The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices

Bank Runs, Deposit Insurance, and Liquidity

1983 • 8,993 citations

Inside the Black Box: The Credit Channel of Monetary Policy Transmission

1995 • 3,871 citations

Parsimonious Modeling of Yield Curves

1987 • 2,902 citations

Modeling Term Structures of Defaultable Bonds

1999 • 2,575 citations

The American Economic Review

2013 • 2,021 citations

Private and Public Supply of Liquidity

1998 • 1,806 citations

Estimating the Price of Default Risk

1999 • 803 citations

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

1997 • 652 citations

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

1991 • 520 citations

Special Repo Rates

1996 • 459 citations

Public Debt as Private Liquidity

1990 • 416 citations

LAPM: A Liquidity‐Based Asset Pricing Model

2001 • 349 citations

Optimal Portfolio Choice and the Valuation of Illiquid Securities

2001 • 334 citations

Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

2003 • 330 citations

Liquidity, Taxes, and Short-Term Treasury Yields

1994 • 301 citations

How Much Can Marketability Affect Security Values?

1995 • 289 citations

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

1991 • 245 citations

Modeling term structures of defaultable bonds

1999 • 225 citations

The term structure of very short-term rates: New evidence for the expectations hypothesis

2000 • 190 citations

An Operational Measure of Liquidity

2016 • 174 citations

Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market

1993 • 150 citations

U.S. term structure data, 1947-1991

1993 • 149 citations

The Price of Options Illiquidity

2001 • 143 citations

Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program

2000 • 117 citations

LAPM: A Liquidity-based Asset Pricing Model

2000 • 81 citations

Special Repo Rates

1996 • 79 citations

Liquidity, Reconstitution, and the Value of U.S. Treasury Strips

1993 • 78 citations

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

2001 • 78 citations

Special Repo Rates: An Empirical Analysis

1997 • 76 citations

Modeling Aggregate Liquidity

1996 • 76 citations

The Benchmark Effect in the Japanese Government Bond Market

1991 • 73 citations

Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle

1992 • 70 citations

Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

2000 • 63 citations

How Much Can Marketability Affect Security Values?

1995 • 62 citations

Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Markets

1988 • 58 citations

The relative pricing of U.S. Treasury STRIPS: empirical evidence

2000 • 43 citations

Liquidity, Reconstitution, and the Value of U.S. Treasury Strips

1993 • 34 citations

Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market

1997 • 32 citations

The Price of Options Illiquidity

2000 • 29 citations

The Term Structure of Very Short-Term Rates: New Evidence for the Expectations Hypothesis

2001 • 11 citations