SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Liquidity, Volume, and Order Imbalance Volatility
16 references·1 citing·30 second hop
Liquidity, Volume, and Order Imbalance Volatility (2023)Liquidity, Volume, and Order Imbalance Vo…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The distribution of realized stock return volatility (2001)The distribution of realized …Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityLiquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Liquidity and Market Structure (1988)Liquidity and Market StructureA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Cost of Transacting (1968)The Cost of TransactingHeterogeneous liquidity providers and night-minus-day return predictability (2023)Heterogeneous liquidity provi…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)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)Information Effects on the Bid-Ask Spread (1983)Noise Trader Risk in Financial Markets (1990)Is Information Risk a Determinant of Asset Returns? (2002)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1968The Cost of Transacting1,909 cited
  • 2000Commonality in liquidity1,748 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets

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

1,450 cited

Cited by

  • 2023Heterogeneous liquidity providers and night-minus-day return predictability23 cited