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Liquidity Dynamics Across Small and Large Firms
16 references·6 citing·36 second hop
Liquidity Dynamics Across Small and Large Firms (2004)Liquidity Dynamics Across Small and Large…Commonality in liquidity (2000)Commonality in liquidityDo Industries Explain Momentum? (1999)Do Industries Explain Momentu…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…ARCH modeling in finance (1992)ARCH modeling in financeInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Estimating the components of the bid/ask spread (1988)Estimating the components of …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Economic policy uncertainty and stock liquidity: evidence from China (2021)Economic policy uncertainty a…An Analysis of the Influence of Ownership Structure, Investment, Liquidity and Risk to Firm Value: Evidence from Indonesia (2015)An Analysis of the Influence …Impact of Companies’ Internal Factors on Stock Liquidity in Baltic Markets (2014)Impact of Companies’ Internal…Prospect Theory and market quality (2013)Prospect Theory and market qu…Liquidity in asset pricing: New Australian evidence using low-frequency data (2013)Liquidity in asset pricing: N…Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets (2006)Relation between Bid-Ask Spre…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Noise Trader Risk in Financial Markets (1990)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 2000Commonality in liquidity1,748 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996

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Liquidity, Information, and Infrequently Traded Stocks
1,591 cited

Cited by

  • 2021Economic policy uncertainty and stock liquidity: evidence from China58 cited
  • 2013Prospect Theory and market quality40 cited
  • 2013Liquidity in asset pricing: New Australian evidence using low-frequency data39 cited
  • 2006Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets31 cited
  • 2014Impact of Companies’ Internal Factors on Stock Liquidity in Baltic Markets18 cited
  • 2015An Analysis of the Influence of Ownership Structure, Investment, Liquidity and Risk to Firm Value: Evidence from Indonesia16 cited