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Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
11 references·16 citing·38 second hopsampled
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for U.S. Equiti…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …New lists: Fundamentals and survival rates (2004)New lists: Fundamentals and s…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…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 …Common Risk Factors in Cryptocurrency (2022)Common Risk Factors in Crypto…ESG Rating Disagreement and Stock Returns (2021)ESG Rating Disagreement and S…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Illiquidity and Stock Returns…Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation (2015)Has the US Finance Industry B…A Taxonomy of Anomalies and Their Trading Costs (2015)A Taxonomy of Anomalies and T…Why are US firms using more short-term debt? (2012)Why are US firms using more s…A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)A Simple Way to Estimate Bid‐…A Flow-Based Explanation for Return Predictability (2012)A Flow-Based Explanation for …What Are the Best Liquidity Proxies for Global Research? (2011)What Are the Best Liquidity P…Understanding commonality in liquidity around the world (2011)Understanding commonality in …The Determinants of Stock and Bond Return Comovements (2010)The Determinants of Stock and…Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)Payoff complementarities and …Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Do Market Efficiency Measures…Stock market liquidity and firm value☆ (2009)Stock market liquidity and fi…Pricing the commonality across alternative measures of liquidity (2007)Pricing the commonality acros…Risk, Return, and Equilibrium: Empirical Tests (1973)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)Limited-dependent and qualitative variables in econometrics (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)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)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)Liquidity and leverage (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 2004New lists: Fundamentals and survival rates646 cited

Cited by

  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 2021ESG Rating Disagreement and Stock Returns790 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2012A Flow-Based Explanation for Return Predictability769 cited
  • 2009Stock market liquidity and firm value☆742 cited
  • 2011Understanding commonality in liquidity around the world723 cited
  • 2010Payoff complementarities and financial fragility: Evidence from mutual fund outflows702 cited
  • 2015A Taxonomy of Anomalies and Their Trading Costs651 cited
  • 2022Common Risk Factors in Cryptocurrency623 cited
  • 2007Pricing the commonality across alternative measures of liquidity585 cited
  • 2010Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets555 cited
  • 2010The Determinants of Stock and Bond Return Comovements533 cited
  • 2015Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation528 cited
  • 2011What Are the Best Liquidity Proxies for Global Research?507 cited
  • 2012Why are US firms using more short-term debt?498 cited