SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Size-adapted bond liquidity measures and their asset pricing implications
16 references·1 citing·35 second hop
Size-adapted bond liquidity measures and their asset pricing implications (2022)Size-adapted bond liquidity measures and …The Illiquidity of Corporate Bonds (2011)The Illiquidity of Corporate …Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Corporate Yield Spreads and Bond Liquidity (2007)Corporate Yield Spreads and B…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …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…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Does market microstructure affect time-varying efficiency? Evidence from emerging markets (2024)Does market microstructure af…Forecasting Economic Time Series (2000)25 years of time series forecasting (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)A Test for Superior Predictive Ability (2005)Approximately normal tests for equal predictive accuracy in nested models (2006)Volatility forecast comparison using imperfect volatility proxies (2010)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 ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2005Asset pricing with liquidity risk2,892 cited
  • 1997Testing the equality of prediction mean squared errors2,123 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2007Corporate Yield Spreads and Bond Liquidity1,104 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 2011The Illiquidity of Corporate Bonds989 cited

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

Cited by

  • 2024Does market microstructure affect time-varying efficiency? Evidence from emerging markets17 cited