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Measuring the liquidity part of volume
16 references·0 citing·37 second hop
Measuring the liquidity part of volume (2014)Measuring the liquidity part of volumeMarket Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Stock Prices and Volume (1992)Stock Prices and VolumePositive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Liquidity and Market Structure (1988)Liquidity and Market StructureThe Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)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)Does the Stock Market Overreact? (1985)The impact of institutional trading on stock prices (1992)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Liquidity and leverage (2008)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 2004

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An econometric model of serial correlation and illiquidity in hedge fund returns
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