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Injecting liquidity into liquidity research
Benson, Karen; Faff, Robert W.; Smith, Tom - In: Pacific-Basin finance journal 35 (2015) 2, pp. 533-540
Persistent link: https://www.econbiz.de/10011543410
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Stock liquidity risk and the cross-sectional earnings-returns relationship
Isshaq, Zangina; Faff, Robert W. - In: Journal of business finance & accounting : JBFA 43 (2016) 9/10, pp. 1121-1141
Persistent link: https://www.econbiz.de/10011643902
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Systematic liquidity in the long run
Sujoto, Charly; Kalev, Petko S.; Faff, Robert W. - In: Applied financial economics letters 4 (2008) 1/3, pp. 187-191
Persistent link: https://www.econbiz.de/10003725357
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Information acquisition and market liquidity : evidence from EDGAR search activity
Haghighi, Afshin; Zhang, Lei; Oliver, Barry R.; Faff, … - In: Global finance journal 57 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014479054
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Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments
Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799
Persistent link: https://www.econbiz.de/10011442342
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Using Abnormal Analyst Coverage to Unlock New Evidence on Stock Price Crash Risk
Chowdhury, Hasibul - 2019
We employ a characteristic-based model to decompose total analyst coverage into abnormal and expected components and show that abnormal coverage contains valuable information about individual firm ex-ante crash risk (proxied by implied volatility smirk from options data). Specifically, one...
Persistent link: https://www.econbiz.de/10012889423
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An examination of commonality in liquidity : new evidence from the Australian stock exchange
Sujoto, C.; Kalev, Petko S.; Faff, Robert W. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 32 (2008) 3, pp. 55-79
Persistent link: https://www.econbiz.de/10003812092
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Liquidity and stock returns in Japan : new evidence
Ying, Chang Yuk; Faff, Robert W.; Hwang, Chuan-yang - In: Pacific-Basin finance journal 18 (2010) 1, pp. 90-115
Persistent link: https://www.econbiz.de/10003934648
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Rights offerings, subscription period, shareholder takeup, and liquidity
Balachandran, Balasingham; Faff, Robert W.; Theobald, … - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 1, pp. 213-239
Persistent link: https://www.econbiz.de/10009623134
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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market
Edgar, Matthew - 2011
important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …
Persistent link: https://www.econbiz.de/10013121143