SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Illiquidity and the Measurement of Stock Price Synchronicity
16 references·5 citing·29 second hop
Illiquidity and the Measurement of Stock Price Synchronicity (2019)Illiquidity and the Measurement of Stock …Opaque financial reports, R2, and crash risk☆ (2009)Opaque financial reports, R2,…Real and Accrual-Based Earnings Management in the Pre- and Post-Sarbanes-Oxley Periods (2008)Real and Accrual-Based Earnin…R2 around the world: New theory and new tests☆ (2005)R2 around the world: New theo…Information and the Cost of Capital (2004)Information and the Cost of C…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous 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…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Does data asset disclosure contribute to the market efficiency? Evidence from China (2024)Does data asset disclosure co…Informativeness of Key Audit Matters: Evidence from China (2023)Informativeness of Key Audit …Financial derivatives, analyst forecasts, and stock price synchronicity: Evidence from an emerging market (2022)Financial derivatives, analys…The effects of cross-border cooperation on disclosure enforcement, earnings attributes, and transparency (2021)The effects of cross-border c…Informativeness of the Expanded Audit Report: Evidence from China (2019)Informativeness of the Expand…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)Market Liquidity and Funding Liquidity (2008)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Asset pricing with liquidity risk (2005)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Does board gender diversity improve the informativeness of stock prices? (2011)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
this work references cited by second hop

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
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 2008Real and Accrual-Based Earnings Management in the Pre- and Post-Sarbanes-Oxley Periods3,082 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 2005R2 around the world: New theory and new tests☆2,833 cited
  • 2009Opaque financial reports, R2, and crash risk☆2,796 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1977Estimating betas from nonsynchronous data2,751 cited
  • Cited by

    • 2024Does data asset disclosure contribute to the market efficiency? Evidence from China45 cited
    • 2019Informativeness of the Expanded Audit Report: Evidence from China38 cited
    • 2022Financial derivatives, analyst forecasts, and stock price synchronicity: Evidence from an emerging market35 cited
    • 2023Informativeness of Key Audit Matters: Evidence from China34 cited
    • 2021The effects of cross-border cooperation on disclosure enforcement, earnings attributes, and transparency28 cited