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Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia
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Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia (2008)Do Macroeconomic Variables Forecast Chang…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Liquidity and leverage (2008)Liquidity and leveragePredicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Stock Markets, Banks, and Economic Growth (1996)Stock Markets, Banks, and Eco…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Market microstructure theory (1995)Market microstructure theoryComparing Predictive Accuracy (1994)Comparing Predictive AccuracyStock Prices and Volume (1992)Stock Prices and VolumeContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Financial intermediation and growth: Causality and causes (2000)Finance and Growth: Theory and Evidence (2004)Law, finance, and economic growth in China (2005)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1996Stock Markets, Banks, and Economic Growth3,889 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2008Liquidity and leverage2,557 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 1995Market microstructure theory1,305 cited
  • 1992Stock Prices and Volume1,295 cited

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