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Stock returns and liquidity after listing switch on the Warsaw Stock Exchange

Podedworna-Tarnowska, Dorota; Kaszyński, Daniel - In: Economics and business review 8/22 (2022) 4, pp. 111-135

Persistent link: https://www.econbiz.de/10013502622

Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081

Persistent link: https://www.econbiz.de/10014370626

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

Persistent link: https://www.econbiz.de/10011455379

Investor heterogeneity and commonality in stock return and liquidity

Pan, Deng; Shi, Jing; Wu, Fei; Zhang, Bohui - In: Economic systems 39 (2015) 3, pp. 458-473

Persistent link: https://www.econbiz.de/10011532310

Liquidity and expected returns : evidence from 1926 - 2008

Baradarannia, M. Reza; Peat, Maurice - In: International review of financial analysis 29 (2013), pp. 10-23

Persistent link: https://www.econbiz.de/10010244145

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

Grobys, Klaus - 2017

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...

Persistent link: https://www.econbiz.de/10012964844

Commonality in returns, order flows, and liquidity in the Greek stock market

Dunne, Peter G.; Moore, Michael J.; Papavassiliou, … - In: The European journal of finance 17 (2011) 7/8, pp. 577-587

Persistent link: https://www.econbiz.de/10009509845

Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders

Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008

Persistent link: https://www.econbiz.de/10003650538

The Effect of Stock Market Liquidity on Daily Returns in the Nigerian Capital Market

Onoh, John Okey - 2016

investors. The ability to generate confidence among investors requires an understanding of the role liquidity plays in the … Ordinary least square in hypotheses testing using three liquidity measurement methods. The results revealed that the market …

Persistent link: https://www.econbiz.de/10012986324

The information content of equity block trades on the Warsaw Stock Exchange : conventional and bootstrap approaches

Kurek, Bartosz - In: Journal of forecasting 35 (2016) 1, pp. 43-53

Persistent link: https://www.econbiz.de/10011417705

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