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Liquidity Commonality in the London Stock Exchange
16 references·4 citing·32 second hopsampled
Liquidity Commonality in the London Stock Exchange (2007)Liquidity Commonality in the London Stock…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…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…SYSTEMATIC LIQUIDITY (2001)SYSTEMATIC LIQUIDITYCommon factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityMarket Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns (1999)Market Microstructure and Ass…Common Factors in Prices, Order Flows and Liquidity (1999)Common Factors in Prices, Ord…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…The seasonal behavior of the liquidity premium in asset pricing (1993)The seasonal behavior of the …Stealth trading and volatility (1993)Stealth trading and volatilityAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…The Economics of Liquidity Services (1972)The Economics of Liquidity Se…Liquidity, earnings management, and stock expected returns (2020)Liquidity, earnings managemen…Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices (2016)Islamic and Conventional Equi…Liquidity commonality and pricing in UK equities (2015)Liquidity commonality and pri…Liquidity commonality among Asian equity markets (2012)Liquidity commonality among A…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cross-Section of Expected Stock Returns (1992)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Short sales, institutional investors and the cross-section of stock returns (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)The Relation Between Price Changes and Trading Volume: A Survey (1987)Order imbalance, liquidity, and market returns (2002)Liquidity and Market Efficiency (2007)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Understanding commonality in liquidity around the world (2011)Short Selling and the Price Discovery Process (2012)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2000Commonality in liquidity1,748 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 1993Stealth trading and volatility948 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1972The Economics of Liquidity Services417 cited
  • 2001SYSTEMATIC LIQUIDITY411 cited
  • 1999Common Factors in Prices, Order Flows and Liquidity402 cited
  • 1993The seasonal behavior of the liquidity premium in asset pricing312 cited
  • 1999Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns

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267 cited

Cited by

  • 2012Liquidity commonality among Asian equity markets42 cited
  • 2015Liquidity commonality and pricing in UK equities41 cited
  • 2020Liquidity, earnings management, and stock expected returns33 cited
  • 2016Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices27 cited