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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
16 references·5 citing·24 second hop
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2009)Liquidity in the Foreign Exchange Market:…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityThe Limits of Arbitrage (1995)The Limits of ArbitrageTrading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Forward and spot exchange rates (1984)Forward and spot exchange rat…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The impact of jumps on carry trade returns (2018)The impact of jumps on carry …Can implied volatility predict returns on the currency carry trade? (2015)Can implied volatility predic…Time-varying systematic and idiosyncratic risk exposures of US bank holding companies (2014)Time-varying systematic and i…Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model (2013)Funding Liquidity, Market Liq…Liquidity commonality in commodities (2012)Liquidity commonality in comm…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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)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)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Liquidity and leverage (2008)
this work references cited by second hop

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
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2000Commonality in liquidity1,748 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2001Market Liquidity and Trading Activity1,555 cited

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Cited by

  • 2012Liquidity commonality in commodities85 cited
  • 2014Time-varying systematic and idiosyncratic risk exposures of US bank holding companies39 cited
  • 2018The impact of jumps on carry trade returns35 cited
  • 2013Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model33 cited
  • 2015Can implied volatility predict returns on the currency carry trade?30 cited