SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Aggregate liquidity premium and cross-sectional returns: Evidence from China
16 references·0 citing·30 second hop
Aggregate liquidity premium and cross-sectional returns: Evidence from China (2021)Aggregate liquidity premium and cross-sec…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…A five-factor asset pricing model (2014)A five-factor asset pricing m…Betting against beta (2013)Betting against betaMaxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…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: …The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The relationship between return and market value of common stocks (1981)The relationship between retu…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)The Behavior of Stock-Market Prices (1965)A model of investor sentiment / (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Comparing Predictive Accuracy (1994)Characteristics are covariances: A unified model of risk and return (2019)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Forecasting: theory and practice (2022)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Intertemporal Capital Asset Pricing Model (1973)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2020Empirical Asset Pricing via Machine Learning2,685 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2013Betting against beta2,027 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,652 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,507 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 1998

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

Liquidity and stock returns: An alternative test
1,318 cited

Cited by

No citing works inside the corpus for this window.