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Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market
16 references·3 citing·49 second hop
Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market (2001)Many Faces of Liquidity and Asset Pricing…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns (1999)Market Microstructure and Ass…How are stock prices affected by the location of trade? (1999)How are stock prices affected…Fixed Income Markets and their Derivatives. (1997)Fixed Income Markets and thei…Special Repo Rates (1996)Special Repo RatesMarket microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Closed-end Country Funds and U.S. Market Sentiment (1995)Closed-end Country Funds and …Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…The seasonal behavior of the liquidity premium in asset pricing (1993)The seasonal behavior of the …Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Are the Discounts on Closed-End Funds a Sentiment Index? (1993)Are the Discounts on Closed-E…Investor Sentiment and the Closed‐End Fund Puzzle (1991)Investor Sentiment and the Cl…The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)The Effects of Beta, Bid-Ask …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds (2021)An Empirical Analysis of Liqu…Government Intervention and Strategic Trading in the U.S. Treasury Market (2018)Government Intervention and S…Notes on Bonds: Liquidity at All Costs in the Great Recession (2015)Notes on Bonds: Liquidity at …Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Sizing Up Repo (2014)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Valuation in Over-the-Counter Markets (2007)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Continuous Auctions and Insider Trading (1985)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)Risk measurement when shares are subject to infrequent trading (1979)Economic Forces and the Stock Market (1986)Noise Trader Risk in Financial Markets (1990)Volatility, Sentiment, and Noise Traders (1999)Institutional Portfolio Flows and International Investments (2008)Multi-market trading and arbitrage☆ (2010)Investor Sentiment and the Closed-End Fund Puzzle (1991)The End of Behavioral Finance (1999)Behavioral finance (2003)Limits of Arbitrage (2010)The Behavior of Stock-Market Prices (1965)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)The Information Content of Annual Earnings Announcements (1968)Stock return variances (1986)Measuring the Information Content of Stock Trades (1991)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Yield spreads on EMU government bonds (2003)The Pre-FOMC Announcement Drift (2012)Dividend yields and expected stock returns (1988)The Equity Share in New Issues and Aggregate Stock Returns (2000)Sports Sentiment and Stock Returns (2007)Individual Investor Trading and Stock Returns (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1999How are stock prices affected by the location of trade?550 cited
  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
  • 1996Special Repo Rates461 cited
  • 1995Closed-end Country Funds and U.S. Market Sentiment358 cited
  • 1993The seasonal behavior of the liquidity premium in asset pricing312 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields278 cited
  • 1999Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns267 cited
  • 1993Are the Discounts on Closed-End Funds a Sentiment Index?265 cited
  • 1997Fixed Income Markets and their Derivatives.259 cited

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  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • Cited by

    • 2015Notes on Bonds: Liquidity at All Costs in the Great Recession32 cited
    • 2018Government Intervention and Strategic Trading in the U.S. Treasury Market29 cited
    • 2021An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds25 cited