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Citations for "Liquidity Risk and Expected Stock Returns"

by Pastor, Lubos & Stambaugh, Robert F.

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  1. Zura Kakushadze, 2014. "Russian-Doll Risk Models," Papers 1412.4342, arXiv.org.
  2. 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.
  3. Foran, Jason & O'Sullivan, Niall, 2014. "Liquidity risk and the performance of UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 178-189.
  4. 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.
  5. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  6. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008. "Crises and Hedge Fund Risk," Yale School of Management Working Papers amz2561, Yale School of Management, revised 01 Oct 2009.
  7. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  8. 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.
  9. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
  10. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  11. Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013. "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Working Papers 2013:10, Lund University, Department of Economics, revised 11 Jun 2013.
  12. 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.
  13. 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.
  14. 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.
  15. Bo Becker & Victoria Ivashina, 2013. "Reaching for Yield in the Bond Market," NBER Working Papers 18909, National Bureau of Economic Research, Inc.
  16. Lipson, Marc L. & Mortal, Sandra, 2009. "Liquidity and capital structure," Journal of Financial Markets, Elsevier, vol. 12(4), pages 611-644, November.
  17. He, Yan & Wang, Junbo & John Wei, K.C., 2014. "A comprehensive study of liquidity before and after SEOs and SEO underpricing," Journal of Financial Markets, Elsevier, vol. 20(C), pages 61-78.
  18. 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.
  19. Redding, Lee, 2005. "Endogenous liquidity in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 159-171, April.
  20. K. J. Martijn Cremers & Jianping Mei, 2007. "Turning over Turnover," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1749-1782, November.
  21. Vladimir Benic & Ivna Franic, 2008. "Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets," Financial Theory and Practice, Institute of Public Finance, vol. 32(4), pages 477-498.
  22. 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.
  23. 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.
  24. Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2407-2443, July.
  25. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
  26. Hendershott, Terrence & Moulton, Pamela C., 2011. "Automation, speed, and stock market quality: The NYSE's Hybrid," Journal of Financial Markets, Elsevier, vol. 14(4), pages 568-604, November.
  27. Ron Alquist, 2008. "How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange," Working Papers 08-47, Bank of Canada.
  28. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
  29. 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.
  30. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
  31. repec:dgr:uvatin:20130180 is not listed on IDEAS
  32. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc.
  33. 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.
  34. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006. "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers 12376, National Bureau of Economic Research, Inc.
  35. 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.
  36. Hearn, Bruce & Piesse, Jenifer, 2009. "Sector level cost of equity in African financial markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 257-278, December.
  37. Hyun Song Shin & Stephen Morris, 2004. "Liquidity Black Holes," Econometric Society 2004 North American Winter Meetings 644, Econometric Society.
  38. 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.
  39. Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013. "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2392-2407.
  40. De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  41. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  42. Bushman, Robert M., 2014. "Thoughts on financial accounting and the banking industry," Journal of Accounting and Economics, Elsevier, vol. 58(2), pages 384-395.
  43. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
  44. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
  45. Arvind Krishnamurthy, 2009. "Amplification Mechanisms in Liquidity Crises," NBER Working Papers 15040, National Bureau of Economic Research, Inc.
  46. Hao Jiang & Michela Verardo, . "Does herding behavior reveal skill? An analysis of mutual fund performance," FMG Discussion Papers dp720, Financial Markets Group.
  47. 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.
  48. Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen, 2012. "Order flow, bid–ask spread and trading density in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 597-612.
  49. 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.
  50. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006. "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers 2006/9, Department of Business and Management Science, Norwegian School of Economics, revised 21 Jun 2007.
  51. 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.
  52. 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).
  53. 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.
  54. R. Krishnan & Vinod Mishra, 2012. "Intraday Liquidity Patterns in Indian Stock Market," Monash Economics Working Papers 34-12, Monash University, Department of Economics.
  55. Markus K. Brunnermeier & Lasse Heje Pederson, 2003. "Predatory trading," LSE Research Online Documents on Economics 24829, London School of Economics and Political Science, LSE Library.
  56. 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.
  57. 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.
  58. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T, 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers.
  59. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
  60. Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
  61. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  62. Travis Berge & �scar Jord� & Alan M. Taylor, 2011. "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 357 - 388.
    • Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 357-387 National Bureau of Economic Research, Inc.
  63. repec:dgr:uvatin:20110150 is not listed on IDEAS
  64. 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.
  65. Cao, Charles & Simin, Timothy T. & Wang, Ying, 2013. "Do mutual fund managers time market liquidity?," Journal of Financial Markets, Elsevier, vol. 16(2), pages 279-307.
  66. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 953-986, August.
  67. Keiichi Kubota & Hitoshi Takehara, 2010. "Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange," Managerial Finance, Emerald Group Publishing, vol. 36(8), pages 655-679, August.
  68. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series 1008, European Central Bank.
  69. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  70. 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.
  71. 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.
  72. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012. "The short of it: Investor sentiment and anomalies," Journal of Financial Economics, Elsevier, vol. 104(2), pages 288-302.
  73. 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.
  74. Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance.
  75. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance.
  76. 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.
  77. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1450018-1-1.
  78. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  79. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
  80. 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.
  81. Kondor, Péter & Vayanos, Dimitri, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers 9885, C.E.P.R. Discussion Papers.
  82. Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014. "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers 1406.5486, arXiv.org.
  83. Geoff Willis, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," Papers 1105.5503, arXiv.org.
  84. Zhang, Feng & Tian, Yao & Wirjanto, Tony S., 2009. "Empirical tests of the float-adjusted return model," Finance Research Letters, Elsevier, vol. 6(4), pages 219-229, December.
  85. Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  86. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005. "The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt6z81z2wc, Anderson Graduate School of Management, UCLA.
  87. Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers 373, Banque de France.
  88. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
  89. 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.
  90. Thomas Wu & Jordi Mondria, 2011. "Asymmetric Attention and Stock Returns," 2011 Meeting Papers 134, Society for Economic Dynamics.
  91. 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.
  92. Anand, Amber & Chakravarty, Sugato & Chuwonganant, Chairat, 2009. "Cleaning house: Stock reassignments on the NYSE," Journal of Financial Markets, Elsevier, vol. 12(4), pages 727-753, November.
  93. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
  94. Asem, Ebenezer, 2009. "Pricing unexpected illiquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1485-1494, November.
  95. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.
  96. 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.
  97. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics.
  98. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  99. 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.
  100. Claudio Morana, 2013. " Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers 138, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  101. Chakravarty, Sugato & Harris, Fredreck H. deB. & Wood, Roger A., 2001. "Do Bid-Ask Spreads or Bid and Ask Depths Convey New Information First?," Purdue University Economics Working Papers 1149, Purdue University, Department of Economics.
  102. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  103. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
  104. Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007. "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper 5173, University Library of Munich, Germany.
  105. 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.
  106. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
  107. Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2013. "The Twilight Zone: OTC Regulatory Regimes and Market Quality," NBER Working Papers 19358, National Bureau of Economic Research, Inc.
  108. 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.
  109. 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.).
  110. Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
  111. Bilinski, Pawel & Liu, Weimin & Strong, Norman, 2012. "Does liquidity risk explain low firm performance following seasoned equity offerings?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2770-2785.
  112. Hamon, Jacques & Ginglinger, Edith, 2012. "Ownership, control and market liquidity," Economics Papers from University Paris Dauphine 123456789/9676, Paris Dauphine University.
  113. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
  114. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
  115. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
  116. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
  117. 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.
  118. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
  119. 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.
  120. Pierre-Olivier Weill, 2004. "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 648, Econometric Society.
  121. 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.
  122. 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.
  123. repec:knz:cofedp:0604 is not listed on IDEAS
  124. 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.
  125. Márquez, Elena & Nieto, Belén & Rubio, Gonzalo, 2014. "Stock returns with consumption and illiquidity risks," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 57-74.
  126. García, Diego & Norli, Øyvind, 2012. "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, vol. 106(3), pages 547-565.
  127. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
  128. Paresh Kumar Narayan & Xinwei Zheng, 2012. "Asymmetric Information and Market Decline: Evidence from the Chinese Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1250019-1-1.
  129. Eckbo, B. Espen & Norli, Oyvind, 2005. "Liquidity risk, leverage and long-run IPO returns," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 1-35, March.
  130. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
  131. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
  132. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  133. Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
  134. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
  135. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  136. Wang, Junbo & Wu, Chunchi & Zhang, Frank X., 2008. "Liquidity, default, taxes, and yields on municipal bonds," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1133-1149, June.
  137. Borgers, A.C.T., 2014. "Responsible investing : New insights into performance and tastes," Other publications TiSEM 587e777f-c242-4a44-968e-7, School of Economics and Management.
  138. 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.
  139. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating liquidity using information on the multivariate trading process," Working Papers 10, Department of Applied Econometrics, Warsaw School of Economics.
  140. 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.
  141. Lauren Cohen & Dong Lou, 2011. "Complicated Firms," FMG Discussion Papers dp683, Financial Markets Group.
  142. 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.
  143. 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.
  144. 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.
  145. repec:wyi:journl:002085 is not listed on IDEAS
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  458. Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2008. "Should Benchmark Indices Have Alpha? Revisiting Performance," Yale School of Management Working Papers amz2452, Yale School of Management, revised 26 Jan 2010.
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