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Liquidity and stock returns: An alternative test

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Author Info
Datar, Vinay T.
Y. Naik, Narayan
Radcliffe, Robert
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File URL: http://www.sciencedirect.com/science/article/B6VHN-3V5M3N4-7/2/6069c1e3d2e9766b251c269f303d61f9
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 1 (1998)
Issue (Month): 2 (August)
Pages: 203-219
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Handle: RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219

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  1. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, . "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  3. G.S Morgan & Peter N. Smith & S.H. Thomas, . "Portfolio return autocorrelation and non-synchronous trading in UK equities," Discussion Papers 00/46, Department of Economics, University of York. [Downloadable!]
  4. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007. "How Does Liquidity Affect Government Bond Yields?," CSEF Working Papers 181, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
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  6. Andrew Ellul & Marco Pagano, 2003. "IPO underpricing and after-market liquidity," CSEF Working Papers 99, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
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  7. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  8. Juan PiƱeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  9. John V. Duca, 2005. "Mutual funds and the evolving long-run effects of stock wealth on U.S. consumption," Working Papers 05-11, Federal Reserve Bank of Dallas. [Downloadable!]
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