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Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk

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Sadka, Ronnie
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 80 (2006)
Issue (Month): 2 (May)
Pages: 309-349
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Handle: RePEc:eee:jfinec:v:80:y:2006:i:2:p:309-349

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  1. Zhiguo He & Arvind Krishnamurthy, 2008. "A Model of Capital and Crises," NBER Working Papers 14366, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T., 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  4. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Thorsell, Håkan, 2009. "Returns to Defaulted Corporate Bonds," Working Paper Series in Business Administration 2009:7, Stockholm School of Economics. [Downloadable!]
  6. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
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