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Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market
16 references·0 citing·39 second hopsampled
Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market (2014)Commonality in liquidity: An empirical ex…Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Illiquidity and Stock Returns…A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)A Simple Way to Estimate Bid‐…Understanding commonality in liquidity around the world (2011)Understanding commonality in …Liquidity of emerging markets (2005)Liquidity of emerging marketsAsset pricing with liquidity risk (2005)Asset pricing with liquidity …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…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Commonality in liquidity (2000)Commonality in liquidityCommon Factors in Prices, Order Flows and Liquidity (1999)Common Factors in Prices, Ord…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Stealth trading and volatility (1993)Stealth trading and volatilityA Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Liquidity Risk and Expected Stock Returns (2003)Investor Information Demand: Evidence from Google Searches Around Earnings Announcements (2011)Corporate social responsibility performance and information asymmetry (2012)Replicating Anomalies (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Order imbalance, liquidity, and market returns (2002)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)On the Impossibility of Informationally Efficient Markets (1980)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Asymmetric correlations of equity portfolios (2002)Does financial liberalization spur growth? (2005)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Liquidity Risk and Expected Stock Returns (2001)Stock market liquidity and firm value☆ (2009)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 2000Commonality in liquidity1,748 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
  • 1993Stealth trading and volatility948 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2005Liquidity of emerging markets838 cited
  • 2011Understanding commonality in liquidity around the world723 cited
  • 2000Foreign Speculators and Emerging Equity Markets481 cited
  • 2001SYSTEMATIC LIQUIDITY411 cited
  • 1999Common Factors in Prices, Order Flows and Liquidity402 cited

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