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Tarun Chordia · Study
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Author
Tarun Chordia
47 works
· latest 2024
· 5 institutions
cluster: provisional
ORCID 0000-0001-7642-2830
Works
47 shown
Nonstandard Errors
The Journal of Finance
·
2024
·
94 authors
·
Open access
111
citations
Market efficiency in real time: Evidence from low latency activity around earnings announcements
Journal of Accounting and Economics
·
2020
·
2 authors
·
Open access
51
citations
Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returns
Journal of Financial and Quantitative Analysis
·
2020
·
3 authors
·
Open access
48
citations
Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance
Management Science
·
2020
·
4 authors
·
Open access
93
citations
Anomalies and False Rejections
Review of Financial Studies
·
2020
·
3 authors
·
Open access
209
citations
Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements
Review of Financial Studies
·
2018
·
3 authors
·
Open access
82
citations
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
Journal of Financial and Quantitative Analysis
·
2017
·
5 authors
·
Open access
173
citations
Alliances and Return Predictability
Journal of Financial and Quantitative Analysis
·
2016
·
3 authors
·
Open access
83
citations
Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics
SSRN Electronic Journal
·
2015
·
3 authors
·
preprint
·
Open access
89
citations
Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?
Journal of Accounting and Economics
·
2014
·
3 authors
·
Open access
507
citations
High-frequency trading
Journal of Financial Markets
·
2013
·
4 authors
103
citations
The World Price of Credit Risk
The Review of Asset Pricing Studies
·
2012
·
4 authors
43
citations
Anomalies and financial distress
Journal of Financial Economics
·
2012
·
4 authors
313
citations
Sell-order liquidity and the cross-section of expected stock returns
Journal of Financial Economics
·
2012
·
4 authors
·
Open access
151
citations
Recent trends in trading activity and market quality
Journal of Financial Economics
·
2011
·
3 authors
·
Open access
473
citations
Liquidity Dynamics and Cross-Autocorrelations
Journal of Financial and Quantitative Analysis
·
2011
·
3 authors
·
Open access
59
citations
Liquidity and the Post-Earnings-Announcement Drift
Financial Analysts Journal
·
2009
·
4 authors
·
Open access
199
citations
Credit ratings and the cross-section of stock returns
Journal of Financial Markets
·
2009
·
4 authors
·
Open access
218
citations
Dispersion in analysts’ earnings forecasts and credit rating
Journal of Financial Economics
·
2008
·
4 authors
·
Open access
206
citations
Theory-Based Illiquidity and Asset Pricing
Review of Financial Studies
·
2008
·
3 authors
·
Open access
161
citations
Momentum and Credit Rating
The Journal of Finance
·
2007
·
4 authors
·
Open access
412
citations
Liquidity and Market Efficiency
Journal of Financial Economics
·
2007
·
3 authors
·
Open access
984
citations
Liquidity and Autocorrelations in Individual Stock Returns
The Journal of Finance
·
2006
·
3 authors
·
Open access
470
citations
Predicting stock returns☆
Journal of Financial Economics
·
2006
·
2 authors
·
Open access
169
citations
The Cross-Section of Expected Trading Activity
Review of Financial Studies
·
2006
·
3 authors
·
Open access
251
citations
Earnings and price momentum
Journal of Financial Economics
·
2006
·
2 authors
·
Open access
434
citations
Asset Pricing Models and Financial Market Anomalies
Review of Financial Studies
·
2006
·
2 authors
·
Open access
525
citations
The Impact of Trades on Daily Volatility
Review of Financial Studies
·
2006
·
3 authors
·
Open access
269
citations
Inflation Illusion and Post-Earnings-Announcement Drift
Journal of Accounting Research
·
2005
·
2 authors
·
Open access
135
citations
Evidence on the speed of convergence to market efficiency
Journal of Financial Economics
·
2005
·
3 authors
·
Open access
456
citations
An Empirical Analysis of Stock and Bond Market Liquidity
Review of Financial Studies
·
2004
·
3 authors
·
Open access
900
citations
Liquidity Dynamics Across Small and Large Firms
Economic Notes
·
2004
·
3 authors
·
Open access
42
citations
Order imbalance and individual stock returns: Theory and evidence
Journal of Financial Economics
·
2003
·
2 authors
571
citations
Order imbalance, liquidity, and market returns
Journal of Financial Economics
·
2002
·
3 authors
914
citations
Momentum, Business Cycle, and Time‐varying Expected Returns
The Journal of Finance
·
2002
·
2 authors
812
citations
True Spreads and Equilibrium Prices
The Journal of Finance
·
2001
·
2 authors
·
Open access
52
citations
Market Liquidity and Trading Activity
The Journal of Finance
·
2001
·
3 authors
·
Open access
1,555
citations
Trading activity and expected stock returns
Journal of Financial Economics
·
2001
·
3 authors
·
Open access
909
citations
Momentum, Business Cycle and Time Varying Expected Returns
SSRN Electronic Journal
·
2001
·
2 authors
·
preprint
·
Open access
262
citations
Orderimbalance, Liquidity and Market Returns
SSRN Electronic Journal
·
2001
·
3 authors
·
preprint
·
Open access
195
citations
Co-Movements in Bid-Ask Spreads and Market Depth
Financial Analysts Journal
·
2000
·
3 authors
56
citations
Commonality in liquidity
Journal of Financial Economics
·
2000
·
3 authors
·
Open access
1,748
citations
Trading Volume and Cross‐Autocorrelations in Stock Returns
The Journal of Finance
·
2000
·
2 authors
·
Open access
721
citations
Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1
Journal of Financial Economics
·
1998
·
3 authors
1,197
citations
The structure of mutual fund charges
Journal of Financial Economics
·
1996
·
1 author
357
citations
Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence
The Journal of Business
·
1995
·
2 authors
·
Open access
125
citations
Brokerage Commission Schedules
The Journal of Finance
·
1993
·
2 authors
·
Open access
66
citations