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Inter-temporal variation in the illiquidity premium · Study

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ArticleInter-temporal variation in the illiquidity premium

Gerald R. Jensen2010

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Articlegreen2010

Inter-temporal variation in the illiquidity premium

Gerald R. Jensen · Theodore C. Moorman

77 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Banking stability, regulation, efficiency

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References

2002Illiquidity and stock returns: cross-section and time-series effects 1985Continuous Auctions and Insider Trading 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2008Market Liquidity and Funding Liquidity 1989The federal funds rate and the channels of monetary transmission 2005Asset pricing with liquidity risk 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

Cited by

2017Funding liquidity, market liquidity and TED spread: A two-regime model 2014Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis 2012REIT Momentum and Characteristic-Related REIT Returns 2019Is there an illiquidity premium in frontier markets?2013The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010 2016Stock Market Liquidity and Firm Value: An Empirical Examination of the Australian Market

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Year2010

Typearticle

Published2010-06-02

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations77

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2010.05.008

openalex_workW2039912669

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2020Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets

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