Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects*
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- Published
- 2012-01-01
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- 2,795
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- Open access
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References
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- Market microstructure and asset pricing: An empirical investigation of NYSE and NASDAQ securities
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- Short-term traders and liquidity:: a test using Bombay Stock Exchange data
- Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
- Dealership market: Market-making with inventory
- 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
- 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
- Transaction costs and the small firm effect
- Trading activity and expected stock returns
- THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS
- An empirical examination of the amortized spread
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- Investment Performance and Price-Earnings Ratios: Basu 1977 Revisited
- Essays on sovereign credit risk and credit default swap spreads
- CORPORATE GOVERNANCE AND FINANCIAL MARKETS
- Currency momentum, carry trade, and market illiquidity
- The Accrual Volatility Anomaly
- Consequences of Accounting Harmonization: IFRS Adoption and Cross-Border Contagion.
- Essays on asset pricing using option-implied information
- Currency Crises and Financial Vulnerability in Dollarized Economies.
- Mutual fund performance in emerging markets : the case of Thailand
- Financial constraints, stock liquidity, and stock returns
- ESSAYS ON NEWS AND ASSET PRICES
- Hedge fund activism and corporate innovation
- Effects of earnings management and delays in loss recognition on bank opacity
- Communication and Comovement: Evidence from Online Stock Forums
- Employee Inside Debt and Firm Risk-Taking: Evidence from Employee Deposit Programs in Japan
- Stratégies de gestion alternative, liquidité des marchés et excès de volatilité
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