1. Asset Pricing in the Resource-Constrained Brain. (2024). Siddiqi, Hammad.
   In: MPRA Paper.
   RePEc:pra:mprapa:120526.

   Full description at Econpapers || Download paper

2. ESG, Cultural Distance and Corporate Profitability: Evidence from Chinese Multinationals. (2023). Liu, Zizhen ; Xu, Xin.
   In: Sustainability.
   RePEc:gam:jsusta:v:15:y:2023:i:8:p:6771-:d:1125750.

   Full description at Econpapers || Download paper

1. Amihud, Y. Illiquidity and stock returns: cross-section and time-series effects. 2002 J. Financ. Mark.. 5 31-56

2. Antoniou, C. ; Doukas, J.A. ; Subrahmanyam, A. Cognitive dissonance, sentiment, and momentum. 2013 J. Financ. Quant. Anal.. 48 245-275

3. Baker, M. ; Stein, J.C. Market liquidity as a sentiment indicator. 2004 J. Financ. Mark.. 7 271-299

4. Baker, M. ; Wurgler, J. Investor sentiment and the cross-section of stock returns. 2006 J. Financ.. 61 1645-1680

5. Ball, R. ; Gerakos, J. ; Linnainmaa, J.T. ; Nikolaev, V.V. Deflating profitability. 2015 J. Financ. Econ.. 117 225-248

6. Barber, B.M. ; Lee, Y.T. ; Liu, Y.J. ; Odean, T. Just how much do individual investors lose by trading?. 2009 Rev. Financ. Stud.. 22 609-632

7. Barber, B.M. ; Odean, T. All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors. 2008 Rev. Financ. Stud.. 21 785-818

8. Barillas, F. ; Shanken, J. Comparing asset pricing models. 2018 J. Financ.. 73 715-754

9. Bartov, E. ; Radhakrishnan, S. ; Krinsky, I. Investor sophistication and patterns in stock returns after earnings announcements. 2000 Account. Rev.. 75 43-63
   Paper not yet in RePEc: Add citation now
   
10. Bender, J. ; Sun, X. ; Thomas, R. ; Zdorovtsov, V. The promises and pitfalls of factor timing. 2018 J. Portf. Manag.. 44 79-92
    Paper not yet in RePEc: Add citation now
    

11. Bouchaud, J.P. ; Krueger, P. ; Landier, A. ; Thesmar, D. Sticky expectations and the profitability anomaly. 2019 J. Financ.. 74 639-674

12. Brown, G.W. ; Cliff, M.T. Investor sentiment and the near-term stock market. 2004 J. Empir. Financ.. 11 1-27

13. Chen, C.Y. The Magnitude and Rationale of the Profitability Effect. 2020 National University of Kaohsiung:
    Paper not yet in RePEc: Add citation now
    

14. Chen, T.F. The profitability effect: Insights from international equity markets. 2018 Eur. Financ. Manag.. 24 545-580

15. Chordia, T. ; Shivakumar, L. Inflation illusion and post-earnings-announcement drift. 2005 J. Account. Res.. 43 521-556

16. Daniel, K. ; Titman, S. Evidence on the characteristics of cross sectional variation in stock returns. 1997 J. Financ.. 52 1-33

17. Fama, E.F. ; French, K.R. A five-factor asset pricing model. 2015 J. Financ. Econ.. 116 1-22

18. Fama, E.F. ; French, K.R. French, 1993, Common risk factors in the returns on bonds and stocks. 1993 J. Financ. Econ.. 33 3-56

19. Fama, E.F. ; MacBeth, J.D. Risk, return, and equilibrium: empirical tests. 1973 J. Polit. Econ.. 81 607-636

20. Feng, G. ; Giglio, S. ; Xiu, D. Taming the factor zoo: a test of new factors. 2020 J. Financ.. 75 1327-1370

21. Grinblatt, M. ; Keloharju, M. Sensation seeking, overconfidence, and trading activity. 2009 J. Financ.. 64 549-578

22. Hong, H. ; Lim, T. ; Stein, J.C. Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies. 2000 J. Financ.. 55 265-295

23. Hou, K. ; Karolyi, G.A. ; Kho, B.C. What factors drive global stock returns?. 2011 Rev. Financ. Stud.. 24 2527-2574

24. Hou, K. ; Xiong, W. ; Peng, L. A tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum. 2009 :

25. Hou, K. ; Xue, C. ; Zhang, L. Digesting anomalies: an investment approach. 2015 Rev. Financ. Stud.. 28 650-705

26. Kumar, A. Who gambles in the stock market?. 2009 J. Financ.. 64 1889-1933

27. Newey, W.K. ; West, K.D. Hypothesis testing with efficient method of moments estimation. 1987 International Economic Review. 777-787

28. Novy-Marx, R. The other side of value: the gross profitability premium. 2013 J. Financ. Econ.. 108 1-28

29. Stambaugh, R.F. ; Yu, J. ; Yuan, Y. The short of it: investor sentiment and anomalies. 2012 J. Financ. Econ.. 104 288-302

30. Yu, J. ; Yuan, Y. Investor sentiment and the mean–variance relation. 2011 J. Financ. Econ.. 100 367-381
    Paper not yet in RePEc: Add citation now
    

31. Zhang, L. The investment CAPM. 2017 Eur. Financ. Manag.. 23 545-603

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. A fractional Hawkes process for illiquidity modeling. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
   In: LIDAM Discussion Papers ISBA.
   RePEc:aiz:louvad:2023001.

   Full description at Econpapers || Download paper

3. Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model. (2019). Ito, Tomoki ; Abe, Masaya ; Izumi, Kiyoshi ; Nakagawa, Kei.
   In: Papers.
   RePEc:arx:papers:1901.11493.

   Full description at Econpapers || Download paper

4. Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach. (2018). .
   In: Margin: The Journal of Applied Economic Research.
   RePEc:sae:mareco:v:12:y:2018:i:4:p:387-413.

   Full description at Econpapers || Download paper

5. Firm Size and Stock Returns: A Meta-Analysis. (2017). Novak, Jiri ; Havranek, Tomas ; Astakhov, Anton.
   In: Working Papers IES.
   RePEc:fau:wpaper:wp2017_14.

   Full description at Econpapers || Download paper

6. Stock Market Liquidity in Chile. (2016). Brandao Marques, Luis ; Brandao-Marques, Luis.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2016/223.

   Full description at Econpapers || Download paper

7. Liquidity effects and FFA returns in the international shipping derivatives market. (2015). Tsouknidis, Dimitris ; Kappou, Konstantina ; Visvikis, Ilias ; Alizadeh, Amir H..
   In: Transportation Research Part E: Logistics and Transportation Review.
   RePEc:eee:transe:v:76:y:2015:i:c:p:58-75.

   Full description at Econpapers || Download paper

8. 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

9. 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

10. Adverse selection and the presence of informed trading. (2015). Chang, Sanders ; Wang, Albert F.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:19-33.

    Full description at Econpapers || Download paper

11. First to “Read” the News: News Analytics and Institutional Trading. (2015). Massa, Massimo ; Keim, Donald B ; von Beschwitz, Bastian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10534.

    Full description at Econpapers || Download paper

12. 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

13. Subcontracting in International Asset Management: New Evidence on Market Integration. (2015). Massa, Massimo ; Schumacher, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10465.

    Full description at Econpapers || Download paper

14. 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

15. Complete subset regressions. (2013). Elliott, Graham ; Gargano, Antonio ; Timmermann, Allan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:357-373.

    Full description at Econpapers || Download paper

16. An empirical analysis of corporate insiders trading performance. (2012). Wang, Xuewu ; Lei, Qin ; Rajan, Murli.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:3:p:246-264.

    Full description at Econpapers || Download paper

17. 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

18. Does attention affect individual investors investment return?. (2012). Xu, Zhi ; Chen, Zhengrong ; Shi, Rongsheng ; Huang, Jing.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:143-162.

    Full description at Econpapers || Download paper

19. 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

20. What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?. (2012). Wright, Jonathan.
    In: Economic Journal.
    RePEc:ecj:econjl:v:122:y:2012:i:564:p:f447-f466.

    Full description at Econpapers || Download paper

21. Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment. (2010). Strange, Roger ; Piesse, Jenifer ; Hearn, Bruce.
    In: International Business Review.
    RePEc:eee:iburev:v:19:y:2010:i:5:p:489-501.

    Full description at Econpapers || Download paper

22. 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

23. 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

24. 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

25. Market Liquidity, Asset Prices and Welfare. (2008). Huang, Jennifer ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14058.

    Full description at Econpapers || Download paper

26. Testing Conditional Asset Pricing Models: An Emerging Market Perspective. (2008). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-3.

    Full description at Econpapers || Download paper

27. Emerging market liquidity and crises. (2007). Van Horen, Neeltje ; Schmukler, Sergio ; Levy Yeyati, Eduardo.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:4445.

    Full description at Econpapers || Download paper

28. 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

29. Why Do Private Acquirers Pay So Little Compared to Public Acquirers?. (2007). Stulz, René ; Schlingemann, Frederik ; Bargeron, Leonce ; Zutter, Chad.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13061.

    Full description at Econpapers || Download paper

30. Pricing Implications of Shared Variance in Liquidity Measures. (2007). Skjeltorp, Johannes ; Næs, Randi ; Nas, Randi ; Chollete, Loran.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_009.

    Full description at Econpapers || Download paper

31. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks. (2007). Karolyi, G. ; Gagnon, Louis.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-11.

    Full description at Econpapers || Download paper

32. 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

33. Asset Prices and asset Correlations in Illiquid Markets. (2006). Brunetti, Celso.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:331.

    Full description at Econpapers || Download paper

34. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

    Full description at Econpapers || Download paper

35. R2 and Price Inefficiency. (2006). Xiong, Wei ; Hou, Kewei ; Peng, Lin.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-23.

    Full description at Econpapers || Download paper

36. 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

37. Cross-Border Trading as a Mechanism for Implicit Capital Flight: ADRs and the Argentine Crisis. (2005). Tesar, Linda ; Dominguez, Kathryn ; Auguste, Sebastian ; Kathryn M. E. Dominguez, ; Kamil, Herman.
    In: Working Papers.
    RePEc:mie:wpaper:533.

    Full description at Econpapers || Download paper

38. Paying for Market Quality. (2005). Weaver, Daniel G. ; Tanggaard, Carsten ; Anand, Amber.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-06.

    Full description at Econpapers || Download paper

39. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
    In: Staff Reports.
    RePEc:fip:fednsr:207.

    Full description at Econpapers || Download paper

40. Liquidity, default, taxes and yields on municipal bonds. (2005). Wang, Junbo ; Zhang, Frank ; Wu, Chunchi.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-35.

    Full description at Econpapers || Download paper

41. 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

42. Disclosure and liquidity. (2005). Espinosa, Monica ; Tapia, Mikel ; Trombetta, Marco.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb050202.

    Full description at Econpapers || Download paper

43. Hypothesis Testing in Predictive Regressions. (2004). Hurvich, Clifford ; Amihud, Yakov ; Wang, YI.
    In: Finance.
    RePEc:wpa:wuwpfi:0412022.

    Full description at Econpapers || Download paper

44. Predictive Regressions: A Reduced-Bias Estimation Method. (2004). Hurvich, Clifford ; Amihud, Yakov.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412008.

    Full description at Econpapers || Download paper

45. 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

46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

    Full description at Econpapers || Download paper

47. Multi-market Trading and Arbitrage. (2004). Karolyi, G. ; Gagnon, Louis.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-9.

    Full description at Econpapers || Download paper

48. From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings. (2004). Harris, Jeffrey ; Panchapagesan, Venkatesh ; Angel, James J. ; Werner, Ingrid.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-22.

    Full description at Econpapers || Download paper

49. Asset Pricing with Liquidity Risk. (2003). Pedersen, Lasse ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3749.

    Full description at Econpapers || Download paper

50. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-27.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 19:29:50 || Missing content? Let us know