Asset Returns and the Listing Choice of Firms
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- Chua, Choong Tze & Lai, Sandy & Lewis, Karen K., 2010.
"Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-Listed Stocks,"
10-1, University of Pennsylvania, Wharton School, Weiss Center.
- Karen K. Lewis & Sandy Lai, 2012. "Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks," NBER Working Papers 18627, National Bureau of Economic Research, Inc.
- Chan, Kalok & Hameed, Allaudeen & Kang, Wenjin, 2013. "Stock price synchronicity and liquidity," Journal of Financial Markets, Elsevier, vol. 16(3), pages 414-438.
- Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
- Gerig, Austin & Michayluk, David, 2017.
"Automated liquidity provision,"
Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
- Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.
- Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013.
"Asset Pricing in the Dark: The Cross-Section of OTC Stocks,"
Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 2985-3028.
- Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross Section of OTC Stocks," NBER Working Papers 19309, National Bureau of Economic Research, Inc.
- Karen K. Lewis, 2015. "Do Foreign Firm Betas Change During Cross-listing?," NBER Working Papers 21054, National Bureau of Economic Research, Inc.
- Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.
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