IDEAS home Printed from https://ideas.repec.org/r/oup/rfinst/v34y2021i4p2101-2123..html

Illiquidity and Stock Returns II: Cross-section and Time-series Effects
[A simple estimation of bid-ask spreads from daily close, high and low prices]

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Wang, Chao & Liu, Xiaoxing & Chen, Boyi & Li, Menyu, 2023. "Topological properties of reconstructed credit networks and banking systemic risk," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  2. Lee, Hsiu-Chuan & Lien, Donald & Sheu, Her-Jiun & Yang, Chung-Jen, 2024. "An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
  3. Yu. A. Danilov & D. A. Pivovarov, 2025. "Financial Inclusion and Financial Stability: How to Minimize Aggregate Risk," Studies on Russian Economic Development, Springer, vol. 36(5), pages 666-675, October.
  4. Lin, Chaonan & Ko, Kuan-Cheng & Lu, Chien-Lin, 2023. "Why is the Amihud (2002) measure priced in Taiwan: Illiquidity or mispricing?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  5. Hong Zhao & Zixuan Jiao & Jianrong Wang & Amina Kamar, 2021. "Corporate Social Responsibility and Firm Liquidity Risk: U.S. Evidence," Sustainability, MDPI, vol. 13(22), pages 1-16, November.
  6. Peter Chinloy & Cheng Jiang & Kose John, 2022. "Spreads and Volatility in House Returns," JRFM, MDPI, vol. 15(8), pages 1-16, August.
  7. Tran Trong Huynh & Bui Thanh Khoa, 2026. "Geopolitical Risk and Stock Returns: Evidence from an Emerging Market," South Asian Journal of Macroeconomics and Public Finance, , vol. 15(1), pages 95-111, June.
  8. Paul, Thomas & Aryoubi, Abdullah & Walther, Thomas, 2025. "Reassessing the Illiquidity-Return Relationship: Evidence from Germany, the UK, and the U.S," International Review of Financial Analysis, Elsevier, vol. 106(C).
  9. Gaoshan Wang & Zhiyi Wang & Mingyue Chen & Xiaohong Shen, 2026. "An Analysis of the Temporal Impact of Investor Sentiment and Attention on Stock Liquidity Using Deep Learning," Computational Economics, Springer;Society for Computational Economics, vol. 67(3), pages 1767-1795, March.
  10. Ellington, Michael & Kalli, Maria, 2025. "Predictive distributions and the market return: The role of market illiquidity," European Journal of Operational Research, Elsevier, vol. 323(1), pages 309-322.
  11. Shusheng Ding & Zhipan Yuan & Fan Chen & Xihan Xiong & Zheng Lu & Tianxiang Cui, 2021. "Impact persistence of stock market risks in commodity markets: Evidence from China," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-22, November.
  12. Li, Yong & Han, Minghui & Faff, Robert & Zhang, Hao, 2022. "Foreign ownership and stock liquidity uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  13. Liu, Jun, 2026. "Stock Liquidity in the Context of Asset Pricing," Other publications TiSEM 5b29c7cf-6d49-44f8-92d6-3, Tilburg University, School of Economics and Management.
  14. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
  15. Cheng, Hang & Shi, Yongdong & Zhang, Tong, 2025. "Unlocking the true price impact: Intraday liquidity and expected return in China’s stock market," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
  16. Tuan Tran & Nhat Nguyen, 2022. "Improving Portfolio Liquidity with Cash-Value-at-Risk for Covariance Estimations in Quantitative Trading," Working Papers hal-03647881, HAL.
  17. Sun, Ping-Wen & Cai, Yingying, 2024. "Influence of a wider trading range on stock price efficiency: Evidence from ChiNext stocks in China," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  18. Liao, Cunfei & Luo, Qianlin & Tang, Guohao, 2021. "Aggregate liquidity premium and cross-sectional returns: Evidence from China," Economic Modelling, Elsevier, vol. 104(C).
  19. Chao Wang & Boyi Chen & Xiaoxing Liu, 2024. "Credit diversification and banking systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 19(1), pages 59-83, January.
  20. Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
  21. Lin, Lin & Pun, Ngou Teng & Sun, Ping-Wen, 2024. "Impact of investor trust on public firms’ stock price efficiency and cost of capital: Insights from a firm-level measure for investor trust," Economic Modelling, Elsevier, vol. 138(C).
  22. Kim, Jinyong & Kim, Yongsik, 2023. "Which stock price component drives the Amihud illiquidity premium?," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  23. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
  24. Szymon Stereńczak & Adam Marszałek, 2026. "Can Investors Profit from Measuring Stock Liquidity with Ordered Fuzzy Numbers?," Computational Economics, Springer;Society for Computational Economics, vol. 68(2), pages 1685-1723, August.
  25. Zhang, Yu & Kappou, Konstantina & Urquhart, Andrew, 2026. "Conditional demand for lottery-type stocks: Information spillovers and asset prices comovement," International Review of Financial Analysis, Elsevier, vol. 113(C).
  26. Ni, He & Zhang, Qin & Guo, Xingjian & Mirza, Sultan Sikandar, 2024. "Portfolio optimization by enhanced LinUCB," Finance Research Letters, Elsevier, vol. 70(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.