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Illiquidity and Stock Returns Cross-Section and Time-Series Effects*
16 references·2 citing·31 second hop
Illiquidity and Stock Returns Cross-Section and Time-Series Effects* (2012)Illiquidity and Stock Returns Cross-Secti…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Expected stock returns and volatility (1987)Expected stock returns and vo…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…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…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The relationship between return and market value of common stocks (1981)The relationship between retu…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Monitoring or tunneling? Information interaction among large shareholders and the crash risk of the stock price (2020)Monitoring or tunneling? Info…Chapter 17 Microstructure and asset pricing (2003)Chapter 17 Microstructure and…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Illiquidity and stock returns: cross-section and time-series effects (2002)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 Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock 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)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1993Differences of Opinion Make a Horse Race

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Cited by

  • 2020Monitoring or tunneling? Information interaction among large shareholders and the crash risk of the stock price36 cited
  • 2003Chapter 17 Microstructure and asset pricing32 cited