create a website

. . . and the Cross-Section of Expected Returns. (2014). Harvey, Campbell ; Liu, Yan ; Zhu, Heqing .
In: NBER Working Papers.
RePEc:nbr:nberwo:20592.

Full description at Econpapers || Download paper

Cited: 16

Citations received by this document

Cites: 179

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia. (2019). Škrinjarić, Tihana ; Orlovic, Zrinka.
    In: Croatian Economic Survey.
    RePEc:iez:survey:ces-v21_1-2019_skrinjaric-orlovic.

    Full description at Econpapers || Download paper

  2. Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets. (2019). Škrinjarić, Tihana.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:1:p:7-:d:200912.

    Full description at Econpapers || Download paper

  3. Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis. (2018). Alcock, Jamie ; Andrlikova, Petra.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-016-9593-9.

    Full description at Econpapers || Download paper

  4. Size matters, if you control your junk. (2018). Pedersen, Lasse ; Moskowitz, Tobias J ; Israel, Ronen ; Asness, Clifford ; Frazzini, Andrea.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:129:y:2018:i:3:p:479-509.

    Full description at Econpapers || Download paper

  5. Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series. (2017). Lin, Xiaoji ; Donangelo, Andres ; Belo, Frederico ; Luo, Ding.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:885.

    Full description at Econpapers || Download paper

  6. Research in finance: A review of influential publications and a research agenda. (2017). Zhu, Yushu ; Ling, Xin ; Chen, Xiaoyan ; Smith, Tom ; Linnenluecke, Martina K.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:43:y:2017:i:c:p:188-199.

    Full description at Econpapers || Download paper

  7. Firm characteristics, consumption risk, and firm-level risk exposures. (2017). Dittmar, Robert F ; Lundblad, Christian T.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:2:p:326-343.

    Full description at Econpapers || Download paper

  8. The cross-sectional variation of volatility risk premia. (2016). Rubio, Gonzalo ; Gonzalez-Urteaga, Ana.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:2:p:353-370.

    Full description at Econpapers || Download paper

  9. The price of freedom: A Fama–French freedom factor. (2016). Stocker, Marshall L.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:26:y:2016:i:c:p:1-19.

    Full description at Econpapers || Download paper

  10. Factor-Based v. Industry-Based Asset Allocation: The Contest. (2015). Szafarz, Ariane ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/216837.

    Full description at Econpapers || Download paper

  11. A Model of Anomaly Discovery. (2015). Yan, Hongjun ; Sun, Bo ; Liu, QI ; Lu, Lei.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1128.

    Full description at Econpapers || Download paper

  12. Behavioral influences in non-ferrous metals prices. (2015). lucey, brian ; Dowling, Michael ; Cummins, Mark.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:45:y:2015:i:c:p:9-22.

    Full description at Econpapers || Download paper

  13. Capital allocation and delegation of decision-making authority within firms. (2015). Puri, Manju ; Harvey, Campbell ; Graham, John R..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:115:y:2015:i:3:p:449-470.

    Full description at Econpapers || Download paper

  14. Asset-pricing anomalies at the firm level. (2015). Cederburg, Scott ; ODoherty, Michael S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:1:p:113-128.

    Full description at Econpapers || Download paper

  15. Assessing Asset Pricing Models Using Revealed Preference. (2014). van Binsbergen, Jules ; Berk, Jonathan B..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20435.

    Full description at Econpapers || Download paper

  16. Alpha. (2014). faff, robert.
    In: Journal of Accounting and Management Information Systems.
    RePEc:ami:journl:v:13:y:2014:i:4:p:607-622.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abarbanell, J.S., and B.J. Bushee, 1998, Abnormal returns to a fundamental analysis strategy, Accounting Review 73, 19-45.
    Paper not yet in RePEc: Add citation now
  2. Acharya, Viral V. and Lasse Heje Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 375-410.

  3. Ackert, L., and G. Athanassakos, 1997, Prior uncertainty, analyst bias, and subsequent abnormal returns, Journal of Financial Research 20, 263-273.

  4. Adler, Michael and Bernard Dumas, 1983, International portfolio choice and corporation finance: A synthesis, Journal of Finance 38, 925-984.

  5. Adrian, Tobias and Joshua Rosenberg, 2008, Stock returns and volatility: Pricing the short-run and long-run components of market risk, Journal of Finance 63, 2997-3030.

  6. Adrian, Tobias, Erkko Etula and Tyler Muir, 2012, Financial intermediaries and the cross-section of asset returns, Journal of Finance, Forthcoming.

  7. Ahn, Seung C., Alex R. Horenstein and Na Wang, 2012, Determining rank of the beta matrix of a linear asset pricing model, Working Paper, Arizona State University and Sogang University.
    Paper not yet in RePEc: Add citation now
  8. Akbas, Ferhat, Will Armstrong, Sorin Sorescu and Avanidhar Subrahmanyam, 2013, Time varying market efficiency in the cross-section of expected stock returns, Working Paper, University of Kansas.
    Paper not yet in RePEc: Add citation now
  9. Akbas, Ferhat, Will J. Armstrong and Ralitsa Petkova, 2011, The Volatility of liquidity and expected stock returns, Working Paper, Purdue University.
    Paper not yet in RePEc: Add citation now
  10. Ali, Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2003, Arbitrage risk and the book-to-market anomaly, Journal of Financial Economics 69, 355-373.

  11. Almeida, Heitor and Murillo Campello, 2007, Financial constraints, asset tangibility, and corporate investment, Review of Financial Studies 20, 1429-1460.

  12. Amaya, Diego, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, 2011, Do realized skewness and kurtosis predict the cross-section of equity returns, Working Paper, University of Aarhus.

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

  14. Amihud, Yakov and Haim Mendelson, 1989, The effects of beta, bid-ask spread, residual risk, and size on stock returns, Journal of Finance 44, 479-486.

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

  16. An, Jiyoun, Sanjeev Bhojraj and David T. Ng, 2010, Warranted multiples and future returns, Journal of Accounting, Auditing & Finance 25, 143-169.
    Paper not yet in RePEc: Add citation now
  17. Anderson, Christopher W. and Luis Garcia-Feij oo, 2006, Empirical evidence on capital investment, growth options, and security returns, Journal of Finance 61, 171-194.

  18. Anderson, Evan W., Eric Ghysels and Jennifer L. Juergens, 2005, Do heterogeneous beliefs matter for asset pricing, Review of Financial Studies 18, 875-924.

  19. Andrew Ang, Turan G. Bali and Nusret Cakici, 2012, The joint cross section of stocks and options, Working Paper, Columbia University.
    Paper not yet in RePEc: Add citation now
  20. Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, The cross-section of volatility and expected returns, Journal of Finance 61, 259-299.
    Paper not yet in RePEc: Add citation now
  21. Arbel, Avner, Steven Carvell and Paul Strebel, 1983, Giraffes, institutions and neglected firms, Financial Analysts Journal 39, 57-63.
    Paper not yet in RePEc: Add citation now
  22. Armstrong, Chris, Snehal Banerjee and Carlos Corona, 2010, Information quality and the crosssection of expected returns, Working Paper, University of Pennsylvania.
    Paper not yet in RePEc: Add citation now
  23. Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industryrelative firm characteristics, Working Paper, AQR Capital Management.
    Paper not yet in RePEc: Add citation now
  24. Asquith, Paul, Parag A. Pathak and Jay R. Ritter, 2005, Short interest, institutional ownership and stock returns, Journal of Financial Economics 78, 243-276.

  25. ATLAS Collaboration, 2012, Observation of a new particle in the search for the Standard Model Higgs boson with the ATLAS detector at the LHC, Physics Letters B 716, 1-29.
    Paper not yet in RePEc: Add citation now
  26. Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2007, Momentum and credit rating, Journal of Finance 62, 2503-2520.

  27. Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2009, Dispersion in analysts’ earnings forecasts and credit rating, Journal of Financial Economics 91, 83-101.

  28. Baik, Bok and Tae Sik Ahn, 2007, Changes in order backlog and future returns, Seoul Journal of Business 13, 105-126.
    Paper not yet in RePEc: Add citation now
  29. Bajgrowicz, Pierre and Oliver Scaillet, 2012, Technical trading revisited: False discoveries, persistence tests, and transaction costs, Journal of Financial Economics 106, 473-491.

  30. Bajgrowicz, Pierre, Oliver Scaillet and Adrien Treccani, 2013, Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News, Working Paper, University of Geneva.
    Paper not yet in RePEc: Add citation now
  31. Baker, Malcolm and Jeffrey Wurgler, 2006, Investor sentiment and the cross-section of stock returns, Journal of Finance 61, 1645-1680.

  32. Balachandran, Sudhakar and Partha Mohanram, 2011, Using residual income to refine the relationship between earnings growth and stock returns, Review of Accounting Studies 17, 134-165.
    Paper not yet in RePEc: Add citation now
  33. Balduzzi, P. and C. Robotti, 2008, Mimicking portfolios, economic risk premia, and tests of multibeta models, Journal of Business and Economic Statistics 26, 354-368.

  34. Bali, Turan G. and Armen Hovakimian, 2009, Volatility spreads and expected stock returns, Management Science 55, 1797-1812.

  35. Bali, Turan G. and Hao Zhou, 2012, Risk, uncertainty, and expected returns, Working Paper, Georgetown University.
    Paper not yet in RePEc: Add citation now
  36. Bali, Turan G., Nusret Cakici and Robert F. Whitelaw, 2011, Maxing out: Stocks as lotteries and the cross-section of expected returns, Journal of Financial Economics 99, 427-446.

  37. Baltussen, Guido, Sjoerd Van Bekkum and Bart Van der Grient, 2012, Unknown unknowns: Volof -vol and the cross section of stock returns, Working Paper, Erasmus University.
    Paper not yet in RePEc: Add citation now
  38. Balvers, Ronald J. and Dayong Huang, 2007, Productivity-based asset pricing: Theory and evidence, Journal of Financial Economics 86, 405-445.

  39. Bandyopadhyay, Sati, Alan Huang and Tony Wirjanto, 2010, The accrual volatility anomaly, Working Paper, University of Waterloo.
    Paper not yet in RePEc: Add citation now
  40. Bansal, Ravi and Amir Yaron, 2005, Risks for the long run: a potential resolution of asset pricing puzzles, Journal of Finance 59, 1481-1509.
    Paper not yet in RePEc: Add citation now
  41. Bansal, Ravi and S. Viswanathan, 1993, No arbitrage and arbitrage pricing: a new approach, Journal of Finance 48, 1231-1262.

  42. Bansal, Ravi, Robert F. Dittmar and Christian T. Lundblad, 2005, Consumption, dividends, and the cross section of equity returns, Journal of Finance 60, 1639-1672.

  43. Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.

  44. Barber, B., T. Odean and N. Zhu, 2009, Do retail trades move markets? Review of Financial Studies 22, 152-186.

  45. Barber, Brad, Reuven Lehavy, Maureen McNichols and Brett Trueman, 2001, Can investors profit from the prophets? Security analyst recommendations and stock returns, Journal of Finance 56, 531-563.

  46. Barras, Laurent, Oliver Scaillet and Russ Wermers, 2010, False discoveries in mutual fund performance: Measuring luck in estimated alphas, Journal of Finance 65, 179-216.

  47. Basu, S., 1977, Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis, Journal of Finance 32, 663-682.

  48. Basu, S., 1983, The relationship between earnings’ yield, market value and return for NYSE common stocks: further evidence, Journal of Financial Economics 12, 129-156.

  49. Bauman, Scott and Richard Dowen, 1988, Growth projections and common stock returns, Financial Analyst Journal 44, 79-80.
    Paper not yet in RePEc: Add citation now
  50. Bazdresch, Santiago, Frederico Belo and Xiaoji Lin, 2012, Labor hiring, investment, and stock return predictability in the cross section, Working Paper, University of Minnesota.

  51. Begg, C.B. and J.A., Berlin, 1988, Publication bias: A problem in interpreting medical data, Journal of the Royal Statistical Society, Series A, 419-463.

  52. Beneish, M.D., 1997, Detecting GAAP violation: Implications for assessing earnings management among firms with extreme financial performance, Journal of Accounting and Public Policy 16, 271-309.

  53. Beneish, M.D., M.C. Lee and D. Craig Nichols, 2012, Fraud detection and expected returns, Available at SSRN, 2012.
    Paper not yet in RePEc: Add citation now
  54. Benjamini, Yoav and Daniel Yekutieli, 2001, The control of the false discovery rate in multiple testing under dependency, Annals of Statistics 29, 1165-1188.
    Paper not yet in RePEc: Add citation now
  55. Benjamini, Yoav and Wei Liu, 1999, A step-down multiple hypotheses testing procedure that controls the false discovery rate under independence, Journal of Statistical Planning and Inference 82, 163-170.
    Paper not yet in RePEc: Add citation now
  56. Benjamini, Yoav and Yosef Hochberg, 1995, Controlling the false discovery rate: A practical and powerful approach to multiple testing, Journal of the Royal Statistical Socitey, Series B, 289-300.
    Paper not yet in RePEc: Add citation now
  57. Berardino, Palazzo, 2012, Cash holdings, risk, and expected returns, Journal of Financial Economics 104, 162-185.

  58. Berkman, Henk, Ben Jacobsen and John B. Lee, 2011, Time-varying rare disaster risk and stock returns, Journal of Financial Economics 101, 313-332.

  59. Bhandari, Laxmi Chand, 1988, Debt/Equity ratio and expected common stock returns: Empirical evidence, Journal of Finance 43, 507-528.

  60. Black, Fischer, 1972, Capital market equilibrium with restricted borrowing, Journal of Business 45, 444-454.

  61. Black, Fischer, Michael C. Jensen and Myron Scholes, 1972, The capital asset pricing model: Some empirical tests. In Studies in the theory of capital markets, ed. Michael Jensen, pp. 79-121. New York: Praeger.
    Paper not yet in RePEc: Add citation now
  62. Boguth, Oliver and Lars-Alexander Kuehn, 2012, Consumption volatility risk, Journal of Finance, Forthcoming.
    Paper not yet in RePEc: Add citation now
  63. Bondt, Werner F.M. and Richard Thaler, 1985, Does the stock market overreact?,Journal of Finance 40, 793-805.

  64. Boons, Martijn, Frans De Roon and Marta Szymanowska, 2012, The stock market price of commodity risk, Working Paper, Tilburg University.
    Paper not yet in RePEc: Add citation now
  65. Bossaerts, Peters and Robert M. Dammon, 1994, Tax-induced intertemporal restrictions on security returns, Journal of Finance 49, 1347-1371.

  66. Botosan, Christine A., 1997, Disclosure level and the cost of equity capital, Accounting Review 72, 323-349.
    Paper not yet in RePEc: Add citation now
  67. Boudoukh, Jacob, Roni Michaely, Matthew Richardson and Michael R. Roberts, 2007, On the importance of measuring payout yield: implications for empirical asset pricing, Journal of Finance 62, 877-915.
    Paper not yet in RePEc: Add citation now
  68. Boudoukh, Jacob, Roni Michaely, Matthew Richardson and Michael R. Roberts, 2007, On the importance of measuring payout yield: implications for empirical asset pricing, Journal of Finance 62, 877-915.

  69. Boyer, Brian, Todd Mitton and Keith Vorkink, 2010, Expected idiosyncratic skewness, Review of Financial Studies 23, 170-202.

  70. Bradshaw, Mark, Scott Richardson and Richard Sloan, 2006, The relation between corporate financing activities, analysts’ forecasts and stock returns, Journal of Accounting and Economics 42, 53-85.

  71. Brammer, Stephen, Chris Brooks and Stephen Pavelin, 2006, Corporate social performance and stock returns: UK evidence from disaggregate measures, Financial Management 35, 97-116.

  72. Brandt, Michael, Runeet Kishore, Pedro Santa-Clara and Mohan Venkatachalam, 2008, Earnings announcements are full of surprises, Working Paper, Duke University.
    Paper not yet in RePEc: Add citation now
  73. Breeden, Douglas T., 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics 7, 265-296.

  74. Brennan, Michael and Feifei Li, 2008, Agency and asset pricing, Working Paper, UCLA.
    Paper not yet in RePEc: Add citation now
  75. 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.

  76. Brennan, Michael J., Ashley W. Wang and Yihong Xia, 2004, Estimation and test of a simple model of intertemporal capital asset pricing, Journal of Finance 59, 1743-1776.

  77. Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, Journal of Financial Economics 49, 345-373.
    Paper not yet in RePEc: Add citation now
  78. Brennan, Michael J., Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong, 2012, Sell-order liquidity and the cross-section of expected stock returns, Journal of Financial Economics 105, 523-541.

  79. Brennan, Michael, Sahn-Wook Huh and Avanidhar Subrahmanyam, 2013, The pricing of good and bad private information in the cross-section of expected stock returns, Working Paper, University of California at Los Angeles.
    Paper not yet in RePEc: Add citation now
  80. Brown, D. Andrew, Nicole A. Lazar, Gauri S. Datta, Woncheol Jang, Jennifer E. McDowell, 2012, Incorporating spatial dependence into Bayesian multiple testing of statistical parametric maps in functional neuroimaging, JSM.
    Paper not yet in RePEc: Add citation now
  81. Brown, David and Bradford Rowe, 2007, The productivity premium in equity returns, Working Paper, University of Wisconsin, Madison.
    Paper not yet in RePEc: Add citation now
  82. Burlacu, Radu, Patrice Fontaine, Sonia Jimenez-Garces and Mark S. Seasholes, 2012, Risk and the cross section of stock returns, Journal of Financial Economics 105, 511-522.

  83. Callen, Jeffrey and Matthew Lyle, 2011, The term structure of implied costs of equity capital, Working Paper, University of Toronto.
    Paper not yet in RePEc: Add citation now
  84. Callen, Jeffrey, Mozaffar Khan and Hai Lu, 2011, Accounting quality, stock price delay, and future stock returns, Contemporary Accounting Research 30, 269-295.
    Paper not yet in RePEc: Add citation now
  85. Campbell, John Y., 1996, Understanding risk and return, Journal of Political Economy 104, 298345.

  86. Campbell, John Y., Jens Hilscher and Jan Szilagyi, 2008, In search of distress risk, Journal of Finance 63, 2899-2939.

  87. Campbell, John Y., Stefano Giglio, Christopher Polk and Robert Turley, 2012, An Intertemporal CAPM with Stochastic Volatility, Working Paper, Harvard University.

  88. Cao, Charles, Yong Chen, Bing Liang and Andrew W. Lo, 2013, Can hedge funds time market liquidity?, Journal of Financial Economics 109, 493-516.

  89. Cao, Xuying and Yexiao Xu, 2010, Long-run idiosyncratic volatilities and cross-sectional stock returns, Working Paper, University of Illinois at Urbana-Champaign.
    Paper not yet in RePEc: Add citation now
  90. Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.

  91. Cen, Ling, John Wei and Jie Zhang, 2006, Forecasted earnings per share and the cross section of expected stock returns, Working Paper, Hong Kong University of Science & Technology.
    Paper not yet in RePEc: Add citation now
  92. Chan, K. C., Nai-fu Chen and David A. Hsieh, 1985, An exploratory investigation of the firm size effect, Journal of Financial Economics 14, 451-471.
    Paper not yet in RePEc: Add citation now
  93. Chan, K.C., Silverio Foresi and Larry H.P. Lang, 1996, Does money explain returns? Theory and empirical analysis, Journal of Finance 51, 345-361.

  94. Chandrashekar, Satyajit and Ramesh K.S. Rao, 2009, The productivity of corporate cash holdings and the cross-section of expected stock returns, Working Paper, University of Texas at Austin.
    Paper not yet in RePEc: Add citation now
  95. Chang, Bo Young, Peter Christoffersen and Kris Jacobs, 2012, Market skewness risk and the cross section of stock returns, Journal of Financial Economics, Forthcoming.

  96. Chapman, David A., 1997, Approximating the asset pricing kernel, Journal of Finance 52, 13831410.

  97. Chemmanur, Thomas and An Yan, 2009, Advertising, attention, and stock returns, Working Paper, Boston College.
    Paper not yet in RePEc: Add citation now
  98. Chen, Huafeng, Marcin Kacperczyk and Hernan Ortiz-Molina, 2011, Labor unions, operating flexibility, and the cost of equity, Journal of Financial and Quantitative Analysis 46, 25-58.

  99. Chen, Joseph, Harrison Hong and Jeremy C. Stein, 2002, Breadth of ownership and stock returns, Journal of Financial Economics 66, 171-205.

  100. Chen, Long, Robert Novy-Marx and Lu Zhang, 2011, An alternative three-factor model, Working Paper.
    Paper not yet in RePEc: Add citation now
  101. Chen, Nai-Fu, Richard Roll and Stephen A. Ross, 1986, Economic forces and stock market, Journal of Business 59, 383-403.

  102. Chen, Zhanhui and Ralitsa Petkova, 2012, Does idiosyncratic volatility proxy for risk exposure?, Review of Financial Studies 25, 2745-2787.

  103. Chen, Zhiyao and Ilya Strebulaev, 2012, Contingent-claim-based expected stock returns, Working Paper, University of Reading.
    Paper not yet in RePEc: Add citation now
  104. Chopra, Navin, Josef Lakonishok and Jay R. Ritter, 1992, Measuring abnormal performance: do stocks overreact?, Journal of Financial Economics 31, 235-268.

  105. Chordia, Tarun and Lakshmanan Shivakumar, 2006, Earnings and price momentum, Journal of Financial Economics 80, 627-656.

  106. Chordia, Tarun, Avanidhar Subrahmanyam and Qing Tong, 2013, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? Working Paper, http://dx.doi.org/10.1016/j.jacceco.2014.06.001.
    Paper not yet in RePEc: Add citation now
  107. Chordia, Tarun, Avanidhar Subrahmanyam and V. Ravi Anshuman, 2001, Trading activity and expected stock returns, Journal of Financial Economics 59, 3-32.

  108. Chordia, Taurn, Sahn-Wook Huh and Avanidhar Subrahmanyam, 2009, Theory-based illiquidity and asset pricing, Review of Financial Studies 22, 3629-3668.

  109. Chung, Y. Peter, Herb Johnson and Michael J. Schill, 2006, Asset pricing when returns are nonnormal: Fama-French factors versus higher-order systematic comoments, Journal of Business 79, 923-940.

  110. CMS Collaboration, 2012, Observation of a new boson at a mass of 125 GeV with the CMS experiment at the LHC, Physics Letters B 716, 30-61.
    Paper not yet in RePEc: Add citation now
  111. Cochrane, John H., 1996, A cross-sectional test of an investment-based asset pricing model, Journal of Political Economy 104, 572-621.

  112. Cochrane, John H., 2011, Presidential Address: Discount Rates, Journal of Finance 66, 1047-1108.

  113. Cochrane, John, 1991, Production-based asset pricing and the link between stock returns and economic fluctuations, Journal of Finance 46, 209-237.

  114. Cohen, Lauren and Andrea Frazzini, 2008, Economic links and predictable returns, Journal of Finance 63, 1977-2011.

  115. Cohen, Lauren and Dong Lou, 2012, Complicated firms, Journal of Financial Economics 104, 383-400.
    Paper not yet in RePEc: Add citation now
  116. Cohen, Lauren, Christopher Malloy and Lukasz Pomorski, 2012, Decoding inside information, Journal of Finance 67, 1009-1043.

  117. Cohen, Lauren, Karl Diether and Christopher Malloy, 2013, Misvaluing innovation, Review of Financial Studies 26, 635-666.

  118. Conrad, Jennifer, Michael Cooper and Gautam Kaul, 2003, Value versus glamour, Journal of Finance 58, 1969-1996.

  119. Conrad, Jennifer, Robert F. Dittmar and Eric Ghysels, 2013, Ex ante skewness and expected stock returns, Journal of Finance 68, 85-124.

  120. Constantinides, G., 1982, Intertemporal asset pricing with heterogeneous consumers and without demand aggregation, Journal of Business 55, 253-267.

  121. Constantinides, G., 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842-862.

  122. Cooper, Michael J. and Huseyin Gulen, 2006, Is time-series-based predictability evident in real time? Journal of Business 79, 1263-1292.

  123. Cooper, Michael J., Huseyin Gulen and Alexei V. Ovtchinnikov, 2010, Corporate political contributions and stock returns, Journal of Finance 65, 687-724.

  124. Cooper, Michael J., Huseying Gulen and Michael J. Schill, 2008, Asset growth and the cross-section of stock returns, Journal of Finance 63, 1609-1651.

  125. Cox, D.R., 1982, Statistical significance tests, British Journal of Clinical Pharmacology 14, 325331. Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross, An intertemporal general equilibrium model of asset pricing, Econometrica 53, 363-384.
    Paper not yet in RePEc: Add citation now
  126. Cremers, K. J. Martijn, Vinay B. Nair and Kose John, 2009, Takeovers and the cross-section of returns, Review of Financial Studies 22, 1409-1445.

  127. Cremers, K.J. Martijn and Vinay B. Nair, 2005, Governance Mechanisms and equity prices, Journal of Finance 60, 2859-2894.

  128. Cremers, Martijn, Michael Halling and David Weinbaum, 2010, In search of aggregate jump and volatility risk in the cross-section of stock returns, Working Paper, Yale University.
    Paper not yet in RePEc: Add citation now
  129. Da, Zhi and Ernst Schaumburg, 2011, Relative valuation and analyst target price forecasts, Journal of Financial Markets 14, 161-192.

  130. Da, Zhi and Mitchell Craig Warachka, 2009, Cash flow risk, systematic earnings revisions, and the cross-section of stock returns, Journal of Financial Economics 94, 448-468.

  131. Da, Zhi and Mitchell Craig Warachka, 2009, Long-term earnings growth forecasts, limited attention, and return predictability, Working Paper, University of Notre Dame.
    Paper not yet in RePEc: Add citation now
  132. Da, Zhi, 2009, Cash flow, consumption risk, and the cross-section of stock returns, Journal of Finance 64, 923-956.
    Paper not yet in RePEc: Add citation now
  133. Da, Zhi, Qianqiu Liu and Ernst Schaumburg, 2011, Decomposing short-term return reversal, Working Paper, University of Notre Dame.

  134. Daniel, Kent and Sheridan Titman, 1997, Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance 52, 1-33.

  135. Daniel, Kent and Sheridan Titman, 2006, Market reactions to tangible and intangible information, Journal of Finance 61, 1605-1643.

  136. Daniel, Kent and Sheridan Titman, 2012, Testing factor-model explanations of market anomalies, Critical Finance Review 1, 103-139.

  137. Datar, Vinay, Narayan Y Naik and Robert Radcliffe, 1998, Liquidity and stock returns: An alternative test, Journal of Financial Markets 1, 203-219.

  138. Dichev, Ilia and Joseph Piotroski, 2001, The long-run stock returns following bond ratings changes, Journal of Finance 56, 173-203.

  139. Dichev, Ilia, 1998, Is the risk of bankruptcy a systematic risk? Journal of Finance 53, 1131-1147.

  140. Diether, Karl B., Christopher J. Malloy and Anna Scherbina, 2002, Differences of opinion and the cross section of stock returns, Journal of Finance 57, 2113-2141.
    Paper not yet in RePEc: Add citation now
  141. Dittmar, Robert F., 2002, Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns, Journal of Finance 57, 369-403.

  142. Donangelo, Andres, 2012, Labor Mobility: Implications for Asset Pricing, Working Paper, University of Texas at Austin.

  143. Doran, James, Andy Fodor and David Peterson, 2007, Insiders versus outsiders with employee stock options: Who knows best about future firm risk and implications for stock returns, Working Paper, Florida State University.
    Paper not yet in RePEc: Add citation now
  144. Doskov, Nikolay, Tapio Pekkala and Ruy M. Ribeiro, 2013, Tradable Macro Risk Factors and the Cross-Section of Stock Returns, Working Paper, Norges Bank Investment Management.
    Paper not yet in RePEc: Add citation now
  145. Douglas, G.W., 1967, Risk in the equity markets: An empirical appraisal of market efficiency, Yale Economic Essays 9, 3-48.
    Paper not yet in RePEc: Add citation now
  146. Doyle, Jeffrey, Russell Lundholm and Mark Soliman, 2003, The predictive value of expenses excluded from pro forma earnings, Review of Accounting Studies 8, 145-174.
    Paper not yet in RePEc: Add citation now
  147. Drake, Michael and Lynn Rees, 2011, Should investors follow the prophets or the bears? Evidence on the use of public information by analysts and short sellers, Accounting Review 86, 101-130.
    Paper not yet in RePEc: Add citation now
  148. Dudoit, S. and Van der Laan, M., 2008, Multiple testing procedures with applications to Genomics, Springer Series in Statistics, New York, USA.
    Paper not yet in RePEc: Add citation now
  149. Easley, David, Soeren Hvidkjaer and Maureen O’Hara, 2002, Is information risk a determinant of asset returns, Journal of Finance 57, 2185-2221.

  150. Easley, David, Soeren Hvidkjaer and Maureen O’Hara, 2010, Factoring information into returns, Journal of Financial and Quantitative Analysis 45, 293-309.

  151. Eberhart, Allan, William Maxwell and Akhtar Siddique, 2004, An examination of long-term abnormal stock returns and operating performance following R&D increases, Journal of Finance 59, 623-650.

  152. Edmans, Alex, 2011, Does the stock market fully value intangibles? Employee satisfaction and equity prices, Journal of Financial Economics 101, 621-640.

  153. Efron, Bradley and Robert Tibshirani, 2002, Empirical Bayes methods and false discovery rates for microarrays, Genetic Epidemiology 23, 70-86.
    Paper not yet in RePEc: Add citation now
  154. Efron, Bradley, 1979, Bootstrap methods: another look at the jackknife, Annuals of Statistics 7, 1-26.
    Paper not yet in RePEc: Add citation now
  155. Efron, Bradley, 2004, Large-scale simultaneous hypothesis testing: the choice of a null hypothesis, Journal of the American Statistical Association 99, 96-104.

  156. Efron, Bradley, 2006, Microarrays, empirical Bayes, and the two-groups model, Statistical Science 23, 2008.
    Paper not yet in RePEc: Add citation now
  157. Efron, Bradley, Robert Tibshirani, John Storey and Virginia Tusher, 2001, Empirical Bayes analysis of a microarray experiment, Journal of the American Statistical Association 96, 1151-1160.

  158. Eiling, Esther, 2012, Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns, Journal of Finance 68, 43-84.
    Paper not yet in RePEc: Add citation now
  159. Eisfeldt, Andrea L. and Dimitris Papanikolaou, 2011, Organization capital and the cross-section of expected returns, Working Paper, UCLA.
    Paper not yet in RePEc: Add citation now
  160. Elgers, Pieter T., May H. Lo and Ray J. Pfeiffer Jr., 2001, Delayed security price adjustments to financial analysts’ forecasts of annual earnings, Accounting Review 76, 613-632.
    Paper not yet in RePEc: Add citation now
  161. Elton, Edwin J., Martin J. Gruber and Christopher R. Blake, 1995, Fundamental economic variables, expected returns, and bond fund performance, Journal of Finance 50, 1229-1256.

  162. Elton, Edwin J., Martin J. Gruber, Sanjiv Das and Matthew Hlavka, 1993, Efficiency with costly information: A reinterpretation of evidence from managed portfolios, Review of Financial Studies 6:1, 1-22.

  163. Erb, Claude, Campbell Harvey and Tadas Viskanta, 1996, Expected returns and volatility in 135 countries, Journal of Portfolio Management 22, 46-58.
    Paper not yet in RePEc: Add citation now
  164. Fabozzi, Frank J., K.C. Ma and Becky J. Oliphant, 2008, Sin stock returns, Financial Analysts Journal Fall, 82-94.
    Paper not yet in RePEc: Add citation now
  165. Fairfield, Patricia M., J. Scott Whisenant and Teri Lombardi Yohn, 2003, Accrued earnings and growth: implications for future profitability and market mispricing, Accounting Review 78, 353-371.
    Paper not yet in RePEc: Add citation now
  166. Fama, E., K. French, 2010, Luck versus skill in the cross section of mutual fund returns, Journal of Finance 65, 1915-1947.

  167. Fama, Eugene F. and James D. MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.

  168. Fama, Eugene F. and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.

  169. Fama, Eugene F. and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

  170. Fama, Eugene F. and Kenneth R. French, 2006, Profitability, investment and average returns, Journal of Financial Economics 82, 491-518.
    Paper not yet in RePEc: Add citation now
  171. Fama, Eugene F., 1991, Efficient capital markets: II, Journal of Finance 46, 1575-1617.
    Paper not yet in RePEc: Add citation now
  172. Fang, Lily and Joel Peress, 2009, Media coverage and the cross-section of stock returns, Journal of Finance 64, 2023-2052.

  173. Farcomeni, Alessio, 2007, A review of modern multiple hypothesis testing, with particular attention to the false discovery proportion, Statistical Methods in Medical Research 17, 347-388.
    Paper not yet in RePEc: Add citation now
  174. Ferson, Wayne and Yong Chen, 2013, How many good and bad fund managers are there, really? Working Paper, University of Southern California.
    Paper not yet in RePEc: Add citation now
  175. Ferson, Wayne E. and Campbell R. Harvey, 1991, The variation of economic risk premiums, Journal of Political Economy 99, 385-415.

  176. Ferson, Wayne E. and Campbell R. Harvey, 1993, The risk and predictability of international equity returns, Review of Financial Studies 6, 527-566.

  177. Ferson, Wayne E. and Campbell R. Harvey, 1994, Sources of risk and expected returns in global equity markets, Journal of Banking and Finance 18, 775-803.

  178. Ferson, Wayne E. and Campbell R. Harvey, 1999, Conditioning variables and the cross section of stock returns, Journal of Finance 54, 1325-1360.

  179. Ferson, Wayne E., Suresh Nallareddy and Biqin Xie, 2012, The “out-of-sample” performance of long run risk models, Journal of Financial Economics, Forthcoming.

Cocites

Documents in RePEc which have cited the same bibliography

  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

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-07 19:58:51 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.