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Trading volume and liquidity provision in cryptocurrency markets
16 references·16 citing·38 second hopsampled
Trading volume and liquidity provision in cryptocurrency markets (2022)Trading volume and liquidity provision in…Robust Inference With Multiway Clustering (2011)Robust Inference With Multiwa…Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Information and the Cost of Capital (2004)Information and the Cost of C…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Liquidity and Market Structure (1988)Liquidity and Market StructureA Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Biases in Dynamic Models with Fixed Effects (1981)Biases in Dynamic Models with…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A Trend Factor for the Cross Section of Cryptocurrency Returns (2025)A Trend Factor for the Cross …Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets (2023)Tail spillover effects betwee…Arbitrage in the market for cryptocurrencies (2023)Arbitrage in the market for c…The dynamics of returns predictability in cryptocurrency markets (2022)The dynamics of returns predi…Speculative bubbles and herding in cryptocurrencies (2022)Speculative bubbles and herdi…Machine Learning and the Cross-Section of Cryptocurrency Returns (2022)Machine Learning and the Cros…Explaining cryptocurrency returns: A prospect theory perspective (2022)Explaining cryptocurrency ret…Can salience theory explain investor behaviour? Real-world evidence from the cryptocurrency market (2022)Can salience theory explain i…Momentum or reversal: Which is the appropriate third factor for cryptocurrencies? (2021)Momentum or reversal: Which i…Evolution of bitcoin as a Financial Asset (2021)Evolution of bitcoin as a Fin…Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements (2020)Riding the Wave of Crypto-Exu…Objective and subjective risks of investing into cryptocurrencies (2020)Objective and subjective risk…Decentralized Efficiency? Arbitrage in Bitcoin Markets (2020)Decentralized Efficiency? Arb…Entrepreneurial Incentives and the Role of Initial Coin Offerings (2019)Entrepreneurial Incentives an…Common Risk Factors in Cryptocurrency (2019)Common Risk Factors in Crypto…Cryptocurrencies as an Asset Class: An Empirical Assessment (2017)Cryptocurrencies as an Asset …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)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)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Econometric Analysis of Cross Section and Panel Data (2001)Bootstrap-Based Improvements for Inference with Clustered Errors (2008)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Temperature Shocks and Economic Growth: Evidence from the Last Half Century (2012)Policy Uncertainty and Corporate Investment (2015)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)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Initial conditions and moment restrictions in dynamic panel data models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2009)Information Uncertainty and Stock Returns (2006)Liquidity and Asset Prices (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1981Biases in Dynamic Models with Fixed Effects8,724 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2011Robust Inference With Multiway Clustering3,199 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 2002

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Equilibrium and welfare in markets with financially constrained arbitrageurs
1,196 cited

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