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Thin‐Trading Effects in Beta: Bias v. Estimation Error
16 references·0 citing·19 second hop
Thin‐Trading Effects in Beta: Bias v. Estimation Error (2008)Thin‐Trading Effects in Beta: Bias v. Est…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Measuring security price performance (1980)Measuring security price perf…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Multivariate GARCH models: a surveyMultivariate GARCH models: a …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)A five-factor asset pricing model (2014)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Liquidity and leverage (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1980Measuring security price performance3,330 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis

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