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Trading activity and expected stock returns

Chordia, Tarun; Subrahmanyam, Avanidhar; Anshuman, V. Ravi - In: Journal of financial economics 59 (2001) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10001540927

Price limits, information acquisition, and bid-ask spreads : theory and evidence

Anshuman, V. Ravi; Subrahmanyam, Avanidhar - In: Economic notes : economic review of Banca Monte dei … 28 (1999) 1, pp. 91-118

Persistent link: https://www.econbiz.de/10001371853

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

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

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 imbalance and individual stock returns : theory and evidence

Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of financial economics 72 (2004) 3, pp. 485-518

Persistent link: https://www.econbiz.de/10002089409

Evidence on the speed of convergence to market efficiency

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 76 (2005) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10002821821

An empirical analysis of stock and bond market liquidity

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - In: The review of financial studies 18 (2005) 1, pp. 85-129

Persistent link: https://www.econbiz.de/10002646547

The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2005

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find...

Persistent link: https://www.econbiz.de/10002746486