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The Diminishing Liquidity Premium
16 references·10 citing·27 second hop
The Diminishing Liquidity Premium (2015)The Diminishing Liquidity PremiumHandbook of the Economics of Finance (2013)Handbook of the Economics of …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 …Market liquidity as a sentiment indicator (2004)Market liquidity as a sentime…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…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…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…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Liquidity and the cross-section of international stock returns (2021)Liquidity and the cross-secti…Trade credit and stock liquidity (2020)Trade credit and stock liquid…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…HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY (2020)HOW DO YOU CAPTURE LIQUIDITY?…Is there an illiquidity premium in frontier markets? (2019)Is there an illiquidity premi…Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced? (2017)Price Impact or Trading Volum…Does oil and gold price uncertainty matter for the stock market? (2017)Does oil and gold price uncer…Liquidity, style investing and excess comovement of exchange-traded fund returns (2016)Liquidity, style investing an…Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors (2012)Flight-to-Liquidity, Market U…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)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)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)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)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Liquidity and leverage (2008)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 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
  • 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
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1983Size-related anomalies and stock return seasonality1,800 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
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 2004Market liquidity as a sentiment indicator

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Cited by

  • 2017Does oil and gold price uncertainty matter for the stock market?109 cited
  • 2017Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?105 cited
  • 2020Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence104 cited
  • 2020HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY98 cited
  • 2012Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors95 cited
  • 2020Trade credit and stock liquidity88 cited
  • 2016Liquidity, style investing and excess comovement of exchange-traded fund returns73 cited
  • 2020The Night and Day of Amihud’s (2002) Liquidity Measure56 cited
  • 2021Liquidity and the cross-section of international stock returns47 cited
  • 2019Is there an illiquidity premium in frontier markets?43 cited