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The Smallest Firm Effect: an International Study. (2011). De Moor, Lieven ; Sercu, Piet.
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  106. Smallest 2 3 4 5 6 7 8 9 Biggest Panel A: Liu (2006) liquidity-augmented CAPM (%) 2.43 0.61 0.33 0.33 0.27 0.23 0.16 0.11 0.08 0.01 8.46 2.67 1.67 1.83 1.65 1.49 1.16 0.89 0.79 0.30 0.88 0.91 0.91 0.95 0.94 0.94 0.96 0.98 1.01 1.02 12.69 15.17 16.77 18.20 19.83 20.28 22.78 27.59 35.05 81.64 1
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  112. The Fama-French (1993) methodology and results are well known. It is therefore unnecessary to provide a lengthy review. We simply refer to the Fama and French (1993) paper that provides the corresponding methodology.
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  113. The Fama-French (1993) methodology and results are well known. It is therefore unnecessary to provide a lengthy review. We simply refer to the Fama and French (1993) paper that provides the corresponding methodology. 2
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  114. The Fama-French (1993) methodology and results are well known. It is therefore unnecessary to provide a lengthy review. We simply refer to the Fama and French (1993) paper that provides the corresponding methodology. 2
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  115. The Fama-French (1993) methodology and results are well known. It is therefore unnecessary to provide a lengthy review. We simply refer to the Fama and French (1993) paper that provides the corresponding methodology. 2 To maximize the availability, exchange rates are first downloaded from TRD as WM/Reuters rates against GBP and, then, converted against USD using the WM/Reuters USD/GBP exchange rate. 3
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  116. The proportions of firms with missing book value decrease over time for all size portfolios. The average proportion of firms with missing book value for the pooled sample is 30%, ranging from more than 60% in the early 1980s to roughly 5% at the end of the sample period.
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  117. The Smallest Firm Eïect: an International Study 31 Aksu, M.H., Onder, T., 2003. The Size and Book-to-market Eïects and their Role as Risk Proxies in the Istanbul Stock Exchange. SSRN Working Paper.
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  118. The Smallest Firm Eïect: an International Study 32 Carlson, M., Fisher, A., Giammarino, R., 2004. Corporate investment and asset price dynamics: implications for the cross-section of returns. Journal of Finance 59, 2577-2603.

  119. The Smallest Firm Eïect: an International Study 33 Drew, M.E., Naughton, T., Veeraraghavan, M., 2003. Firm size, book-to-market equity and security returns: evidence from the Shanghai Stock Exchange. Working Paper, Queensland University of Technology.
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  120. The Smallest Firm Eïect: an International Study 34 Hou, K., Moskowitz, T.J., 2005. Market frictions, price delay, and the cross-section of expected returns.

  121. The Smallest Firm Eïect: an International Study 35 MacKinlay, A.C., 1995. Multifactor models do not explain deviations from the CAPM. Journal of Financial Economics 38, 3-28.
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  122. The Smallest Firm Eïect: an International Study 36 Schwert, G.W., 2003. Anomalies and market eïciency. In: Constantinides, G.M., Harris, M., Stulz, R.M. (Eds.), Handbook of the Economics of Finance. Amsterdam, North Holland.
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  123. This model is also often referenced as the Carhart (1997) model 2
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  124. Vassalou, M., Xing, Y., 2004. Default risk in equity returns. Journal of Finance 59, 831-868.

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  126. Watanabe, A., Watanabe, M., 2008. Time-varying liquidity risk and the cross section of stock returns.

  127. We follow Chan et al. (1985) to measure the changing risk premium by measuring the behavior of bonds of different perceived riskiness. is the difference the return on a portfolio of âjunkâ bonds and the return on a portfolio of long-term government bonds.5 The variable is intended to capture changes in the expected premium on risky assets.6 Numbers in small case are the t-statistics. Panel A: Spearman rank correlations of â conditional on â , , and â !# $!# #%& '() *)+ ,-. /!-0.17-0.03 0.17 0.07-0.06-0.02 0.07-0.04-0.18-0.07 0.03-0.06 2.60-0.44 2.64 1.08-0.93-0.38 1.01-0.56-2.77-1.11 0.49-0.95 Panel B: Spearman rank correlations of â conditional on â , , and â !# $!# #%& '() *)+ ,-. /!-0.13 0.21-0.01-0.02 0.07-0.09-0.10-0.13-0.04-0.13-0.09-0.05 1.93 3.28-0.19-0.28 1.06-1.40-1.57-1.96-0.61-2.07-1.33-0.80 5
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  128. Wong, P.L., Neoh, S.K., Lee, K.H., 1990. Seasonality in the Malaysian stock market. Asia Paciïc Journal of Management 7, 43-62.
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  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.
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  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.

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  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.

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  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.

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  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.

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  14. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Predescu, Mirela ; Capponi, Agostino.
    In: Papers.
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  15. Illiquidity and Stock Returns. (2010). Mooradian, Robert M..
    In: Review of Applied Economics.
    RePEc:ags:reapec:143268.

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  16. Dynamic Sources of Sovereign Bond Market Liquidity. (2009). .
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  17. The diminishing liquidity premium. (2008). Kadan, Ohad ; Ben-Rephael, Azi ; Wohl, Avi.
    In: CFS Working Paper Series.
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  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.

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

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  20. The Risk Components of Liquidity. (2008). Skjeltorp, Johannes ; Næs, Randi ; Nas, Randi ; Chollete, Loran.
    In: Discussion Papers.
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  21. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

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

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

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

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

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

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

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

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

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  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.

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  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.

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

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

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

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

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  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.

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

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

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

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

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

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

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  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.

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

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

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

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  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.

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  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.

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

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