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Citations for "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"

by Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar

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  1. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  2. Jun, Sang-Gyung & Marathe, Achla & Shawky, Hany A., 2003. "Liquidity and stock returns in emerging equity markets," Emerging Markets Review, Elsevier, vol. 4(1), pages 1-24, March.
  3. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
  4. Pierre-Olivier Weill, 2004. "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 648, Econometric Society.
  5. Johnson, Travis L. & So, Eric C., 2012. "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, vol. 106(2), pages 262-286.
  6. Angelidis, Timotheos & Andrikopoulos, Andreas, 2010. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 214-221, June.
  7. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  8. Kadilli, Anjeza, 2015. "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, vol. 21(C), pages 26-45.
  9. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  10. Bartram, Söhnke M. & Bodnar, Gordon M., 2006. "Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets," MPRA Paper 14018, University Library of Munich, Germany, revised 02 Nov 2008.
  11. Ghysels, Eric & Pereira, João Pedro, 2008. "Liquidity and conditional portfolio choice: A nonparametric investigation," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 679-699, September.
  12. Ricardo Correa & Kuan‐Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2014. "Sovereign Credit Risk, Banks' Government Support, and Bank Stock Returns around the World," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 93-121, 02.
  13. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 527-532, November.
  14. P. Krishna Prasanna & Anish S. Menon, 2012. "Corporate governance and stock market liquidity in India," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 3(1/2), pages 24-45.
  15. Muscarella, Chris J. & Piwowar, Michael S., 2001. "Market microstructure and securities values: : Evidence from the Paris Bourse," Journal of Financial Markets, Elsevier, vol. 4(3), pages 209-229, June.
  16. Core, John E., 2001. "A review of the empirical disclosure literature: discussion," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 441-456, September.
  17. Ulf von Lilienfeld-Toal & Stefan Ruenzi, 2007. "Why Managers Hold Shares of Their Firms: An Empirical Analysis," SFB 649 Discussion Papers SFB649DP2007-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  18. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
  19. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2012. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Auburn Economics Working Paper Series auwp2012-03, Department of Economics, Auburn University.
  20. Ariff, Mohamed & Chung, Tin-fah & M., Shamsher, 2012. "Money supply, interest rate, liquidity and share prices: A test of their linkage," Global Finance Journal, Elsevier, vol. 23(3), pages 202-220.
  21. Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 143-158, April.
  22. Hong, Harrison & Stein, Jeremy, 2007. "Disagreement and the Stock Market," Scholarly Articles 2894690, Harvard University Department of Economics.
  23. Dr. Humberto Valencia Herrera, 2015. "Decomposition of the Stocks Returns in the Sustainable Index of the Mexican Stock Exchange," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
  24. Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying, 2012. "What explains the investment growth anomaly?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2532-2542.
  25. Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
  26. Wu, Yuliang & Mazouz, Khelifa, 2016. "Long-term industry reversals," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 236-250.
  27. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, vol. 94(3), pages 345-360, December.
  28. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June.
  29. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc.
  30. Chacko, George & Das, Sanjiv & Fan, Rong, 2016. "An index-based measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 162-178.
  31. Gordon M. Bodnar & Bernard Dumas & Richard D. Marston, 2003. "Cross-Border Valuation: The International Cost of Equity Capital," NBER Working Papers 10115, National Bureau of Economic Research, Inc.
  32. Kale, Jayant R. & Loon, Yee Cheng, 2011. "Product market power and stock market liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 376-410, May.
  33. Kim, Soon-Ho & Lee, Kuan-Hui, 2014. "Pricing of liquidity risks: Evidence from multiple liquidity measures," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 112-133.
  34. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
  35. Paul A. Gompers & Joy L. Ishii & Andrew Metrick, 2001. "Corporate Governance and Equity Prices," NBER Working Papers 8449, National Bureau of Economic Research, Inc.
  36. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  37. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
  38. 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.
  39. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 1999. "The alpha factor asset pricing model: A parable," Journal of Financial Markets, Elsevier, vol. 2(1), pages 49-68, February.
  40. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
  41. Durand, Robert B. & Scott, Douglas, 2003. "iShares Australia: a clinical study in international behavioral finance," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 223-239.
  42. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  43. Bauer, Rob & Cosemans, Mathijs & Eichholtz, Piet, 2009. "Option trading and individual investor performance," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 731-746, April.
  44. Eckbo, B. Espen & Masulis, Ronald W. & Norli, Oyvind, 2000. "Seasoned public offerings: resolution of the 'new issues puzzle'," Journal of Financial Economics, Elsevier, vol. 56(2), pages 251-291, May.
  45. Liang, Samuel Xin & Wei, John K.C., 2012. "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3274-3288.
  46. Assefa, Tibebe A. & Mollick, André Varella, 2014. "African stock market returns and liquidity premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 325-342.
  47. Kauffman, Nathan, 2013. "Have extended trading hours made agricultural commodity markets riskier?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 67-94.
  48. Pereiro, Luis E., 2006. "The practice of investment valuation in emerging markets: Evidence from Argentina," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 160-183, April.
  49. Langnan Chen & Steven Li & Jinan Wang, 2011. "Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 405-427, November.
  50. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
  51. 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.
  52. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  53. Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg, 2013. "Does monetary policy determine stock market liquidity? New evidence from the euro zone," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 54-68.
  54. Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  55. Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, vol. 11(4), pages 377-399, November.
  56. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
  57. Hammami, Yacine & Lindahl, Anna, 2013. "Estimating and testing beta pricing models on industries," Journal of Economics and Business, Elsevier, vol. 69(C), pages 45-63.
  58. Alex Edmans & Lucius Li & Chendi Zhang, 2014. "Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World," NBER Working Papers 20300, National Bureau of Economic Research, Inc.
  59. Anjeza Kadilli, 2014. "Return Predictability in International Financial Markets and the Role of Investor Sentiment," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 14083, Institut d'Economie et Econométrie, Université de Genève.
  60. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc.
  61. Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013. "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 273-293.
  62. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper 40003, University Library of Munich, Germany.
  63. Batten, Jonathan A. & Vo, Xuan Vinh, 2015. "Foreign ownership in emerging stock markets," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 15-24.
  64. Kang, Moonsoo, 2010. "Probability of information-based trading and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2985-2994, December.
  65. Ng, Chi Cheong Allen & Shen, Jianfu, 2016. "Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 159-177.
  66. O. Emre Ergungor & Leonardo Madureira & Nandkumar Nayar & Ajai K. Singh, 2011. "Banking relationships and sell-side research," Working Paper 1114, Federal Reserve Bank of Cleveland.
  67. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  68. Hodrick, Robert J. & Zhang, Xiaoyan, 2001. "Evaluating the specification errors of asset pricing models," Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
  69. Chang, Yuk Ying & Faff, Robert & Hwang, Chuan-Yang, 2010. "Liquidity and stock returns in Japan: New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 90-115, January.
  70. Ulf Mohrmann & Jan Riepe & Ulrike Stefani, 2013. "Are Extensive Audits 'Good News'? Market Perceptions of Abnormal Audit Fees and Fair Value Disclosures," Working Paper Series of the Department of Economics, University of Konstanz 2013-08, Department of Economics, University of Konstanz.
  71. 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.
  72. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013. "Anomalies and financial distress," Journal of Financial Economics, Elsevier, vol. 108(1), pages 139-159.
  73. Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-068, Tilburg University, Tilburg Law and Economic Center.
  74. Arjoon, Vaalmikki, 2016. "Microstructures, financial reforms and informational efficiency in an emerging market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 112-126.
  75. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment.
  76. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, vol. 15(2), pages 286-327.
  77. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002. "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 171-205.
  78. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
  79. Autore, Don M. & Billingsley, Randall S. & Kovacs, Tunde, 2011. "The 2008 short sale ban: Liquidity, dispersion of opinion, and the cross-section of returns of US financial stocks," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2252-2266, September.
  80. Attig, Najah & Fong, Wai-Ming & Gadhoum, Yoser & Lang, Larry H.P., 2006. "Effects of large shareholding on information asymmetry and stock liquidity," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2875-2892, October.
  81. Liu, Weimin & Luo, Di & Zhao, Huainan, 2016. "Transaction costs, liquidity risk, and the CCAPM," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 126-145.
  82. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  83. Chen, Haiqiang & Chong, Terence Tai Leung & Bai, Jushan, 2012. "Theory and Applications of TAR Model with Two Threshold Variables," MPRA Paper 54527, University Library of Munich, Germany.
  84. Huang, Ming, 2003. "Liquidity shocks and equilibrium liquidity premia," Journal of Economic Theory, Elsevier, vol. 109(1), pages 104-129, March.
  85. Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc.
  86. Lam, Keith S.K. & Tam, Lewis H.K., 2011. "Liquidity and asset pricing: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2217-2230, September.
  87. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
  88. Marshall, Ben R., 2006. "Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 21-38.
  89. 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.
  90. Edmans, Alex, 2011. "Does the stock market fully value intangibles? Employee satisfaction and equity prices," Journal of Financial Economics, Elsevier, vol. 101(3), pages 621-640, September.
  91. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1331-1358, June.
  92. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 119-143.
  93. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
  94. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 555-572, November.
  95. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
  96. Lee, Yen-Hsien & Wang, David K., 2016. "Information content of investor trading behavior: Evidence from Taiwan index options market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 149-160.
  97. Chou, Pin-Huang & Ko, Kuan-Cheng & Lin, Shinn-Juh, 2010. "Do relative leverage and relative distress really explain size and book-to-market anomalies?," Journal of Financial Markets, Elsevier, vol. 13(1), pages 77-100, February.
  98. Iihara, Yoshio & Kato, Hideaki Kiyoshi & Tokunaga, Toshifumi, 2004. "The winner-loser effect in Japanese stock returns," Japan and the World Economy, Elsevier, vol. 16(4), pages 471-485, December.
  99. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  100. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
  101. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
  102. Shawky, Hany A. & Tian, Jianbo, 2011. "Small-cap equity mutual fund managers as liquidity providers," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 802-814.
  103. Marcelo, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2006. "The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 254-267, May.
  104. Bushee, Brian J. & Leuz, Christian, 2005. "Economic consequences of SEC disclosure regulation: evidence from the OTC bulletin board," Journal of Accounting and Economics, Elsevier, vol. 39(2), pages 233-264, June.
  105. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
  106. Jacoby, Gady & Zheng, Steven X., 2010. "Ownership dispersion and market liquidity," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 81-88, March.
  107. Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1337-1361, June.
  108. Lipson, Marc L. & Mortal, Sandra, 2009. "Liquidity and capital structure," Journal of Financial Markets, Elsevier, vol. 12(4), pages 611-644, November.
  109. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
  110. Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
  111. 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.
  112. Berggrun, Luis & Lizarzaburu, Edmundo & Cardona, Emilio, 2016. "Idiosyncratic volatility and stock returns: Evidence from the MILA," Research in International Business and Finance, Elsevier, vol. 37(C), pages 422-434.
  113. Paul Goebel & David Harrison & Jeffrey Mercer & Ryan Whitby, 2013. "REIT Momentum and Characteristic-Related REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 564-581, October.
  114. Li Cai & Chaohua He, 2014. "Corporate Environmental Responsibility and Equity Prices," Journal of Business Ethics, Springer, vol. 125(4), pages 617-635, December.
  115. Takeda, Fumiko & Wakao, Takumi, 2014. "Google search intensity and its relationship with returns and trading volume of Japanese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 1-18.
  116. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1175-1190.
  117. Hirose, Takehide & Kato, Hideaki Kiyoshi & Bremer, Marc, 2009. "Can margin traders predict future stock returns in Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 41-57, January.
  118. Ng, Jeffrey, 2011. "The effect of information quality on liquidity risk," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 126-143.
  119. 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.
  120. Gebka, Bartosz, 2008. "Volume- and size-related lead-lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 134-155.
  121. Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin, 2015. "Exchange risk premia and firm characteristics," Emerging Markets Review, Elsevier, vol. 22(C), pages 96-125.
  122. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011. "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, vol. 99(3), pages 628-650, March.
  123. Fahlenbrach, Rüdiger, 2009. "Founder-CEOs, Investment Decisions, and Stock Market Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(02), pages 439-466, April.
  124. 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.
  125. Khalaf, Lynda & Schaller, Huntley, 2016. "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 165-177.
  126. Zhang, Chu, 2009. "On the explanatory power of firm-specific variables in cross-sections of expected returns," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 306-317, March.
  127. Baradarannia, M. Reza & Peat, Maurice, 2013. "Liquidity and expected returns—Evidence from 1926–2008," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 10-23.
  128. Barinov, Alexander, 2015. "Why does higher variability of trading activity predict lower expected returns?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 457-470.
  129. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
  130. Hammami, Yacine & Bahri, Maha, 2016. "On the determinants of expected corporate bond returns in Tunisia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 224-235.
  131. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
  132. Ben-Rephael, Azi & Oded, Jacob & Wohl, Avi, 2011. "Do firms buy their stock at bargain prices? Evidence from actual stock repurchase disclosure," CFS Working Paper Series 2011/17, Center for Financial Studies (CFS).
  133. Jones, Christopher S., 2001. "Extracting factors from heteroskedastic asset returns," Journal of Financial Economics, Elsevier, vol. 62(2), pages 293-325, November.
  134. Bouslah, Kais & Kryzanowski, Lawrence & M’Zali, Bouchra, 2013. "The impact of the dimensions of social performance on firm risk," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1258-1273.
  135. Levine, Ross & Schmukler, Sergio L., 2007. "Migration, spillovers, and trade diversion: The impact of internationalization on domestic stock market activity," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1595-1612, June.
  136. Arjoon, Vaalmikki & Bougheas, Spiros & Milner, Chris, 2016. "Lead-lag relationships in an embryonic stock market: Exploring the role of institutional ownership and liquidity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 262-276.
  137. Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2014. "Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 41-58.
  138. 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.
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