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Illiquidity and stock returns : cross-section and time-series effects

Amihud, Yakov - In: Journal of financial markets 5 (2002) 1, pp. 31-56

Persistent link: https://www.econbiz.de/10001657094

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

Deo, Rohit S.; Hurvich, Clifford M.; Lu, Yi - In: Journal of econometrics 131 (2006) 1/2, pp. 29-58

Persistent link: https://www.econbiz.de/10003298562

Trading mechanisms and stock returns : an empir. investigation

Amihud, Yakov - In: The journal of finance : the journal of the American … 42 (1987) 3, pp. 533-553

Persistent link: https://www.econbiz.de/10001047858

The declining information content of dividend announcements and the effects of institutional holdings

Amihud, Yakov; Li, Kefei - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 3, pp. 637-660

Persistent link: https://www.econbiz.de/10003374651

Liquidity risk of corporate bond returns

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - 2010

"We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the period 1973 to 2007. A decline in liquidity of stocks or Treasury bonds produces conflicting effects: Prices of investment-grade bonds rise while prices of speculative grade bonds...

Persistent link: https://www.econbiz.de/10008666982