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Citations for "Liquidity Risk and Expected Stock Returns"

by Lubos Pastor & Robert F. Stambaugh

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  1. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
  2. Yacine Ait-Sahalia & Jialin Yu, 2008. "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers 13825, National Bureau of Economic Research, Inc.
  3. Asli Ascioglu & Shantaram Hegde & Gopal Krishnan & John McDermott, 2012. "Earnings management and market liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 38(2), pages 257-274, February.
  4. Lin, Ji-Chai & Stephens, Clifford P. & Wu, YiLin, 2014. "Limited attention, share repurchases, and takeover risk," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 283-301.
  5. de Groot, W. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  6. De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  7. 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.
  8. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
  9. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.
  10. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 301-331.
  11. Fung, William & Hsieh, David A., 2011. "The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 547-569, September.
  12. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  13. Gibson, Rajna & Mougeot, Nicolas, 2004. "The pricing of systematic liquidity risk: Empirical evidence from the US stock market," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 157-178, January.
  14. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
  15. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  16. 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.
  17. Stefan Nagel, 2012. "Evaporating Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2005-2039.
  18. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
  19. Gu, Li & Huang, Dayong, 2010. "Sales order backlogs and momentum profits," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1564-1575, July.
  20. Octavio Fernandez-Amador & Martin Gächter & Martin Larch & Georg Peter, 2011. "Monetary policy and its impact on stock market liquidity: Evidence from the euro zone," Working Papers 2011-06, Faculty of Economics and Statistics, University of Innsbruck.
  21. Maobin Wang & Dongmin Kong, 2010. "Illiquidity and asset pricing in the Chinese stock market," China Finance Review International, Emerald Group Publishing, vol. 1(1), pages 57-77, December.
  22. Thomas Wu & Jordi Mondria, 2011. "Asymmetric Attention and Stock Returns," 2011 Meeting Papers 134, Society for Economic Dynamics.
  23. Beltratti, Andrea & Bortolotti, Bernardo & Caccavaio, Marianna, 2011. "The stock market reaction to the 2005 non-tradable share reform in China," Working Paper Series 1339, European Central Bank.
  24. Hui Guo, 2005. "Time-varying risk premia and the cross section of stock returns," Working Papers 2002-013, Federal Reserve Bank of St. Louis.
  25. Alankar, Ashwin & Blausten, Peter & Scholes, Myron S., 2013. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers 2135, Stanford University, Graduate School of Business.
  26. repec:dgr:uvatin:2011150 is not listed on IDEAS
  27. 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.
  28. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen.
  29. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc.
  30. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  31. R. Krishnan & Vinod Mishra, 2012. "Intraday Liquidity Patterns in Indian Stock Market," Monash Economics Working Papers 34-12, Monash University, Department of Economics.
  32. Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management qt2458g38x, Anderson Graduate School of Management, UCLA.
  33. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  34. Dasgupta, Amil & Prat, Andrea & Verardo, Michela, 2007. "Institutional Trade Persistence and Long-Term Equity Returns," CEPR Discussion Papers 6374, C.E.P.R. Discussion Papers.
  35. Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007. "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper 5173, University Library of Munich, Germany.
  36. Massa, Massimo & Schumacher, David, 2015. "Subcontracting in International Asset Management: New Evidence on Market Integration," CEPR Discussion Papers 10465, C.E.P.R. Discussion Papers.
  37. Kaniel, Ron & Ozoguz, Arzu & Starks, Laura, 2012. "The high volume return premium: Cross-country evidence," Journal of Financial Economics, Elsevier, vol. 103(2), pages 255-279.
  38. Fotak, Veljko & Raman, Vikas & Yadav, Pradeep K., 2014. "Fails-to-deliver, short selling, and market quality," Journal of Financial Economics, Elsevier, vol. 114(3), pages 493-516.
  39. Angel, James J. & Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2004. "From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings," Working Paper Series 2004-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  40. Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers ysm429, Yale School of Management, revised 01 May 2008.
  41. 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.
  42. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
  43. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
  44. Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 283-295.
  45. Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013. "Does Commonality in Illiquidity Matter to Investors?," Working Papers 2013:24, Lund University, Department of Economics.
  46. Joanna Olbryœ, 2014. "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 45(6), pages 513–536.
  47. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
  48. Martens, Martin & van Oord, Arco, 2014. "Hedging the time-varying risk exposures of momentum returns," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 78-89.
  49. 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.
  50. Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
  51. Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi, 2014. "The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 57-73.
  52. 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.
  53. 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.
  54. 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.
  55. Raza, Ahmad & Marshall, Ben R. & Visaltanachoti, Nuttawat, 2014. "Is there momentum or reversal in weekly currency returns?," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 38-60.
  56. Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
  57. Baele, Lieven & Bekaert, Geert & Inghelbrecht, Koen & Wei, Min, 2014. "Flights to Safety," Finance and Economics Discussion Series 2014-46, Board of Governors of the Federal Reserve System (U.S.).
  58. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011. "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers 16898, National Bureau of Economic Research, Inc.
  59. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, School of Economics and Management, University of Aarhus.
  60. Bo Becker & Victoria Ivashina, 2013. "Reaching for Yield in the Bond Market," NBER Working Papers 18909, National Bureau of Economic Research, Inc.
  61. Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, School of Economics and Management, University of Aarhus.
  62. Papavassiliou, Vassilios G., 2013. "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 184-197.
  63. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 171-192.
  64. Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti, 2013. "Short Selling and Inside Information," Working Papers, Department of Economics 2013_06, University of São Paulo (FEA-USP).
  65. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
  66. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
  67. Mufaddal Baxamusa & Dobrina Georgieva, 2015. "Two-step acquisitions and liquidity spread," Journal of Economics and Finance, Springer, vol. 39(2), pages 262-287, April.
  68. Bai, Min & Qin, Yafeng, 2014. "Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 98-122.
  69. Dimitri Vayanos, 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.
  70. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
  71. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
  72. Ron Bird & Harry Liem & Susan Thorp, 2011. "Private Equity: Strategies for Improving Performance," Working Paper Series 12, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  73. 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.
  74. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  75. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
  76. Tarun Ramadorai, 2012. "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, vol. 67(2), pages 479-512, 04.
  77. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
  78. Peter Kondor & Dimitri Vayanos, 2014. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 55910, London School of Economics and Political Science, LSE Library.
  79. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
  80. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
  81. Martin, Christopher & Milas, Costas, 2009. "Causes of the Financial Crisis : An Assessment using UK Data," Department of Economics Working Papers 15961, University of Bath, Department of Economics.
  82. Kjell G. NYBORG & Per OSTBERG, 2009. "Money and Liquidity in Financial Markets," Swiss Finance Institute Research Paper Series 10-25, Swiss Finance Institute, revised Jun 2010.
  83. Art A. Durnev & Amrita S. Nain, 2004. "The Unanticipated Effects of Insider Trading Regulation," William Davidson Institute Working Papers Series 2004-695, William Davidson Institute at the University of Michigan.
  84. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011. "Risk Shifting and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
  85. Andrew Ellul & Marco Pagano, 2003. "IPO underpricing and after-market liquidity," CSEF Working Papers 99, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 09 Feb 2006.
  86. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
  87. Takahashi, Hidetomo, 2010. "The influence of academic interactions on stock selection and performance: Evidence from Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 361-366, August.
  88. Li, Dan & Li, Geng, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
  89. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  90. Sauer, Stephan, 2007. "Three Liquidity Crises in Retrospective: Implications for Central Banking Today," Discussion Papers in Economics 2011, University of Munich, Department of Economics.
  91. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
  92. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2014. "Do Funds Make More When They Trade More?," NBER Working Papers 20700, National Bureau of Economic Research, Inc.
  93. Ron Bird & Krishna Reddy & Danny Yeung, 2014. "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 4(2), pages 113-132.
  94. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  95. Hao Jiang & Michela Verardo, . "Does herding behavior reveal skill? An analysis of mutual fund performance," FMG Discussion Papers dp720, Financial Markets Group.
  96. Erdős, Péter & Ormos, Mihály, 2012. "Pricing of collectibles: Baedeker guidebooks," Economic Modelling, Elsevier, vol. 29(5), pages 1968-1978.
  97. Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Working Papers 16491, National Bureau of Economic Research, Inc.
  98. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2007. "Privatization and stock market liquidity," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 297-316, February.
  99. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  100. Floros, Ioannis V. & Sapp, Travis R.A., 2011. "Shell games: On the value of shell companies," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 850-867, September.
  101. Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013. "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4476-4487.
  102. repec:wyi:journl:002085 is not listed on IDEAS
  103. 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.
  104. 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.
  105. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
  106. Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014. "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance icma-dp2014-09, Henley Business School, Reading University.
  107. Shaun Bond & Soosung Hwang & Zhenguo Lin & Kerry Vandell, 2007. "Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 447-461, May.
  108. 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.
  109. Ewerhart, C. & Valla, N., 2007. "Forced Portfolio Liquidation," Working papers 179, Banque de France.
  110. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Working Papers 04-47, Bank of Canada.
  111. Beber, Alessandro & Driessen, Joost & Tuijp, Patrick, 2011. "Pricing Liquidity Risk with Heterogeneous Investment Horizons," CEPR Discussion Papers 8710, C.E.P.R. Discussion Papers.
  112. Yuan Huang & Steven Wei, 2012. "Advertising intensity, investor recognition, and implied cost of capital," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 275-298, April.
  113. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
  114. Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2013. "Investigating the role of illiquidity in explaining the UK closed-end country fund discount," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 121-130.
  115. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
  116. 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.
  117. Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org.
  118. Ang, James & Smedema, Adam, 2011. "Financial flexibility: Do firms prepare for recession?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 774-787, June.
  119. Cao, Charles & Petrasek, Lubomir, 2014. "Liquidity risk in stock returns: An event-study perspective," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 72-83.
  120. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers 504, China Economics and Management Academy, Central University of Finance and Economics.
  121. Qi Zhang & Charlie Cai & Kevin Keasey, 2014. "The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 605-625, October.
  122. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  123. Nawazish Mirza, 2010. "A Note on the Pricing of Liquidity in Stock Returns," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 15(2), pages 135-147, Jul-Dec.
  124. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper Series 09_12, The Rimini Centre for Economic Analysis.
  125. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
  126. Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013. "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," NBER Working Papers 18984, National Bureau of Economic Research, Inc.
  127. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2014. "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 97-117.
  128. Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013. "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Knut Wicksell Working Paper Series 2013/14, Knut Wicksell Centre for Financial Studies, Lund University.
  129. Clothilde Lesplingart & Christophe Majois & Mikael Petitjean, 2012. "Liquidity and CDS premiums on European companies around the Subprime crisis," Review of Derivatives Research, Springer, vol. 15(3), pages 257-281, October.
  130. 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.
  131. Jelena Vidović & Tea Poklepović & Zdravka Aljinović, 2014. "How to Measure Illiquidity on European Emerging Stock Markets?," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 5(3), pages 67-81.
  132. Banerjee, Anurag & Hung, Chi-Hsiou, 2011. "Informed momentum trading versus uninformed "naive" investors strategies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3077-3089, November.
  133. 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.
  134. Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
  135. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
  136. Weiß, Gregor N.F. & Mühlnickel, Janina, 2014. "Why do some insurers become systemically relevant?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 95-117.
  137. Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Custom v. Standardized Risk Models," Papers 1409.2575, arXiv.org, revised May 2015.
  138. Favero, Carlo A. & Pagano, Marco & von Thadden, Ernst-Ludwig, 2008. "How Does Liquidity Affect Government Bond Yields?," CEPR Discussion Papers 6649, C.E.P.R. Discussion Papers.
  139. Chatterjee, Sidharta, 2009. "Market Wide Liquidity Instability in Business Cycles," MPRA Paper 18117, University Library of Munich, Germany.
  140. Clemens Sialm & Hanjiang Zhang, 2015. "Tax-Efficient Asset Management: Evidence from Equity Mutual Funds," NBER Working Papers 21060, National Bureau of Economic Research, Inc.
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  427. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, School of Economics and Management, University of Aarhus.
  428. Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013. "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 273-293.
  429. Hearn, Bruce & Piesse, Jenifer & Strange, Roger, 2010. "Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment," International Business Review, Elsevier, vol. 19(5), pages 489-501, October.
  430. Hartzmark, Samuel M. & Solomon, David H., 2013. "The dividend month premium," Journal of Financial Economics, Elsevier, vol. 109(3), pages 640-660.
  431. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
  432. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
  433. Lidan Großmaß, 2014. "Liquidity and the Value at Risk," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 234(5), pages 572-602, September.
  434. 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.
  435. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.
  436. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
  437. Fang, Vivian W. & Noe, Thomas H. & Tice, Sheri, 2009. "Stock market liquidity and firm value," Journal of Financial Economics, Elsevier, vol. 94(1), pages 150-169, October.
  438. Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013. "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, vol. 56(2), pages 251-266.
  439. George O. Aragon & Philip E. Strahan, 2009. "Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy," NBER Working Papers 15336, National Bureau of Economic Research, Inc.
  440. Sadka, Ronnie, 2010. "Liquidity risk and the cross-section of hedge-fund returns," Journal of Financial Economics, Elsevier, vol. 98(1), pages 54-71, October.
  441. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers.
  442. Andrea Beltratti & Bernardo Bortolotti & Marianna Caccavaio, 2014. "Stock market efficiency in China: evidence from the split-share reform," Temi di discussione (Economic working papers) 969, Bank of Italy, Economic Research and International Relations Area.
  443. Cakici, Nusret & Tan, Sinan, 2014. "Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 179-209.
  444. Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc.
  445. Hearn, Bruce & Piesse, Jenifer, 2013. "Firm level governance and institutional determinants of liquidity: Evidence from Sub Saharan Africa," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 93-111.
  446. Qin Lei & Xuewu Wang, 2012. "Flight to liquidity due to heterogeneity in investment horizon," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 316-350, August.
  447. Chung, Kee H. & Zhang, Hao, 2014. "A simple approximation of intraday spreads using daily data," Journal of Financial Markets, Elsevier, vol. 17(C), pages 94-120.
  448. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, vol. 14(1), pages 161-192, February.
  449. Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009. "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer, vol. 11(3), pages 207-241, September.
  450. Gianni De Nicoló & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 09/52, International Monetary Fund.
  451. Cook, David, 2009. "The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 449-456, June.
  452. Borgers, A.C.T., 2014. "Responsible investing : New insights into performance and tastes," Other publications TiSEM 587e777f-c242-4a44-968e-7, Tilburg University, School of Economics and Management.
  453. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.
  454. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
  455. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
  456. Lin, Ji-Chai & Singh, Ajai K. & Sun, Ping-Wen (Steven) & Yu, Wen, 2014. "Price delay premium and liquidity risk," Journal of Financial Markets, Elsevier, vol. 17(C), pages 150-173.
  457. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.
  458. repec:urv:wpaper:2072/152138 is not listed on IDEAS
  459. Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
  460. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
  461. Miguel Anton, & Christopher Polk, 2010. "Connected Stocks," FMG Discussion Papers dp651, Financial Markets Group.
  462. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
  463. Aragon, George O. & Dieckmann, Stephan, 2011. "Stock market trading activity and returns around milestones," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 570-584, September.
  464. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
  465. 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.
  466. Coughenour, Jay F. & Saad, Mohsen M., 2004. "Common market makers and commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 73(1), pages 37-69, July.
  467. Durnev, Art A. & Nain, Amrita S., 2007. "Does insider trading regulation deter private information trading? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 409-433, November.
  468. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 107-121.
  469. Oscar Jorda, . "Carry Trade," Working Papers 1018, University of California, Davis, Department of Economics.
  470. Liu, Wenchien & Miu, Peter & Chang, Yuanchen & Ozdemir, Bogie, 2012. "Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 123-150.
  471. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
  472. Aidan Corcoran, 2010. "Global Funding Liquidity, Equity Returns and Crash Risk: Implications for Monetary Policy," The Institute for International Integration Studies Discussion Paper Series iiisdp318, IIIS, revised Feb 2010.
  473. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
  474. Marcelo Brutti Righi & Kelmara Mendes Vieira & Daniel Arruda Coronel & Reisoli Bender Filho & Paulo Sergio Ceretta, 2014. "Decomposing the bid-ask spread in the Brazilian market: an intraday framework," Economics Bulletin, AccessEcon, vol. 34(3), pages 2010-2023.
  475. Ting, Christopher & Warachka, Mitch & Zhao, Yonggan, 2007. "Optimal liquidation strategies and their implications," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1431-1450, April.
  476. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series 2598, CESifo Group Munich.
  477. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).
  478. repec:dkn:econwp:eco_2010_10 is not listed on IDEAS
  479. Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
  480. Kessler, Stephan & Scherer, Bernd, 2011. "Hedge fund return sensitivity to global liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 301-322, May.
  481. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, School of Economics and Management, University of Aarhus.
  482. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
  483. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  484. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2011. "The valuation of hedge funds' equity positions," CFR Working Papers 10-15 [rev.], University of Cologne, Centre for Financial Research (CFR).
  485. Langnan Chen & Steven Li & Jinan Wang, 2011. "Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market," Asia-Pacific Financial Markets, Springer, vol. 18(4), pages 405-427, November.
  486. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
  487. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
  488. Márcio André Veras Machado & Márcia Reis Machado, 2014. "Liquidity and asset pricing:evidence from the Brazilian market," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 69-89, January.
  489. Wagner, Niklas & Winter, Elisabeth, 2013. "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 69-85.
  490. Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
  491. Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
  492. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
  493. repec:dgr:uvatin:20130180 is not listed on IDEAS
  494. Xiaoquan Jiang, 2010. "Return dispersion and expected returns," Financial Markets and Portfolio Management, Springer, vol. 24(2), pages 107-135, June.
  495. Aragon, George O. & Strahan, Philip E., 2012. "Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy," Journal of Financial Economics, Elsevier, vol. 103(3), pages 570-587.
  496. Anand, Amber & Tanggaard, Carsten & Weaver, Daniel G., 2005. "Paying for Market Quality," Finance Research Group Working Papers F-2006-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  497. Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian, 2013. "The price of sin in the Pacific-Basin," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 899-913.
  498. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, 03.
  499. Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers 15/2010, NIPE - Universidade do Minho.
  500. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance.
  501. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. EGSeI.
  502. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  503. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
  504. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
  505. Anand, Amber & Irvine, Paul & Puckett, Andy & Venkataraman, Kumar, 2013. "Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 108(3), pages 773-797.
  506. Bruno Cara Giovannetti & Guilherme B. Martins, 2012. "Do Margin Requirements Affect Asset Prices?," Working Papers, Department of Economics 2012_17, University of São Paulo (FEA-USP).
  507. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  508. Urs von Arx & Andreas Ziegler, 2008. "The Effect of CSR on Stock Performance: New Evidence for the USA and Europe," CER-ETH Economics working paper series 08/85, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  509. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 1-12.
  510. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
  511. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
  512. Thierry Foucault, 2006. "Liquidity, cost of capital and the organization of trading in stock markets," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 113-123.
  513. Zura Kakushadze, 2014. "Russian-Doll Risk Models," Papers 1412.4342, arXiv.org, revised May 2015.
  514. Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2014. "Commonality in liquidity and real estate securities," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 14051a, Institut d'Economie et Econométrie, Université de Genève.
  515. Jensen, Gerald R. & Moorman, Theodore, 2010. "Inter-temporal variation in the illiquidity premium," Journal of Financial Economics, Elsevier, vol. 98(2), pages 338-358, November.
  516. Arco van Oord & Martin Martens & Herman K. van Dijk, 2009. "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers 09-011/4, Tinbergen Institute.
  517. repec:dgr:uvatin:2009011 is not listed on IDEAS
  518. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Papers 2013-10-14, Working Paper.
  519. Johnson, Timothy C., 2006. "Dynamic liquidity in endowment economies," Journal of Financial Economics, Elsevier, vol. 80(3), pages 531-562, June.
  520. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.