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Asset Liquidity and Stock Liquidity
16 references·16 citing·32 second hopsampled
Asset Liquidity and Stock Liquidity (2012)Asset Liquidity and Stock LiquidityThe cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Forecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Performance matched discretionary accrual measures (2005)Performance matched discretio…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Testing Trade-Off and Pecking Order Predictions About Dividends and Debt (2002)Testing Trade-Off and Pecking…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…Earnings Management During Import Relief Investigations (1991)Earnings Management During Im…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Dividend Policy under Asymmetric Information (1985)Dividend Policy under Asymmet…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Determinants of corporate borrowing (1977)Determinants of corporate bor…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Mandatory CSR expenditure and stock market liquidity (2022)Mandatory CSR expenditure and…Corporate green innovation and stock liquidity in China (2022)Corporate green innovation an…The effect of stock liquidity on cash holdings: The repurchase motive (2021)The effect of stock liquidity…Innovation decisions through firm life cycle: A new evidence from emerging markets (2021)Innovation decisions through …Do Banks Price Firms' Data Breaches? (2020)Do Banks Price Firms' Data Br…Stock liquidity and corporate tax avoidance (2019)Stock liquidity and corporate…Local religious norms, corporate social responsibility, and firm value (2019)Local religious norms, corpor…Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market (2018)Stock liquidity and ownership…Excess cash, trading continuity, and liquidity risk (2017)Excess cash, trading continui…Asset liquidity and firm innovation (2017)Asset liquidity and firm inno…Free float and market liquidity around the world (2016)Free float and market liquidi…Relevant but Delayed Information in Negotiated Audit Fees (2014)Relevant but Delayed Informat…Real Asset Illiquidity and the Cost of Capital (2014)Real Asset Illiquidity and th…Mutual Funds and Information Diffusion: The Role of Country-Level Governance (2014)Mutual Funds and Information …The Value of (Stock) Liquidity in the M&A Market (2013)The Value of (Stock) Liquidit…Excess Cash and Stock Returns (2010)Excess Cash and Stock ReturnsCorporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Earnings Management through Real Activities Manipulation (2003)The economic implications of corporate financial reporting (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Specification Tests in Econometrics (1978)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Asset pricing with liquidity risk (2005)Experimental and Quasi-Experimental Designs for Research (1963)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)A review of archival auditing research (2014)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1977Determinants of corporate borrowing13,160 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1991Earnings Management During Import Relief Investigations8,369 cited
  • 2005Performance matched discretionary accrual measures6,963 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 1985Dividend Policy under Asymmetric Information3,459 cited
  • 2002Testing Trade-Off and Pecking Order Predictions About Dividends and Debt3,396 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited

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2008
Forecasting Default with the Merton Distance to Default Model
2,220 cited

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  • 2019Stock liquidity and corporate tax avoidance107 cited
  • 2014Relevant but Delayed Information in Negotiated Audit Fees104 cited
  • 2019Local religious norms, corporate social responsibility, and firm value97 cited
  • 2021Innovation decisions through firm life cycle: A new evidence from emerging markets89 cited
  • 2021The effect of stock liquidity on cash holdings: The repurchase motive80 cited
  • 2017Excess cash, trading continuity, and liquidity risk79 cited
  • 2017Asset liquidity and firm innovation61 cited
  • 2022Corporate green innovation and stock liquidity in China54 cited
  • 2018Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market53 cited
  • 2013The Value of (Stock) Liquidity in the M&A Market48 cited
  • 2016Free float and market liquidity around the world45 cited
  • 2014Mutual Funds and Information Diffusion: The Role of Country-Level Governance42 cited