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Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index · Study

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ArticleAsymmetric stock price and liquidity responses to changes in the FTSE SmallCap index

Ernest N. Biktimirov2012

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Articlegreen2012

Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index

Ernest N. Biktimirov · Boya Li

25 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

2002Illiquidity and stock returns: cross-section and time-series effects 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1986Asset pricing and the bid-ask spread 1980Measuring security price performance 1986Do Demand Curves for Stocks Slope Down?1999A New Estimate of Transaction Costs 1989A nonparametric test for abnormal security-price performance in event studies 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

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2014Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market

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Year2012

Typearticle

Published2012-12-31

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11156-012-0335-7

openalex_workW2017563500

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