Similar Search Results

Liquidity and autocorrelations in individual stock returns

Avramov, Doron; Chordia, Tarun; Goyal, Amit - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2365-2394

Persistent link: https://www.econbiz.de/10003378711

Liquidity and returns : the impact of inclusion into the S&P 500 index

Chordia, Tarun - In: Stock market liquidity : implications for market …, (pp. 359-386). 2008

Persistent link: https://www.econbiz.de/10003650789

Time-Varying Liquidity and Momentum Profits

Avramov, Doron - 2019

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic...

Persistent link: https://www.econbiz.de/10012905292

Order imbalance, liquidity, and market returns

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 3-21). 2008

Persistent link: https://www.econbiz.de/10003650440

Commonality in liquidity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 327-348). 2008

Persistent link: https://www.econbiz.de/10003650781

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

The cross-section of daily variation in liquidity

Chordia, Tarun; Shivakumar, Lakshmanan; Subrahmanyam, … - In: Advances in quantitative analysis of finance and … 3 (2006), pp. 75-110

Persistent link: https://www.econbiz.de/10003424664

Liquidity dynamics across small and large firms

Chordia, Tarun; Shivakumar, Lakshmanan; Subrahmanyam, … - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 1, pp. 111-143

Persistent link: https://www.econbiz.de/10003690186

The cross-section of expected trading activity

Chordia, Tarun; Huh, Sahn-wook; Subrahmanyam, Avanidhar - In: The review of financial studies 20 (2007) 3, pp. 709-740

Persistent link: https://www.econbiz.de/10003554621

Sell-order liquidity and the cross-section of expected stock returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyan, Avanidhar - In: Journal of financial economics 105 (2012) 3, pp. 523-541

Persistent link: https://www.econbiz.de/10009666811