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Comovement revisited
Kasch, Maria; Sarkar, Asani - 2011
We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is...
Persistent link: https://www.econbiz.de/10008935723
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The joint dynamics of liquidity, returns, and volatility across small and large firms
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2005
, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …
Persistent link: https://www.econbiz.de/10002746486
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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2001 - [Elektronische Ressource]
. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …
Persistent link: https://www.econbiz.de/10001629622
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Fifteen minutes of fame? : the market impact of internet stock picks
Antunovich, Peter (contributor); Sarkar, Asani (contributor) - 2003 - [Elektronische Ressource]
. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed …
Persistent link: https://www.econbiz.de/10001751980
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An empirical analysis of stock and bond market liquidity
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2003 - [Elektronische Ressource]
. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …
Persistent link: https://www.econbiz.de/10001752003