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Liquidity dynamics across public and private markets
16 references·0 citing·35 second hop
Liquidity dynamics across public and private markets (2012)Liquidity dynamics across public and priv…The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market (2011)The International Transmissio…Stock Market Liquidity and the Business Cycle (2011)Stock Market Liquidity and th…Pricing the commonality across alternative measures of liquidity (2007)Pricing the commonality acros…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Controlling for the Impact of…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 …Detecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Bayesian model of intraday specialist pricing (1991)A Bayesian model of intraday …Estimating the components of the bid/ask spread (1988)Estimating the components of …Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Tents, Tweets, and Events: The Interplay Between Ongoing Protests and Social Media (2015)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Using daily stock returns (1985)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Politically Connected Firms (2006)Introductory Econometrics for Finance (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)The relationship between return and market value of common stocks (1981)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 1986Performance measurement with the arbitrage pricing theory715 cited
  • 2007Pricing the commonality across alternative measures of liquidity585 cited
  • 2011Stock Market Liquidity and the Business Cycle420 cited
  • 1991A Bayesian model of intraday specialist pricing336 cited
  • 2011The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market

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327 cited
  • 2003Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices266 cited
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