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Market Volatility, Liquidity Shocks, and Stock Returns: Worldwide Evidence
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Market Volatility, Liquidity Shocks, and Stock Returns: Worldwide Evidence (2017)Market Volatility, Liquidity Shocks, and …High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis (2012)Short‐Selling Bans Around the…Understanding commonality in liquidity around the world (2011)Understanding commonality in …Stock Market Declines and Liquidity (2010)Stock Market Declines and Liq…Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Do Market Efficiency Measures…Corporate Governance and Institutional Ownership (2010)Corporate Governance and Inst…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Idiosyncratic Volatility and …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Dating the integration of world equity markets (2002)Dating the integration of wor…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Technology and automation in financial trading: A bibliometric review (2024)Technology and automation in …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)Liquidity Risk and Expected Stock Returns (2003)Law and Finance (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)What Are the Best Liquidity Proxies for Global Research? (2011)How does competition affect bank systemic risk? (2013)How does deposit insurance affect bank risk? Evidence from the recent crisis (2013)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)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)The arbitrage theory of capital asset pricing (1976)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Price Efficiency and Short Selling (2010)Short Selling and the Price Discovery Process (2012)Political Incentives to Suppress Negative Information: Evidence from Chinese Listed Firms (2014)The Cross-Section of Expected Stock Returns (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)What Factors Drive Global Stock Returns? (2011)The Effects of Mandatory ESG Disclosure Around the World (2024)
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 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
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2011Understanding commonality in liquidity around the world723 cited
  • 2008Idiosyncratic Volatility and the Cross Section of Expected Returns660 cited
  • 2012Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis649 cited
  • 2010Corporate Governance and Institutional Ownership648 cited
  • 2010Stock Market Declines and Liquidity626 cited
  • 2002Dating the integration of world equity markets561 cited
  • 2010

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Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets
555 cited

Cited by

  • 2024Technology and automation in financial trading: A bibliometric review20 cited