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Illiquidity and Price Informativeness
16 references·4 citing·35 second hop
Illiquidity and Price Informativeness (2019)Illiquidity and Price InformativenessDoes Stock Liquidity Enhance or Impede Firm Innovation? (2014)Does Stock Liquidity Enhance …Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Opaque financial reports, R2, and crash risk☆ (2009)Opaque financial reports, R2,…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Mandatory IFRS Reporting around the World: Early Evidence on the Economic Consequences (2008)Mandatory IFRS Reporting arou…Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…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…Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Disclosure Policy, Informatio…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Estimating the components of the bid/ask spread (1988)Estimating the components of …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Climate shocks, institutional investors, and the information content of stock prices (2024)Climate shocks, institutional…Bridging the information gap: How digitalization shapes stock price informativeness (2024)Bridging the information gap:…The effects of environmental information disclosure on stock price synchronicity in China (2023)The effects of environmental …Tick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Qu…Earnings Management During Import Relief Investigations (1991)The economic implications of corporate financial reporting (2005)CFOs versus CEOs: Equity incentives and crashes (2011)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)Corporate social responsibility and stock price crash risk (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Positive Accounting Theory (1985)Law and Finance (1998)Earnings management and investor protection: an international comparison (2003)Nonfinancial Disclosure and Analyst Forecast Accuracy: International Evidence on Corporate Social Responsibility Disclosure (2012)The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research (2016)Disclosure processing costs, investors’ information choice, and equity market outcomes: A review (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2009Opaque financial reports, R2, and crash risk☆2,796 cited
  • 2008Mandatory IFRS Reporting around the World: Early Evidence on the Economic Consequences2,174 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2014Does Stock Liquidity Enhance or Impede Firm Innovation?1,338 cited
  • 1995Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets*1,183 cited
  • 2009

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Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
1,098 cited

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  • 2024Bridging the information gap: How digitalization shapes stock price informativeness29 cited