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The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010

Hagströmer, Björn; Nilsson, Birger; Hansson, Björn - 2011

This paper estimates a conditional version of the liquidity adjusted CAPM by Acharya and Pedersen (2005) using NYSE and AMEX data from 1927 to 2010 to study the illiquidity premium and its variation over time. The components of the illiquidity premium is in this model derived as the level of...

Persistent link: https://www.econbiz.de/10013208584

Do volatility extensions improve the quality of closing call auctions?

Félez‐Viñas, Ester; Hagströmer, Björn - In: Financial Review 56 (2021) 3, pp. 385-406

Persistent link: https://www.econbiz.de/10012634948

Causality in crude oil prices

Wlazlowski, Szymon; Hagströmer, Björn; Giulietti, Monica - In: Applied economics 43 (2011) 22/24, pp. 3337-3347

Persistent link: https://www.econbiz.de/10009357383

Closing call auctions at the index futures market

Hagströmer, Björn; Nordén, Lars - In: The journal of futures markets 34 (2014) 4, pp. 299-319

Persistent link: https://www.econbiz.de/10010355429

How aggressive are high-frequency traders?

Hagströmer, Björn; Nordén, Lars; Zhang, Dong - In: The financial review : the official publication of the … 49 (2014) 2, pp. 395-419

Persistent link: https://www.econbiz.de/10010363573

The diversity of high-frequency traders

Hagströmer, Björn; Nordén, Lars - In: Journal of financial markets 16 (2013) 4, pp. 741-770

Persistent link: https://www.econbiz.de/10010242210

The components of the illiquidity premium : an empirical analysis of US stocks ; 1927 - 2010

Hagströmer, Björn; Hansson, Björn A.; Nilsson, Birger - In: Journal of banking & finance 37 (2013) 11, pp. 4476-4487

Persistent link: https://www.econbiz.de/10010246984

The components of the illiquidity premium : an empirical analysis of U.S. stocks 1927-2010

Hagströmer, Björn; Hansson, Björn A.; Nilsson, Birger - 2011

Persistent link: https://www.econbiz.de/10009273444

Dynamics in systematic liquidity

Hagströmer, Björn (contributor) - 2009

Persistent link: https://www.econbiz.de/10003843271

Trading fast and slow : colocation and liquidity

Brogaard, Jonathan; Hagströmer, Björn; Nordén, Lars; … - In: The review of financial studies 28 (2015) 12, pp. 3407-3443

Persistent link: https://www.econbiz.de/10011447523