employ a recently developed multivariate matching approach (entropy balancing) to adjust for determinants in place of relying … on a linear model. Entropy balancing identifies weights for the control sample to equalize the distribution of … poor fit, we find that entropy balancing significantly improves accrual model specification by reducing coefficient bias …

liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for … results confirm this liquidity oversupply explanation. The negative correlation between previous intraday returns and future … due to excessive liquidity provision from uninformed retail traders instead of a price correction from a temporary price …

Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, we … find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a … pressure. The empirical results confirm this liquidity oversupply explanation. The negative correlation between previous …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …