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Liquidity risk and cross-sectional return in the housing market
16 references·0 citing·33 second hop
Liquidity risk and cross-sectional return in the housing market (2015)Liquidity risk and cross-sectional return…Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment (2008)Commercial Real Estate Valuat…Time-Varying Liquidity Risk and the Cross Section of Stock Returns (2007)Time-Varying Liquidity Risk a…Pricing the commonality across alternative measures of liquidity (2007)Pricing the commonality acros…Liquidity and Asset Prices (2006)Liquidity and Asset PricesMomentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Controlling for the Impact of…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Trading activity and expected stock returns (2001)Trading activity and expected…Spatial Lock-in: Do Falling House Prices Constrain Residential Mobility? (2001)Spatial Lock-in: Do Falling H…LAPM: A Liquidity‐Based Asset Pricing Model (2001)LAPM: A Liquidity‐Based Asset…A Theory of Liquidity in Residential Real Estate Markets (2001)A Theory of Liquidity in Resi…Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects (1995)Prices and Trading Volume in …Equity and Time to Sale in the Real Estate Market (1994)Equity and Time to Sale in th…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…The Efficiency of the Market for Single-Family Homes (1988)Vacancy, Search, and Prices in a Housing Market Matching Model (1990)The Trade-off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting (2003)Search and matching in the housing market (2012)Housing Market Responses to Transaction Taxes: Evidence From Notches and Stimulus in the U.K. (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2001)Taming the Factor Zoo: A Test of New Factors (2020)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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 (1965)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Valuation in Over-the-Counter Markets (2007)Corporate bond liquidity before and after the onset of the subprime crisis (2011)Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs* (2012)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Asset pricing with liquidity risk (2005)The social and private micro-level consequences of homeownership (2003)Credit Supply and the Price of Housing (2015)Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints∗ (2015)Liquidity risk and the cross-section of hedge-fund returns☆ (2010)The world price of liquidity risk (2010)Transparency and liquidity uncertainty in crisis periods (2011)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Understanding commonality in liquidity around the world (2011)Short Selling and the Price Discovery Process (2012)
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References

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  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
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  • 2001A Theory of Liquidity in Residential Real Estate Markets359 cited
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  • 2001Spatial Lock-in: Do Falling House Prices Constrain Residential Mobility?287 cited
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  • 2007Time-Varying Liquidity Risk and the Cross Section of Stock Returns231 cited

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2008
Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment
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