Liquidity and Expected Returns: Lessons from Emerging Markets
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Harvey, Campbell & Bekaert, Geert & Lundblad, Christian T, 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Acharya, Viral & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey, 2000.
"Foreign Speculators and Emerging Equity Markets,"
Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," William Davidson Institute Working Papers Series 79, William Davidson Institute at the University of Michigan.
- John M. Griffin & Federico Nardari & René M. Stulz, 2004. "Are Daily Cross-Border Equity Flows Pushed or Pulled?," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 641-657, August.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
- Hasbrouck, Joel, 2004. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(2), pages 305-326, June.
- David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
- repec:kap:eurfin:v:10:y:2006:i:1:p:99-152 is not listed on IDEAS
- Bengt Holmström & Jean Tirole, 2001.
"LAPM: A Liquidity‐Based Asset Pricing Model,"
Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
- Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc.
- Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity Based Asset Pricing Model," Working papers 98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004.
"Asset Prices and Trading Volume under Fixed Transactions Costs,"
Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers ysm188, Yale School of Management, revised 01 Sep 2009.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers ysm188, Yale School of Management, revised 01 Sep 2009.
- Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, vol. 59(1), pages 3-32, January.
- La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei & Vishny, Robert, 2000.
"Investor protection and corporate governance,"
Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 3-27.
- Rafael LaPorta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert Vishny, "undated". "Investor Protection and Corporate Governance," Working Paper 19455, Harvard University OpenScholar.
- La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei & Vishny, Robert, 2000. "Investor protection and corporate governance," Scholarly Articles 29408126, Harvard University Department of Economics.
- La Porta, Rafael & Lopez-de-Silanes, Florencio & Schleifer, Andrei & Vishny, Robert, 2001. "Investor Protection and Corporate Governance," Working Paper Series rwp01-017, Harvard University, John F. Kennedy School of Government.
- Biais, Bruno, 1993. "Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-185, March.
- Marco Pagano, 1989.
"Endogenous Market Thinness and Stock Price Volatility,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(2), pages 269-287.
- Pagano, Marco, 1986. "Endogenous Market Thinness and Stock Price Volatility," CEPR Discussion Papers 146, C.E.P.R. Discussion Papers.
- Edison, Hali J. & Warnock, Francis E., 2003.
"A simple measure of the intensity of capital controls,"
Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 81-103, February.
- Hali J. Edison & Francis E. Warnock, 2001. "A Simple Measure of the Intensity of Capital Controls," International Finance Discussion Papers 708, Board of Governors of the Federal Reserve System (U.S.).
- Mr. Francis E. Warnock & Ms. Hali J Edison, 2001. "A Simple Measure of the Intensity of Capital Controls," IMF Working Papers 2001/180, International Monetary Fund.
- Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, April.
- Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
- Andrew Ang & Geert Bekaert, 2007.
"Stock Return Predictability: Is it There?,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 651-707.
- Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
- Levine, Ross & Zervos, Sara, 1998.
"Stock Markets, Banks, and Economic Growth,"
American Economic Review, American Economic Association, vol. 88(3), pages 537-558, June.
- Ross Levine & Sara Zervos, "undated". "Stock markets, banks and economic growth ," CERF Discussion Paper Series 95-11, Economics and Finance Section, School of Social Sciences, Brunel University.
- Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank.
- Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 233-257, May.
- Baker, Malcolm & Stein, Jeremy C., 2004.
"Market liquidity as a sentiment indicator,"
Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:43:y:1988:i:3:p:617-37 is not listed on IDEAS
- Harvey, Campbell R, 1995.
"Predictable Risk and Returns in Emerging Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
- Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
- Loderer, Claudio & Roth, Lukas, 2005. "The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 239-268, March.
- Gur Huberman & Dominika Halka, 2001.
"Systematic Liquidity,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
- Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
- repec:bla:jfinan:v:59:y:2004:i:1:p:1-30 is not listed on IDEAS
- Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002.
"Dating the integration of world equity markets,"
Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
- Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2005.
"Does financial liberalization spur growth?,"
Journal of Financial Economics, Elsevier, vol. 77(1), pages 3-55, July.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2001. "Does Financial Liberalization Spur Growth?," NBER Working Papers 8245, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Does Financial Liberalization Spur Growth?," Working Paper Research 53, National Bank of Belgium.
- repec:bla:intfin:v:4:y:2001:i:2:p:221-55 is not listed on IDEAS
- Bekaert, Geert & Harvey, Campbell R, 1995.
"Time-Varying World Market Integration,"
Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
- Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri, 1998.
"Transaction Costs and Asset Prices: A Dynamic Equilibrium Model,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
- Vayanos, Dimitri, 1998. "Transaction costs and asset prices : a dynamic equilibrium model," LSE Research Online Documents on Economics 451, London School of Economics and Political Science, LSE Library.
- Lowengrub, Paul & Melvin, Michael, 2002. "Before and after international cross-listing: an intraday examination of volume and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 139-155, April.
- Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
- Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Jiang Wang, 1993. "A Model of Intertemporal Asset Prices Under Asymmetric Information," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(2), pages 249-282.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- George M. Constantinides, 2005.
"Capital Market Equilibrium with Transaction Costs,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 7, pages 207-227,
World Scientific Publishing Co. Pte. Ltd..
- Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-862, August.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Grossman, S.J. & Miller, M.H., 1988.
"Liquidity And Market Structure,"
Papers
88, Princeton, Department of Economics - Financial Research Center.
- Sanford J. Grossman & Merton H. Miller, 1988. "Liquidity and Market Structure," NBER Working Papers 2641, National Bureau of Economic Research, Inc.
- Ahn, Seung C. & Gadarowski, Christopher, 2004. "Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 109-132, January.
- Heaton, John & Lucas, Deborah J, 1996.
"Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing,"
Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
- John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
- Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," The World Bank Economic Review, World Bank, vol. 9(1), pages 75-107, January.
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
- Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-1141.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
"On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Huang, Ming, 2003. "Liquidity shocks and equilibrium liquidity premia," Journal of Economic Theory, Elsevier, vol. 109(1), pages 104-129, March.
- Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.
- Stambaugh, Robert F., 1999.
"Predictive regressions,"
Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
- Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
- G. Andrew Karolyi, 2006.
"The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom,"
Review of Finance, European Finance Association, vol. 10(1), pages 99-152.
- Karolyi, G. Andrew, 2004. "The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom," Working Paper Series 2004-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Ian Domowitz & Jack Glen & Ananth Madhavan, 2001.
"Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time,"
International Finance, Wiley Blackwell, vol. 4(2), pages 221-255.
- Ian Domowitz & Jack Glen & Ananth Madhavan, 2000. "Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time," William Davidson Institute Working Papers Series 322, William Davidson Institute at the University of Michigan.
- Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
- Hodrick, Robert J, 1992.
"Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement,"
The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
- Tom Doan, "undated". "OLSHODRICK: RATS procedure to compute Hodrick standard errors," Statistical Software Components RTS00147, Boston College Department of Economics.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Vayanos, Dimitri, 2004.
"Flight to quality, flight to liquidity, and the pricing of risk,"
LSE Research Online Documents on Economics
456, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
- Ross Levine & Sergio L. Schmukler, 2006.
"Internationalization and Stock Market Liquidity,"
Review of Finance, European Finance Association, vol. 10(1), pages 153-187.
- Ross Levine & Sergio Schmukler, 2005. "Internationalization and Stock Market Liquidity," NBER Working Papers 11894, National Bureau of Economic Research, Inc.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Harvey, Campbell R, 1991. "The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
- Spiegel, Matthew & Subrahmanyam, Avanidhar, 1992. "Informed Speculation and Hedging in a Noncompetitive Securities Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 307-329.
- Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Geert Bekaert & Campbell R. Harvey (ed.), 2004. "Emerging Markets," Books, Edward Elgar Publishing, number 2836.
- Harris, Lawrence, 1990. "Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance, American Finance Association, vol. 45(2), pages 579-590, June.
- Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
- Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
- Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
- Huberman, Gur & Halka, Dominika, 2001.
"Systematic Liquidity,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, Summer.
- Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
- Tarun Chordia, 2005. "An Empirical Analysis of Stock and Bond Market Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 85-129.
- repec:kap:eurfin:v:10:y:2006:i:1:p:153-187 is not listed on IDEAS
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Vayanos, Dimitri & Wang, Jiang, 2012.
"Market liquidity - theory and empirical evidence,"
LSE Research Online Documents on Economics
119044, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Wang, Jiang, 2009.
"Liquidity and asset prices: a united framework,"
LSE Research Online Documents on Economics
29303, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Wang, Jiang, 2009. "Liquidity and Asset Prices: A Unified Framework," CEPR Discussion Papers 7410, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," FMG Discussion Papers dp639, Financial Markets Group.
- Joanna Olbry�, 2014. "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 513�536-5.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
- Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
- Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, vol. 66(4), pages 320-348.
- Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
- Acharya, Viral & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Baker, Malcolm & Stein, Jeremy C., 2004.
"Market liquidity as a sentiment indicator,"
Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
- Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018.
"Illiquidity Premia in the Equity Options Market,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2013. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2013-48, Department of Economics and Business Economics, Aarhus University.
- Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015.
"Understanding FX Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
- Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance, revised Apr 2015.
- Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
- Eckbo, B. Espen & Norli, Oyvind, 2005.
"Liquidity risk, leverage and long-run IPO returns,"
Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 1-35, March.
- Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
- Ho, Tsung-wu & Chang, Shu-Hwa, 2015. "The pricing of liquidity risk on the Shanghai stock market," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 112-130.
- Sadka, Ronnie, 2011. "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 144-152.
- Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
More about this item
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F30 - International Economics - - International Finance - - - General
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F02 - International Economics - - General - - - International Economic Order and Integration
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:20:y:2007:i:6:p:1783-1831. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.