1. Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program. (2020). Roesch, Dominik ; Lee, Albert ; Chung, Kee H ; Rosch, Dominik.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:136:y:2020:i:3:p:879-899.

   Full description at Econpapers || Download paper

2. Economics with Market Liquidity Risk. (2019). Pedersen, Lasse ; Acharya, Viral.
   In: Critical Finance Review.
   RePEc:now:jnlcfr:104.00000083.

   Full description at Econpapers || Download paper

3. Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity. (2019). Griffith, Todd ; Roseman, Brian S.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:101:y:2019:i:c:p:104-121.

   Full description at Econpapers || Download paper

1. Acharya, Viral V., and Lasse Heje Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 375 – 410.

2. Ahn, Hee-Joon, Charles Q. Cao, and Hyuk Choe, 1996, Tick size, spread, and volume, Journal of Financial Intermediation 5, 2–22.

3. Aiyagari, S.Rao, and Mark Gertler, 1991, Asset returns with transactions costs and uninsured individual risk, Journal of Monetary Economics 27, 311 – 331.

4. Albuquerque, Rui, Eva De Francisco, and Luis B. Marques, 2008, Marketwide private information in stocks: Forecasting currency returns, The Journal of Finance 63, 2297– 2343.

5. Amihud, Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31 – 56.

6. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223 – 249.

7. Amihud, Yakov, and Haim Mendelson, 1988, Liquidity and asset prices: Financial management implications, Financial Management 17, 5–15.
   Paper not yet in RePEc: Add citation now
   

8. Amihud, Yakov, Haim Mendelson, and Beni Lauterbach, 1997, Market microstructure and securities values: Evidence from the tel aviv stock exchange, Journal of Financial Economics 45, 365 – 390.

9. Angel, James J., 1997, Tick size, share prices, and stock splits, The Journal of Finance 52, 655–681.

10. Anshuman, V. Ravi, and Avner Kalay, 1998, Market making with discrete prices, The Review of Financial Studies 11, 81–109.

11. Balduzzi, Pierluigi, and Anthony W Lynch, 1999, Transaction costs and predictability: some utility cost calculations, Journal of Financial Economics 52, 47 – 78.

12. Barclay, Michael J., Eugene Kandel, and Leslie M. Marx, 1998, The effects of transaction costs on stock prices and trading volume, Journal of Financial Intermediation 7, 130 – 150.

13. Beber, Alessandra, Joost Driessen, and Patrick Tuijp, 2012, Pricing liquidity risk with heterogeneous investment horizons Unpublished Working Paper.

14. Beschwitz, Bastian von, Donald B. Keim, and Massimo Massa, 2015, First to read the news: News analytics and high frequency trading, Unpublished working paper, Federal Reserve Board.
    Paper not yet in RePEc: Add citation now
    

15. Bessembinder, Hendrik, 2003, Trade execution costs and market quality after decimalization, The Journal of Financial and Quantitative Analysis 38, 747–777.

16. Bessembinder, Hendrik, Jia Hao, and Kuncheng Zheng, 2015, Market making contracts, firm value, and the ipo decision, The Journal of Finance 70, 1997–2028.

17. Boehmer, Ekkehart, and Eric K. Kelley, 2009, Institutional investors and the informational efficiency of prices, The Review of Financial Studies 22, 3563–3594.

18. Boehmer, Ekkehart, and Juan (Julie) Wu, 2013, Short selling and the price discovery process, The Review of Financial Studies 26, 287–322.

19. Brennan, Michael J., and Avanidhar Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441 – 464.

20. Bris, ArturO, William N. Goetzmann, and Ning Zhu, 2007, Efficiency and the bear: Short sales and markets around the world, The Journal of Finance 62, 1029–1079.

21. Buss, Adrian, Raman Uppal, and Grigory Vilkov, 2011, Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs Unpublished Working Paper.

22. Carhart, Mark M., 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.

23. Cella, Cristina, Andrew Ellul, and Mariassunta Giannetti, 2013a, Investors’ horizons and the amplification of market shocks, The Review of Financial Studies 26, 1607–1648.

24. Cella, Cristina, Andrew Ellul, and Mariassunta Giannetti, 2013b, Investors’ horizons and the amplification of market shocks, The Review of Financial Studies 26, 1607–1648.
    Paper not yet in RePEc: Add citation now
    

25. Chakravarty, Sugato, Robert A. Wood, and Robert A. Van Ness, 2004, Decimals and liquidity: A study of the nyse, Journal of Financial Research 27, 75–94.

26. Chao, Yong, Chen Yao, and Mao Ye, 2017, Why discrete price fragments u.s. stock exchanges and disperse their fee structures?, The Review of Financial Studies forthcoming.

27. Chen, Qi, Itay Goldstein, and Wei Jiang, 2007, Price informativeness and investment sensitivity to stock price, The Review of Financial Studies 20, 619–650.

28. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2000, Commonality in liquidity, Journal of Financial Economics 56, 3 – 28.

29. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2008, Liquidity and market efficiency, Journal of Financial Economics 87, 249 – 268.

30. Comerton-Forde, Carole, and Tlis J. Putni, 2015, Dark trading and price discovery, Journal of Financial Economics 118, 70 – 92.

31. Constantinides, George, 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842–62.

32. Cordellaa, Tito, and Thierry Foucault, 1999, Minimum price variations, time priority, and quote dynamics, Journal of Financial Intermediation 8, 141–173.

33. Easley, David, and Maureen O’hara, 2004, Information and the cost of capital, The Journal of Finance 59, 1553–1583.

34. Easley, David, Nicholas M. Kiefer, Maureen O’Hara, and Joseph B. Paperman, 1996, Liquidity, information, and infrequently traded stocks, The Journal of Finance 51, 1405– 1436.

35. Easley, David, Soeren Hvidkjaer, and Maureen O’Hara, 2002, Is information risk a determinant of asset returns?, The Journal of Finance 57, 2185–2221.

36. Ellul, Andrew, and Marco Pagano, 2006, Ipo underpricing and after-market liquidity, The Review of Financial Studies 19, 381–421.

37. Elyasiani, Elyas, Shmuel Hauser, and Beni Lauterbach, 2000, Market response to liquidity improvements: Evidence from exchange listings, Financial Review 35, 1–14.

38. Foucault, Thierry, Marco Pagano, and Ailsa Roell, 2013, Market Liquidity Theory, Evidence, and Policy (Oxford University Press).

39. Foucault, Thierry, Ohad Kadan, and Eugene Kandel, 2005, Limit order book as a market for liquidity, The Review of Financial Studies 18, 1171–1217.

40. Garleanu, Nicolae, and Lasse Heje Pedersen, 2004, Adverse selection and the required return, The Review of Financial Studies 17, 643–665.

41. Gaspar, Jos-Miguel, Massimo Massa, and Pedro Matos, 2005, Shareholder investment horizons and the market for corporate control, Journal of Financial Economics 76, 135 – 165.

42. Goettler, Ronald L., Christine A. Parlour, and Uday Rajan, 2005, Equilibrium in a dynamic limit order market, The Journal of Finance 60, 2149–2192.

43. Goldstein, Michael A., and Kenneth A. Kavajecz, 2000, Eighths, sixteenths and market depth: Changes in tick size and liquidity provision on the nyse, Journal of Financial Economics 56, 125–149.

44. Griffith, Todd G., and Brian S. Roseman, 2017, Making cents of tick sizes: An investigation of the 2016 u.s. sec tick size pilot Unpublished Working Paper.
    Paper not yet in RePEc: Add citation now
    

45. Grossman, Sanford J., and Merton H. Miller, 1988, Liquidity and market structure, The Journal of Finance 43, 617–633.

46. Hagstrmer, Bjrn, and Lars Nordn, 2013, The diversity of high-frequency traders, Journal of Financial Markets 16, 741 – 770, High-Frequency Trading.
    Paper not yet in RePEc: Add citation now
    
47. Hansen, Peter Reinhard, Yifan Li, and Asger Lundec Andrew J. Pattond, 2017, Mind the gap: An early empirical analysis of secs tick size pilot program Unpublished Working Paper.
    Paper not yet in RePEc: Add citation now
    

48. Harris, Lawrence, 1991, Stock price clustering and discreteness, The Review of Financial Studies 4, 389–415.

49. Harris, Lawrence, 1994, Minimum price variations, discrete bid–ask spreads, and quotation sizes, The Review of Financial Studies 7, 149–178.

50. Harris, Lawrence, 1997, Decimalization: A review of the arguments and evidence, Unpublished working paper, University of Southern California.
    Paper not yet in RePEc: Add citation now
    

51. Hasbrouck, Joel, 1991, Measuring the information content of stock trades, The Journal of Finance 46, 179–207.

52. Hasbrouck, Joel, 1993, Assessing the quality of a security market: A new approach to transaction- cost measurement, The Review of Financial Studies 6, 191–212.

53. Heaton, John, and Deborah J. Lucas, 1996, Evaluating the effects of incomplete markets on risk sharing and asset pricing, Journal of Political Economy 104, 443–487.

54. Holden, Craig W., and Stacey Jacobsen, 2014, Liquidity measurement problems in fast, competitive markets: Expensive and cheap solutions, The Journal of Finance 69, 1747– 1785.

55. Hou, Kewei, and Tobias J. Moskowitz, 2005, Market frictions, price delay, and the crosssection of expected returns, The Review of Financial Studies 18, 981–1020.

56. Huang, Ming, 2003, Liquidity shocks and equilibrium liquidity premia, Journal of Economic Theory 109, 104 – 129.

57. Huberman, Gur, and Dominika Halka, 2001, Systematic liquidity, Journal of Financial Research 24, 161–178.
    Paper not yet in RePEc: Add citation now
    
58. Jon Kerr, Gil Sadka, and Ronnie Sadka, 2017, Illiquidity and price informativeness Unpublished working Paper.
    Paper not yet in RePEc: Add citation now
    

59. Jones, Charles M., and Marc L. Lipson, 2001, Sixteenths: direct evidence on institutional execution costs, Journal of Financial Economics 59, 253–278.

60. Kadan, Ohad, 2006, So who gains from a small tick size?, Journal of Financial Intermediation 15, 32 – 66.

61. Lee, Charles M. C., and Mark J. Ready, 1991, Inferring trade direction from intraday data, The Journal of Finance 46, 733–746.

62. Lin, Yiping, Peter L. Swan, and Vito Mollica, 2017, Tick size is little more than an impediment to liquidity trading: Theory and market experimental evidence Unpublished Working Paper.
    Paper not yet in RePEc: Add citation now
    

63. Lo, AndrewW., Harry Mamaysky, and Jiang Wang, 2004, Asset prices and trading volume under fixed transactions costs, Journal of Political Economy 112, 1054–1090.

64. Muscarella, Chris J., and Michael S. Piwowar, 2001, Market microstructure and securities values:: Evidence from the paris bourse, Journal of Financial Markets 4, 209 – 229.

65. O’Hara, Maureen, 2003, Presidential address: Liquidity and price discovery, The Journal of Finance 58, 1335–1354.
    Paper not yet in RePEc: Add citation now
    
66. O’Hara, Maureen, Gideon Saar, and Zhuo Zhong, 2015, Relative tick size and the trading environment, Unpublished working paper, Cornell University.
    Paper not yet in RePEc: Add citation now
    

67. Pastor, Lubos, and Robert F. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 111, 642–685.

68. Porter, David, and Daniel Weaver, 1997, Tick size and market quality 26.

69. Sadka, Ronnie, 2010, Liquidity risk and the cross-section of hedge-fund returns, Journal of Financial Economics 98, 54 – 71.

70. Sadka, Ronnie, 2011, Liquidity risk and accounting information, Journal of Accounting and Economics 52, 144 – 152.

71. Seppi, Duane J., 1997, Liquidity provision with limit orders and strategic specialist, The Review of Financial Studies 10, 103–150.

72. the Wall Street Journal, 2016, Fifteen years after decimalization, ‘tick size’ widening for some small-company stocks .
    Paper not yet in RePEc: Add citation now
    
73. Thornton, Grant, 2014, Foster growth for small u.s. business by enhancing market structure .
    Paper not yet in RePEc: Add citation now
    

74. Vayanos, Dimitri, 1998, Transaction costs and asset prices: A dynamic equilibrium model, The Review of Financial Studies 11, 1–58.

75. Vayanos, Dimitri, and Jean-Luc Vila, 1999, Equilibrium interest rate and liquidity premium with transaction costs (Economic Theory).

76. Weild, David, Edward Kim, and Lisa Newport, 2012, The trouble with small tick sizes., Unpublished working paper, Grant Thornton.
    Paper not yet in RePEc: Add citation now
    

77. Weld, William C., Roni Michaely, Richard H. Thaler, and Shlomo Benartzi, 2009, The nominal share price puzzle, The Journal of Economic Perspectives 23, 121–142.

78. Werner, Ingrid M, Yuanji Wen, Barbara Rindi, Francesco Consonni, and Sabrina Buti, 2015, Tick size: theory and evidence, Unpublished working paper, Fisher College of Business.

79. Yao, Chen, and Mao Ye, 2017, Why trading speed matters: A tale of queue rationing under price controls, The Review of Financial Studies forthcoming.
    Paper not yet in RePEc: Add citation now
    
80. Ye, Mao, 2011, A glimpse into the dark: Price formation, transaction cost and market share of the crossing network, Unpublished working paper, University of Illinois at Urbana-Champaign.
    Paper not yet in RePEc: Add citation now
    

81. Zhao, Xin, and Kee H. Chung, 2006, Decimal pricing and information-based trading: Tick size and informational efficiency of asset price, Journal of Business Finance & Accounting 33, 753–766.

82. Zhu, Haoxiang, 2014, Do dark pools harm price discovery?, The Review of Financial Studies 27, 747–789.

1. Persistence in Financial Connectedness and Systemic Risk. (2023). Baruník, Jozef ; Ellington, Michael.
   In: Papers.
   RePEc:arx:papers:2007.07842.

   Full description at Econpapers || Download paper

2. Opinion divergence, unexpected trading volume and stock returns: Evidence from China. (2015). Qin, LU ; Chen, Lin ; Zhu, Hongquan.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:36:y:2015:i:c:p:119-127.

   Full description at Econpapers || Download paper

3. Measuring the liquidity part of volume. (2015). darolles, serge ; Mero, Gulten ; le Fol, Gaelle.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:50:y:2015:i:c:p:92-105.

   Full description at Econpapers || Download paper

4. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). Kyriazis, Dimitris ; ARTIKIS, PANAGIOTIS ; Apergis, Nicholas.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:38:y:2015:i:c:p:42-64.

   Full description at Econpapers || Download paper

5. Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2015). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10497.

   Full description at Econpapers || Download paper

6. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets. (2015). Vilkov, Grigory ; Uppal, Raman ; Buss, Adrian.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10437.

   Full description at Econpapers || Download paper

7. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Muhle-Karbe, Johannes ; Kallsen, Jan.
   In: Papers.
   RePEc:arx:papers:1303.3148.

   Full description at Econpapers || Download paper

8. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10151.

   Full description at Econpapers || Download paper

9. Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry. (2013). Suardi, Sandy ; Ding, Mingfa ; Nilsson, Birger.
   In: Working Papers.
   RePEc:hhs:lunewp:2013_010.

   Full description at Econpapers || Download paper

10. Finance: Function Matters, Not Size. (2013). Cochrane, John.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:27:y:2013:i:2:p:29-50.

    Full description at Econpapers || Download paper

11. Flight to liquidity due to heterogeneity in investment horizon. (2012). Wang, Xuewu ; Lei, Qin.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

    Full description at Econpapers || Download paper

12. Primary market characteristics and secondary market frictions of stocks. (2012). Boehme, Rodney ; Çolak, Gönül, .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:286-327.

    Full description at Econpapers || Download paper

13. Liquidity problems in the FX liquid market: Ask for the BIL.. (2010). Le Fol, Gaelle ; Idier, Julien ; Borgy, Vladimir.
    In: Working papers.
    RePEc:bfr:banfra:279.

    Full description at Econpapers || Download paper

14. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Predescu, Mirela ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1003.0889.

    Full description at Econpapers || Download paper

15. Illiquidity and Stock Returns. (2010). Mooradian, Robert M..
    In: Review of Applied Economics.
    RePEc:ags:reapec:143268.

    Full description at Econpapers || Download paper

16. Dynamic Sources of Sovereign Bond Market Liquidity. (2009). .
    In: MPRA Paper.
    RePEc:pra:mprapa:19677.

    Full description at Econpapers || Download paper

17. The diminishing liquidity premium. (2008). Kadan, Ohad ; Ben-Rephael, Azi ; Wohl, Avi.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200852.

    Full description at Econpapers || Download paper

18. MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members. (2008). Pieirochousa, Juan ; Melikyan, Davit N. ; Tamazian, Artur.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-916.

    Full description at Econpapers || Download paper

19. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

20. The Risk Components of Liquidity. (2008). Skjeltorp, Johannes ; Næs, Randi ; Nas, Randi ; Chollete, Loran.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_007.

    Full description at Econpapers || Download paper

21. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

    Full description at Econpapers || Download paper

22. Is There Hedge Fund Contagion?. (2008). Stulz, René ; Boyson, Nicole ; Stahel, Christof.
    In: Working Papers.
    RePEc:ecl:upafin:08-2.

    Full description at Econpapers || Download paper

23. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-8.

    Full description at Econpapers || Download paper

24. Commodity Price Exposure and Ownerhsip Clienteles. (2008). Davies, Phil ; Schrand, Catherine ; Minton, Bernadette.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-7.

    Full description at Econpapers || Download paper

25. Expected returns and liquidity risk: Does entrepreneurial income matter?. (2008). Saffi, Pedro.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0749.

    Full description at Econpapers || Download paper

26. Portfolio choice and the effects of liquidity. (2007). Rubio, Gonzalo ; Gonzalez, Ana.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1035.

    Full description at Econpapers || Download paper

27. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12877.

    Full description at Econpapers || Download paper

28. Three Liquidity Crises in Retrospective: Implications for Central Banking Today. (2007). Sauer, Stephan.
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:2011.

    Full description at Econpapers || Download paper

29. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

    Full description at Econpapers || Download paper

30. Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World. (2007). van Dijk, Mathijs ; Karolyi, G. ; LEE, KUANHUI .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2007-16.

    Full description at Econpapers || Download paper

31. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6390.

    Full description at Econpapers || Download paper

32. Fire Sales, Foreign Entry and Bank Liquidity. (2007). Yorulmazer, Tanju ; Shin, Hyun Song ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6309.

    Full description at Econpapers || Download paper

33. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6117.

    Full description at Econpapers || Download paper

34. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. (2006). Beber, Alessandro ; Brandt, Michael W. ; Kavajecz, Kenneth A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12376.

    Full description at Econpapers || Download paper

35. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12360.

    Full description at Econpapers || Download paper

36. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12020.

    Full description at Econpapers || Download paper

37. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

    Full description at Econpapers || Download paper

38. The Nontradable Share Reform in the Chinese Stock Market. (2006). Bortolotti, Bernardo ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:fem:femwpa:2006.131.

    Full description at Econpapers || Download paper

39. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

    Full description at Econpapers || Download paper

40. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5491.

    Full description at Econpapers || Download paper

41. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11413.

    Full description at Econpapers || Download paper

42. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

    Full description at Econpapers || Download paper

43. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-10.

    Full description at Econpapers || Download paper

44. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

    Full description at Econpapers || Download paper

45. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10755.

    Full description at Econpapers || Download paper

46. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:425.

    Full description at Econpapers || Download paper

47. Liquidity Black Holes. (2003). Shin, Hyun Song ; Morris, Stephen.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1434.

    Full description at Econpapers || Download paper

48. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Miguel Angel A. Martinez, ; Rubio, Gonzalo ; Nieto, Belen.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200205.

    Full description at Econpapers || Download paper

49. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Tapia, Mikel ; Rubio, Gonzalo ; Nieto, Belen.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb026022.

    Full description at Econpapers || Download paper

50. Liquidity Risk and Expected Stock Returns. (2002). Stambaugh, Robert ; Pastor, Lubos.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3494.

    Full description at Econpapers || Download paper

Report date: 2025-09-16 12:55:14 || Missing content? Let us know