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Retail investors’ trading and stock market liquidity
16 references·3 citing·37 second hop
Retail investors’ trading and stock market liquidity (2020)Retail investors’ trading and stock marke…Tracking Retail Investor Activity (2017)Tracking Retail Investor Acti…In Search of Attention (2011)In Search of AttentionJust How Much Do Individual Investors Lose by Trading? (2008)Just How Much Do Individual I…Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Do Retail Trades Move Markets? (2008)Do Retail Trades Move Markets?Asset pricing with liquidity risk (2005)Asset pricing with liquidity …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…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 …Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Commonality in liquidity (2000)Commonality in liquidityContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Employee incentive and stock liquidity: Evidence from a quasi-natural experiment in China (2025)Employee incentive and stock …Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity (2021)Sentiment‐dependent impact of…Insider trading and information asymmetry: Evidence from the Korea Exchange (2021)Insider trading and informati…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Noise Trader Risk in Financial Markets (1990)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 2011In Search of Attention3,088 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 2008Just How Much Do Individual Investors Lose by Trading?952 cited
  • 2008Do Retail Trades Move Markets?903 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2017Tracking Retail Investor Activity

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602 cited

Cited by

  • 2021Insider trading and information asymmetry: Evidence from the Korea Exchange30 cited
  • 2021Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity26 cited
  • 2025Employee incentive and stock liquidity: Evidence from a quasi-natural experiment in China17 cited