Portfolio choice and the effects of liquidity
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Volume (Year): 2 (2011)
Issue (Month): 1 (March)
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- 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.
- Pástor, Luboš & Stambaugh, Robert F., 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.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
- 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.
- 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.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006.
"Liquidity and Asset Prices,"
Foundations and Trends(R) in Finance,
now publishers, vol. 1(4), pages 269-364, February.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
- Leon, Angel & Nave, Juan M. & Rubio, Gonzalo, 2007. "The relationship between risk and expected return in Europe," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 495-512, February.
- Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
- Acharya, Viral V & Pedersen, Lasse Heje, 2003.
"Asset Pricing with Liquidity Risk,"
CEPR Discussion Papers
3749, C.E.P.R. Discussion Papers.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
- Akiko Watanabe & Masahiro Watanabe, 2008. "Time-Varying Liquidity Risk and the Cross Section of Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2449-2486, November.
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