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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 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

Order flow volatility and equity costs of capital

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551

Persistent link: https://www.econbiz.de/10012022640

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

Liquidity skewness

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

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

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

Shocks to Order Flow Volatility and Stock Returns

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - 2021

In theoretical models, liquidity and order flow volatility are determined by the same exogenous parameters. Thus, the variability of order flow can at least partially proxy for the unobserved (true) liquidity. Levels of and shocks to order flow volatility are indeed positively and significantly...

Persistent link: https://www.econbiz.de/10013231852

Lagged order flows and returns : a longer-term perspective

Subrahmanyam, Avanidhar - In: The quarterly review of economics and finance : journal … 48 (2008) 3, pp. 623-640

Persistent link: https://www.econbiz.de/10003747282

Common liquidity shocks and market collapse : lessons from the market for perps

Fernando, Chitru S.; Herring, Richard J.; Subrahmanyam, … - In: Journal of banking & finance 32 (2008) 8, pp. 1625-1635

Persistent link: https://www.econbiz.de/10003749393

The determinants of average trade size

Brennan, Michael J. - In: The journal of business : B 71 (1998) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001233463