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Liquidity Risk and Stock Returns Around the World · Study

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ArticleLiquidity Risk and Stock Returns Around the World

Samuel Xin Liang2011

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Articlegreen2011

Liquidity Risk and Stock Returns Around the World

Samuel Xin Liang · K.C. John Wei

75 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1998Law and Finance 2002Illiquidity and stock returns: cross-section and time-series effects 2003Earnings management and investor protection: an international comparison 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2006The Cross‐Section of Volatility and Expected Returns 2005Asset pricing with liquidity risk

Cited by

2011What Are the Best Liquidity Proxies for Global Research?2019Economic policy uncertainty and stock market liquidity: Evidence from G7 countries 2015Outsourcing in the International Mutual Fund Industry: An Equilibrium View 2021Stock Market Liquidity: A Literature Review 2015Liquidity and stock returns: Evidence from international markets 2016Free float and market liquidity around the world

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2015The Pricing of Illiquidity as a Characteristic and as Riskarticle · 12 shared references 2014The Empirical Analysis of Liquidityarticle · 11 shared references 2011Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?article · 11 shared references 2015Liquidity and stock returns: Evidence from international marketsarticle · 11 shared references 2019Is there an illiquidity premium in frontier markets?article · 11 shared references 2013Liquidity in asset pricing: New Australian evidence using low-frequency dataarticle · 11 shared references

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Year2011

Typearticle

Published2011-12-28

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations75

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2012.07.021

openalex_workW3125883790

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2017

Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?

2016International stock market liquidity: a review