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The illiquidity premium: International evidence
16 references·16 citing·19 second hopsampled
The illiquidity premium: International evidence (2015)The illiquidity premium: International ev…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …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 liquidityA New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy (2022)Stock Market Spillovers via t…The Effects of Mandatory ESG Disclosure around the World (2021)The Effects of Mandatory ESG …Liquidity and the cross-section of international stock returns (2021)Liquidity and the cross-secti…The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets (2020)The Quest for Multidimensiona…The Night and Day of Amihud’s (2002) Liquidity Measure (2020)The Night and Day of Amihud’s…Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence (2020)Salience Theory and the Cross…Media coverage and stock price synchronicity (2019)Media coverage and stock pric…Economic policy uncertainty and stock market liquidity: Evidence from G7 countries (2019)Economic policy uncertainty a…Stock market liquidity and trading activity: Is China different? (2018)Stock market liquidity and tr…Do firms issue more equity when markets become more liquid? (2018)Do firms issue more equity wh…Asset Pricing: A Tale of Night and Day (2018)Asset Pricing: A Tale of Nigh…Ownership concentration, earnings management and stock market liquidity: evidence from Malaysia (2017)Ownership concentration, earn…Corporate governance strength and stock market liquidity in Malaysia (2017)Corporate governance strength…The MAX effect: An exploration of risk and mispricing explanations (2016)The MAX effect: An exploratio…Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock (2014)Post-Earnings-Announcement Dr…Measuring liquidity in emerging markets (2014)Measuring liquidity in emergi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)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)Liquidity and leverage (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2000Commonality in liquidity1,748 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1999

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A New Estimate of Transaction Costs
1,340 cited

Cited by

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  • 2019Media coverage and stock price synchronicity135 cited
  • 2014Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock127 cited
  • 2020The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets105 cited
  • 2020Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence104 cited
  • 2016The MAX effect: An exploration of risk and mispricing explanations85 cited
  • 2017Ownership concentration, earnings management and stock market liquidity: evidence from Malaysia82 cited
  • 2014Measuring liquidity in emerging markets78 cited
  • 2019Economic policy uncertainty and stock market liquidity: Evidence from G7 countries78 cited
  • 2022Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy75 cited
  • 2018Do firms issue more equity when markets become more liquid?73 cited
  • 2018Stock market liquidity and trading activity: Is China different?60 cited
  • 2020The Night and Day of Amihud’s (2002) Liquidity Measure56 cited
  • 2017Corporate governance strength and stock market liquidity in Malaysia54 cited
  • 2021Liquidity and the cross-section of international stock returns47 cited