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Liquidity biases in asset pricing tests☆ · Study

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ArticleLiquidity biases in asset pricing tests☆

Elena Asparouhova2010

Article2010

Liquidity biases in asset pricing tests☆

Elena Asparouhova · Hendrik Bessembinder · Ivalina Kalcheva

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

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1971Optimum consumption and portfolio rules in a continuous-time model 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread

Cited by

2015High-frequency quoting, trading, and the efficiency of prices 2012Noisy Prices and Inference Regarding Returns 2011Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility 2016Empirical Asset Pricing: The Cross Section of Stock Returns 2009The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?2013Liquidity Shocks and Stock Market Reactions

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2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 21 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 20 shared references 2016Empirical Asset Pricing: The Cross Section of Stock Returnsarticle · 19 shared references 2014The Empirical Analysis of Liquidityarticle · 18 shared references 2011Empirical cross-sectional asset pricing: a surveyarticle · 18 shared references 2012Illiquidity Premia in the Equity Options Marketpreprint · 18 shared references

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Year2010

Typearticle

Published2010-01-07

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations260

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2009.12.011

openalex_workW2116988959

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2016Retail Short Selling and Stock Prices

2014Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks