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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

Illiquidity and the cost of equity capital : evidence from actual estimates of capital cost for U.S. data

Goyal, Amit; Subrahmanyam, Avanidhar; Swaminathan, Bhaskaran - 2021

Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...

Persistent link: https://www.econbiz.de/10012800436

Illiquidity and the cost of equity capital : evidence from actual estimates of capital cost for U.S. data

Goyal, Amit; Subrahmanyam, Avanidhar; Swaminathan, Bhaskaran - In: Review of financial economics : RFE 41 (2023) 4, pp. 364-391

Persistent link: https://www.econbiz.de/10014431274

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

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