Narrow search
Showing 1 - 10 of 83
Cover Image
Sell-order liquidity and the cross-section of expected stock returns
Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 105 (2012) 3, pp. 523-541
sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …
Persistent link: https://www.econbiz.de/10010617605
Cover Image
Anomalies and Financial Distress
Avramov, Doron - 2015
This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...
Persistent link: https://www.econbiz.de/10013039067
Cover Image
Anomalies and Financial Distress
Avramov, Doron - 2012
This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...
Persistent link: https://www.econbiz.de/10013104323
Cover Image
Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns
Brennan, Michael J. - 2013
sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …
Persistent link: https://www.econbiz.de/10013095970
Cover Image
Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?
Chordia, Tarun - 2014
We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of … liquidity and ameliorate trading costs improve capital market efficiency …
Persistent link: https://www.econbiz.de/10013066330
Cover Image
Anomalies and Financial Distress
Avramov, Doron - 2012
This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...
Persistent link: https://www.econbiz.de/10013116183
Cover Image
Anomalies and financial distress
Avramov, Doron; Chordia, Tarun; Jostova, Gergana; … - In: Journal of Financial Economics 108 (2013) 1, pp. 139-159
This paper explores commonalities across asset pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...
Persistent link: https://www.econbiz.de/10010635946
Cover Image
Trading Activity and Expected Stock Returns
Chordia, Tarun - 2012
We analyze the relation between expected equity returns and the level as well as the volatility of trading activity. We document a negative cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size,...
Persistent link: https://www.econbiz.de/10012756005
Cover Image
Momentum and Credit Rating
Avramov, Doron - 2006
This paper establishes a robust link between momentum and credit rating. Momentum profitability is large and significant among low-grade firms, but it is nonexistent among high-grade firms. The momentum payoffs documented in the literature are generated by low-grade firms that account for less...
Persistent link: https://www.econbiz.de/10012735219
Cover Image
Price Formation with Autocorrelated Order Flow : Theory and Evidence
Chordia, Tarun - 2004
This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a theoretical framework, whose distinguishing feature is that it explicitly considers how market makers with inventory concerns dynamically accommodate autocorrelated...
Persistent link: https://www.econbiz.de/10012739079