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Which liquidity proxy measures liquidity best in emerging markets?

Ahn, Hee-joon; Chai, Joseph C. H.; Yang, Cheol-Won - In: Economies : open access journal 6 (2018) 4/67, pp. 1-29

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with...

Persistent link: https://www.econbiz.de/10011956319

Share repurchase tender offers and bid-ask spreads

Ahn, Hee-joon; Cao, Charles Q.; Cho̕e, Hyuk - In: Journal of banking & finance 25 (2001) 3, pp. 445-478

Persistent link: https://www.econbiz.de/10001550670

Do informed traders trade more when the market is thick? : evidence from the Nikkei 225 index redefinition of April 2000

Ahn, Hee-joon; Cai, Jun; Chung, Jay M. - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 495-523

Persistent link: https://www.econbiz.de/10009231516

Liquidity skewness premium

Jeong, Giho; Kang, Jangkoo; Kwon, Kyungyoon - In: The North American journal of economics and finance : a … 46 (2018), pp. 130-150

Persistent link: https://www.econbiz.de/10012036613

Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns

Jang, Jeewon; Kang, Jangkoo - In: Journal of financial economics 132 (2019) 1, pp. 222-247

Persistent link: https://www.econbiz.de/10012136879

A geometric treatment of time-varying volatilities

Han, Chulwoo; Park, Frank C.; Kang, Jangkoo - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 1121-1141

Persistent link: https://www.econbiz.de/10011797596

State-dependent variations in the expected illiquidity premium

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2277-2314

Persistent link: https://www.econbiz.de/10011804715

An intertemporal CAPM with higher-order moments

Jang, Jeewon; Kang, Jangkoo - In: The North American journal of economics and finance : a … 42 (2017), pp. 314-337

Persistent link: https://www.econbiz.de/10011938131

An interrelation of time preference and risk attitude : an application to the equity premium puzzle

Kang, Jangkoo; Kim, Hwa-sung - In: Applied economics letters 19 (2012) 4/6, pp. 483-486

Persistent link: https://www.econbiz.de/10009630690

Macroeconomic risk and the cross-section of stock returns

Kang, Jangkoo; Kim, Tong Suk; Lee, Changjun; Min, Byoung-Kyu - In: Journal of banking & finance 35 (2011) 12, pp. 3158-3173

Persistent link: https://www.econbiz.de/10009383527