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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

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

Brand perceptions and the market for common stock

Frieder, Laura L.; Subrahmanyam, Avanidhar - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 1, pp. 57-86

Persistent link: https://www.econbiz.de/10002699001

[Rezension von: The microstructure of foreign exchange markets, ed. by Jeffrey A. Frankel ..]

Subrahmanyam, Avanidhar - In: Journal of economic literature 35 (1997) 3, pp. 1383-1384

Persistent link: https://www.econbiz.de/10001349248

Cross-sectional determinants of expected returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: The legacy of Fischer Black, (pp. 161-186). 2005

Persistent link: https://www.econbiz.de/10003404044

Overconfidence, arbitrage, and equilibrium asset pricing

Daniel, Kent; Hirshleifer, David; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 921-965

Persistent link: https://www.econbiz.de/10001593013

Asymmetric information and news disclosure rules

Spiegel, Matthew; Subrahmanyam, Avanidhar - In: Journal of financial intermediation 9 (2000) 4, pp. 363-403

Persistent link: https://www.econbiz.de/10001720921

Feedback and the success of irrational investors

Hirshleifer, David (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001685875

Order imbalance, liquidity, and market returns

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 65 (2002) 1, pp. 111-130

Persistent link: https://www.econbiz.de/10001690219