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Price impact and asset pricing

Huh, Sahn-wook - In: Journal of financial markets 19 (2014), pp. 1-38

Persistent link: https://www.econbiz.de/10010442451

Dynamic factors and asset pricing : international and further U.S. evidence

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin finance journal 32 (2015), pp. 21-39

Persistent link: https://www.econbiz.de/10011471528

Multi-factor volatility and stock returns

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Journal of banking & finance 61 (2015) 2, pp. 132-149

Persistent link: https://www.econbiz.de/10011585515

Idiosyncratic volatility puzzle exists at the country level

He, Zhongzhi; Xue, Wenjun - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013538973

The destabilizing effect of mutual fund herding : evidence from China

Xue, Wenjun; He, Zhongzhi; Hu, Yu - In: International review of financial analysis 88 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014460648

EPU spillovers and stock return predictability : a cross-country study

Gong, Yuting; He, Zhongzhi; Xue, Wenjun - In: Journal of international financial markets, … 78 (2022), pp. 1-29

Persistent link: https://www.econbiz.de/10013357291

Order flow patterns around seasoned equity offering and their implications for stock price movements

Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: International review of finance 5 (2005) 1/2, pp. 75-111

Persistent link: https://www.econbiz.de/10003351736

Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

Persistent link: https://www.econbiz.de/10003885723

Price Impact and Asset Pricing

Huh, Sahn-Wook - 2013

Using intradaily order flows processed via the Lee and Ready (1991) algorithm for NYSE/AMEX-listed stocks over the past 27 years, I estimate a set of price-impact parameters. The results provide strong evidence that price impact is priced in the cross-section of stock returns, even after...

Persistent link: https://www.econbiz.de/10013087009

Theory-Based Illiquidity and Asset Pricing

Chordia, Tarun - 2010

Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic...

Persistent link: https://www.econbiz.de/10013151009