Number of pages: 30 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 29 (654,685)

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Background risk, derived utility, sharing rules

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-94-034
Number of pages: 30 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 19 (734,922)

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86.

Why are Options Expensive?

NYU Working Paper No. FIN-98-065
Number of pages: 38 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University (NYU) - Leonard N. Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 43 (558,440)

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87.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. S-MF-99-02
Number of pages: 26 Posted: 12 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 42 (563,495)

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88.

The Valuation of American-Style Swaptions in a Two-Factor Spot-Futures Model1

NYU Working Paper No. FIN-99-078
Number of pages: 40 Posted: 11 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 41 (568,580)

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89.

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 450, NYU Stern School of Business Forthcoming
Number of pages: 35 Posted: 02 Oct 2020
Bocconi University - Department of Finance, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
Downloads 40 (573,729)

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COVID-19, pandemics, losses, distress, equity, recapitalization

90.

Background Risk and Trading in a Full-Information Rational Expectations Economy

NYU Working Paper No. 2451/31419
Number of pages: 33 Posted: 08 Sep 2009
Richard Stapleton, Marti G. Subrahmanyam and Qi Zeng
University of Manchester - Division of Accounting and Finance, New York University (NYU) - Leonard N. Stern School of Business and University of Melbourne - Department of Finance
Downloads 39 (578,898)

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91.

Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique

NYU Working Paper No. FIN-96-028
Number of pages: 29 Posted: 11 Nov 2008
T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 37 (589,637)

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92.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. FIN-01-039
Number of pages: 28 Posted: 03 Nov 2008
G. Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 29 (637,499)

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93.

Who Buys and Sells Options: The Role and Pricing of Options in an Economy with Background Risk

NYU Working Paper No. FIN-95-021
Number of pages: 38 Posted: 11 Nov 2008
Gunter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 26 (657,989)

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94.

The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy

NYU Working Paper No. FIN-96-037
Number of pages: 29 Posted: 11 Nov 2008
Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam
University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 25 (665,243)

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95.

The Size of Background Risk and the Theory of Risk Bearing

NYU Working Paper No. FIN-98-066
Number of pages: 26 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton
New York University (NYU) - Leonard N. Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 18 (719,562)

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96.

Dealer Inventory and the Linkage between Primary and Secondary Markets for Eurozone Sovereign Debt

NYU Stern School of Business
Number of pages: 53 Posted: 21 Aug 2019
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Emory University - Goizueta Business School and New York University (NYU) - Leonard N. Stern School of Business
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Eurozone; Dealer Inventory, Sovereign Bond Markets

97.

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

NYU Working Paper No. FIN-00-011
Number of pages: 26 Posted: 03 Nov 2008
G unter Franke, R.C Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, affiliation not provided to SSRN and New York University (NYU) - Leonard N. Stern School of Business
Downloads 14 (754,061)

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98.

Option Greeks, Insider Trading, and the Heinz Acquisition

Darden Case No. UVA-F-1978
Number of pages: 11 Posted: 21 Oct 2021 Last Revised: 10 Nov 2021
Darden School of Business, McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
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options, Greeks, insider trading, Berkshire Hathaway, 3G Capital, Warren Buffett, Heinz, M&A, mergers and acquisitions, SEC, derivative contract, derivatives, takeover, stock, put-call, arbitrage, Black-Scholes, option pricing, Terpins

99.

The Covid-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy

CEPR Discussion Paper No. DP14831
Number of pages: 35 Posted: 03 Jun 2020 Last Revised: 16 Jun 2020
Bocconi University, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
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Citation 2
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COVID-19, Distress, equity, losses, Pandemics, Recapitalization

Informed Options Trading Before Corporate Events

Annual Review of Financial Economics, Vol. 12, pp. 327-355, 2020
Posted: 10 Dec 2020
Patrick Augustin, Patrick Augustin and Marti G. Subrahmanyam
McGill UniversityMcGill University, Desautels Faculty of Management and New York University (NYU) - Leonard N. Stern School of Business

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Informed Options Trading Before Corporate Events

Annual Review of Financial Economics, Forthcoming
Posted: 24 Apr 2020
Patrick Augustin, Patrick Augustin and Marti G. Subrahmanyam
McGill UniversityMcGill University, Desautels Faculty of Management and New York University (NYU) - Leonard N. Stern School of Business

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Civil Litigations, Derivatives, Information, Insider Trading, Mergers and Acquisitions, Options, Regulation

Intermediation and Value Creation in an Incomplete Market: Implications for Securitization

NYU Working Paper No. FIN-05-039
Posted: 03 Nov 2008
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business

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Intermediation and Value Creation in an Incomplete Market: Implications for Securitization

NYU Working Paper No. S-DRP-05-05
Posted: 05 Nov 2008
Vishal Gaur, Sridhar Seshadri and Marti G. Subrahmanyam
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Illinois at Urbana Champaign and New York University (NYU) - Leonard N. Stern School of Business

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102.

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Posted: 17 Nov 2003
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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103.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

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Portfolio Management: trading and execution, Portfolio Management: private client focus

104.

A Simple Technique for the Valuation and Hedging of American Options

Posted: 30 Dec 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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105.

Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates

Posted: 15 Oct 1998
Richard C. Stapleton and Marti G. Subrahmanyam
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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106.

The Size of Background Risk and the Theory of Risk Bearing

Posted: 29 Aug 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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107.

Who Buys and Who Sells Options: The Role of Options in a General Equilibrium Model with Background Risk

Posted: 20 Jul 1998
Guenter Franke, Richard C. Stapleton and Marti G. Subrahmanyam
University of Konstanz - Department of Economics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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108.

The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claims

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1
Posted: 26 May 1998
Marti G. Subrahmanyam
New York University (NYU) - Leonard N. Stern School of Business

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109.

Evaluating the Risk of a Currency Swap: A Methodology Based On Multivariate-Bionomial Approximation

European Financial Management, 1998
Posted: 08 Mar 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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110.

The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

AUSTRALIAN J. OF MANAGEMENT
Posted: 04 Jul 1997
Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam
University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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The Risk of a Currency Swap: A Multivariate-Binomial Methodology

Posted: 13 Jun 1997
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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The Risk of a Currency Swap: A Multivariate-Binomial Methodology

Posted: 04 May 1998
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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112.

The Valuation of American Options on Bonds

J. OF BANKING AND FINANCE
Posted: 05 Jun 1997
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

EUROPEAN FINANCIAL MANAGEMENT, 1995
Posted: 25 Jul 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance

Posted: 08 Mar 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

REVIEW OF FINANCIAL STUDIES, Vol 8 No 4
Posted: 05 Sep 1995
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics

Posted: 01 Dec 1994
T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam
Lancaster University, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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