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Determinants of stock market liquidity – a macroeconomic perspective
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Determinants of stock market liquidity – a macroeconomic perspective (2021)Determinants of stock market liquidity – …A Century of Stock Market Liquidity and Trading Costs (2026)A Century of Stock Market Liq…Measuring Liquidity in Bond Markets (2013)Measuring Liquidity in Bond M…Stock Market Liquidity and the Business Cycle (2011)Stock Market Liquidity and th…Stock Market Declines and Liquidity (2010)Stock Market Declines and Liq…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Expected Return…An information-based trade off between foreign direct investment and foreign portfolio investment (2006)An information-based trade of…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…SYSTEMATIC LIQUIDITY (2001)SYSTEMATIC LIQUIDITYMarket Liquidity and Trading Activity (2001)Market Liquidity and Trading …Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityDisclosure, 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…Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Continuous Auctions and Insider Trading (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Individualism and Momentum around the World (2010)Generalized impulse response analysis in linear multivariate models (1998)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2008)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)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Relation Between Price Changes and Trading Volume: A Survey (1987)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)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)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 2005Asset pricing with liquidity risk2,892 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,229 cited
  • 2001Common factors in prices, order flows, and liquidity1,100 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2010Stock Market Declines and Liquidity632 cited
  • 2026A Century of Stock Market Liquidity and Trading Costs484 cited
  • 2011Stock Market Liquidity and the Business Cycle420 cited
  • 2001SYSTEMATIC LIQUIDITY411 cited
  • 2013Measuring Liquidity in Bond Markets238 cited
  • 2006An information-based trade off between foreign direct investment and foreign portfolio investment172 cited

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