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Exchange rates and firms' liquidity: evidence from ADRs
16 references·6 citing·36 second hop
Exchange rates and firms' liquidity: evidence from ADRs (2001)Exchange rates and firms' liquidity: evid…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)International Cross‐Listing a…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 (1998)Alternative factor specificat…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect (1994)Firm Valuation, Earnings Expe…Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)Exchange rate exposure and in…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)The Effects of Beta, Bid-Ask …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Exposure to Currency Risk: Definition and Measurement (1984)Exposure to Currency Risk: De…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Relationship between the financial crisis of Korean construction firms and macroeconomic fluctuations (2011)Relationship between the fina…Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia (2008)Do Macroeconomic Variables Fo…How to Match Trades and Quotes for NYSE Stocks? (2005)How to Match Trades and Quote…DO FOREIGN INVESTORS PRICE FOREIGN EXCHANGE RISK DIFFERENTLY? (2005)DO FOREIGN INVESTORS PRICE FO…Valuation impact of currency crises: Evidence from the ADR market (2004)Valuation impact of currency …Effects of exchange-rate and interest-rate risk on ADR pricing behavior (2003)Effects of exchange-rate and …Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Continuous Auctions and Insider Trading (1985)Liquidity, Information, and Infrequently Traded Stocks (1996)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)The Use of Foreign Currency Derivatives and Firm Market Value (2001)Commonality in liquidity (2000)Does Algorithmic Trading Improve Liquidity? (2011)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)
this work references cited by second hop

References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 1998Alternative 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'.11,197 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited

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  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1984Exposure to Currency Risk: Definition and Measurement792 cited
  • 1994Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect751 cited
  • 1993Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA672 cited
  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
  • 1998International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market444 cited
  • Cited by

    • 2003Effects of exchange-rate and interest-rate risk on ADR pricing behavior26 cited
    • 2004Valuation impact of currency crises: Evidence from the ADR market24 cited
    • 2008Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia24 cited
    • 2005DO FOREIGN INVESTORS PRICE FOREIGN EXCHANGE RISK DIFFERENTLY?19 cited
    • 2005How to Match Trades and Quotes for NYSE Stocks?18 cited
    • 2011Relationship between the financial crisis of Korean construction firms and macroeconomic fluctuations15 cited