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Commonality in Liquidity and Real Estate Securities
16 references·0 citing·26 second hop
Commonality in Liquidity and Real Estate Securities (2016)Commonality in Liquidity and Real Estate …Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…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…Commonality in liquidity (2000)Commonality in liquidityThreshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Threshold effects in non-dyna…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…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 relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Financing Constraints and Corporate Investment (1987)Financing Constraints and Corporate Investment (1988)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Do green technology innovations contribute to carbon dioxide emission reduction? Empirical evidence from patent data (2019)Towards a green world: How do green technology innovations affect total-factor carbon productivity (2019)How do environmental regulation and environmental decentralization affect green total factor energy efficiency: Evidence from China (2020)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
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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
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1999Threshold effects in non-dynamic panels: Estimation, testing, and inference5,251 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2000Commonality in liquidity1,748 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2009Do liquidity measures measure liquidity?☆

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