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How is Liquidity Priced in Global Markets?
16 references·0 citing·42 second hopsampled
How is Liquidity Priced in Global Markets? (2020)How is Liquidity Priced in Global Markets?The law and economics of self-dealing (2008)The law and economics of self…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …What Determines Corporate Transparency? (2004)What Determines Corporate Tra…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Strategic Asset Allocation (2002)Strategic Asset AllocationIlliquidity 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…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Law and Finance (1998)The Economic Consequences of Legal Origins (2008)Women on Boards and Firm Financial Performance: A Meta-Analysis (2014)Do Institutional Investors Drive Corporate Social Responsibility? International Evidence (2015)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,024 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008The law and economics of self-dealing3,514 cited
  • 2005Asset pricing with liquidity risk2,845 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1995Time-Varying World Market Integration2,280 cited
  • 2004What Determines Corporate Transparency?2,192 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2000Commonality in liquidity1,748 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 2002Strategic Asset Allocation

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