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Liquidity Risk and Expected Stock Returns
16 references·15 citing·25 second hopsampled
Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected Stock ReturnsA Century of Stock Market Liquidity and Trading Costs (2026)A Century of Stock Market Liq…Trading activity and expected stock returns (2001)Trading activity and expected…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityTransaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Transaction Costs and Asset P…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing (1996)Evaluating the Effects of Inc…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …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…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Investor sentiment and stock market liquidity: Evidence from an emerging economy (2019)Investor sentiment and stock …Nonlinear support vector machines can systematically identify stocks with high and low future returns (2013)Nonlinear support vector mach…Pervasive Liquidity Risk (2007)Pervasive Liquidity RiskAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity risk, leverage and long-run IPO returns (2004)Liquidity risk, leverage and …Asset Prices and Asset Correlations in Illiquid Markets (2004)Asset Prices and Asset Correl…Are Momentum Profits Robust to Trading Costs? (2004)Are Momentum Profits Robust t…Presidential Address: Liquidity and Price Discovery (2003)Presidential Address: Liquidi…Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions (2002)Who Underreacts to Cash-Flow …Who underreacts to cash-flow news? evidence from trading between individuals and institutions (2002)Who underreacts to cash-flow …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Are Momentum Profits Robust to Trading Costs? (2002)Are Momentum Profits Robust t…Idiosyncratic Risk and Security Returns (2001)Idiosyncratic Risk and Securi…Downside Correlation and Expected Stock Returns (2001)Downside Correlation and Expe…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)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)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Liquidity Risk and Expected Stock Returns (2003)Does the Stock Market Overreact? (1985)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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 ApproachOn Persistence in Mutual Fund Performance (1997)PORTFOLIO SELECTION* (1952)Market Liquidity and Funding Liquidity (2008)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 2001Trading activity and expected stock returns909 cited
  • 1996Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing650 cited
  • 2026A Century of Stock Market Liquidity and Trading Costs484 cited
  • 1998Transaction Costs and Asset Prices: A Dynamic Equilibrium model

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440 cited

Cited by

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2005Asset pricing with liquidity risk2,892 cited
  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 2003Presidential Address: Liquidity and Price Discovery652 cited
  • 2004Are Momentum Profits Robust to Trading Costs?571 cited
  • 2002Who underreacts to cash-flow news? evidence from trading between individuals and institutions530 cited
  • 2001Idiosyncratic Risk and Security Returns421 cited
  • 2004Liquidity risk, leverage and long-run IPO returns302 cited
  • 2002Are Momentum Profits Robust to Trading Costs?61 cited
  • 2019Investor sentiment and stock market liquidity: Evidence from an emerging economy59 cited
  • 2007Pervasive Liquidity Risk39 cited
  • 2002Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions39 cited
  • 2004Asset Prices and Asset Correlations in Illiquid Markets38 cited
  • 2001Downside Correlation and Expected Stock Returns37 cited
  • 2013Nonlinear support vector machines can systematically identify stocks with high and low future returns37 cited