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Does round-the-clock trading result in Pareto improvements?

Spiegel, Matthew; Subrahmanyam, Avanidhar - 1993

Persistent link: https://www.econbiz.de/10000859597

Financial market shocks and the macroeconomy

Subrahmanyam, Avanidhar; Titman, Sheridan - In: The review of financial studies 26 (2013) 11, pp. 2687-2717

Persistent link: https://www.econbiz.de/10010225970

Cross-sectional determinants of expected returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: The legacy of Fischer Black, (pp. 161-186). 2005

Persistent link: https://www.econbiz.de/10003404044

On intraday risk premia

Spiegel, Matthew - In: The journal of finance : the journal of the American … 50 (1995) 1, pp. 319-339

Persistent link: https://www.econbiz.de/10001178304

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

Brennan, Michael J. - In: Journal of financial economics 49 (1998) 3, pp. 345-373

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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