Similar Search Results

Evidence on the speed of convergence to market efficiency

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 76 (2005) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10002821821

Recent trends in trading activity and market quality

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 101 (2011) 2, pp. 243-263

Persistent link: https://www.econbiz.de/10009242865

Liquidity and market efficiency

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 87 (2008) 2, pp. 249-268

Persistent link: https://www.econbiz.de/10003629034

Evidence on the speed of convergence to market efficiency

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 117-148). 2008

Persistent link: https://www.econbiz.de/10003650510

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

The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2005

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find...

Persistent link: https://www.econbiz.de/10002746486

Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?

Chordia, Tarun; Subrahmanyam, Avanidhar; Tong, Qing - In: Journal of accounting & economics 58 (2014) 1, pp. 41-58

Persistent link: https://www.econbiz.de/10010407780

Index option trading activity and market returns

Chordia, Tarun; Kurov, Alexander; Muravyev, Dmitriy; … - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1758-1778

Persistent link: https://www.econbiz.de/10012506034

Order imbalances and market efficiency : evidence from the Taiwan stock exchange

Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 327-341

Persistent link: https://www.econbiz.de/10002103632

Liquidity skewness

Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of banking & finance 34 (2010) 10, pp. 2562-2571

Persistent link: https://www.econbiz.de/10008858290