Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
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- Type
- article
- Published
- 2002-01-01
- Cited by
- 6,075
- References
- 70
- Access
- Open access
- OpenAlex
- https://openalex.org/W2120139936
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:265303004
Keywords
Stock (firearms), Series (stratigraphy), Section (typography), Economics, Financial economics
References
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- The money market
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- Liquidity, Asset Prices and Financial Policy
- Expected stock returns and volatility
- Information Effects on the Bid‐Ask Spread
- Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
- Differential information and the small firm effect
- Predicting returns in the stock and bond markets
- PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS*
- Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
- Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?
- The Delisting Bias in CRSP Data
- Presidential Address: A simple model of capital market equilibrium with incomplete information
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- Choosing the Precision of Performance Metrics
- Arbitrage Crashes: Slow-Moving Capital or Market Segmentation?
- International stock market liquidity
- Essays on security issuance
- The Trend in Firm Profitability and the Cross Section of Stock Returns
- The Muni Bond Spread: Credit, Liquidity, and Tax
- Can Recent Risk-Based Theories Explain the Value Premium?
- Managerial Structure and Stock Price Delay in China
- Sources of Momentum in Bonds
- Can Extension of fundamental Models Cancel the Existence of Abnormal Returns in Emerging Market
- Pricing Southern African Shares in the Presence of Illiquidity: A Capital Asset Pricing Model Augmented by Size and Liquidity Premiums
- Speculative Trading and Stock Returns
- The role of trading intensity in duration modelling and price discovery : evidence from the European carbon market
- Essays in FX market microstructure
- Commonalities in Liquidity in Pure Order-Driven Markets