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Why is the Amihud (2002) Illiquidity Measure Priced?
16 references·1 citing·37 second hopsampled
Why is the Amihud (2002) Illiquidity Measure Priced? (2013)Why is the Amihud (2002) Illiquidity Meas…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 …Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Expected Return…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Good News for Value Stocks: Further Evidence on Market Efficiency (1997)Good News for Value Stocks: F…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…The affect heuristic and stock ownership: A theoretical perspective (2019)The affect heuristic and stoc…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Trading and Arbitrage in Cryptocurrency Markets (2018)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Corporate Yield Spreads and Bond Liquidity (2007)The Illiquidity of Corporate Bonds (2011)Does the Stock Market Overreact? (1985)Market liquidity as a sentiment indicator (2004)Time Series Momentum (2011)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)Short Selling and the Price Discovery Process (2012)
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References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
  • 1997Good News for Value Stocks: Further Evidence on Market Efficiency805 cited
  • 2001Liquidity Risk and Expected Stock Returns738 cited
  • 2011Understanding commonality in liquidity around the world723 cited

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  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
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    • 2019The affect heuristic and stock ownership: A theoretical perspective17 cited