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Pricing Liquidity Risk with Heterogeneous Investment Horizons
16 references·1 citing·37 second hopsampled
Pricing Liquidity Risk with Heterogeneous Investment Horizons (2011)Pricing Liquidity Risk with Heterogeneous…Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Illiquidity and Stock Returns…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…The Illiquidity of Corporate Bonds (2011)The Illiquidity of Corporate …Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Expected Return…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Investor Sentiment and the Cross-Section of Stock Returns (2003)Investor Sentiment and the Cr…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)The Influence of Institutiona…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns (2012)Unknown Unknowns: Vol-of-Vol …The Capital Structure Puzzle (1984)Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders (1996)Earnings management to avoid earnings decreases and losses (1997)A Review of the Earnings Management Literature and Its Implications for Standard Setting (1999)Earnings Management through Real Activities Manipulation (2003)The economic implications of corporate financial reporting (2005)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)A five-factor asset pricing model (2014)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)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)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)Understanding commonality in liquidity around the world (2011)Manager sentiment and stock returns (2018)Liquidity and leverage (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1998The Influence of Institutional Investors on Myopic R&D Investment Behavior3,013 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2003Investor Sentiment and the Cross-Section of Stock Returns1,456 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 2011The Illiquidity of Corporate Bonds989 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

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  • 2012Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns21 cited