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Order imbalance and individual stock returns : theory and evidence
Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of financial economics 72 (2004) 3, pp. 485-518
Persistent link: https://www.econbiz.de/10002089409
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Commonality in liquidity
Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 56 (2000) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10001468725
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Market microstructure and asset pricing : on the compensation for illiquidity in stock returns
Brennan, Michael J. - In: Journal of financial economics 41 (1996) 3, pp. 441-464
Persistent link: https://www.econbiz.de/10001200400