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Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
Li, Jinliang - 2012
A quarterly time series of the aggregate commission rate for NYSE trading over 1980-2003 allowed an investigation of the information conveyed by this liquidity risk metric and analysis of its critical role in the generation of stock returns. The aggregate commission rate was found to be highly...
Persistent link: https://www.econbiz.de/10012755355
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PORTFOLIO MANAGEMENT - Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
Li, Jinliang; Mooradian, Robert M.; Zhang, Wei David - In: Financial analysts' journal : FAJ 63 (2007) 4, pp. 28-39
Persistent link: https://www.econbiz.de/10007766918
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The information content of the NCREIF index
Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee - In: The journal of real estate research 31 (2009) 1, pp. 93-116
Persistent link: https://www.econbiz.de/10003831660
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Bounded influence estimator for GARCH models : evidence from foreign exchange rates
Li, Jinliang; Kao, Chihwa; Zhang, Wei - In: Applied economics 42 (2010) 10/12, pp. 1437-1445
Persistent link: https://www.econbiz.de/10008658420
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Margin borrowing, stock returns, and market volatility : evidence from margin credit balance
Zhang, Wei; Seyedian, Mojtaba; Li, Jinliang - In: Economics letters 87 (2005) 2, pp. 273-278
Persistent link: https://www.econbiz.de/10002837472
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Intradaily periodicity and volatility spillovers between international stock index futures markets
Wu, Chunchi; Li, Jinliang; Zhang, Wei - In: The journal of futures markets 25 (2005) 6, pp. 553-585
Persistent link: https://www.econbiz.de/10002846393
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To trade or not to trade : the effect of broker search and discretionary trading on securities market performance
Zhang, Wei; Li, Jinliang; Wu, Chunchi - In: The financial review : the official publication of the … 39 (2004) 2, pp. 271-292
Persistent link: https://www.econbiz.de/10002041241
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The Information Content of the NCREIF Index
Li, Jinliang - 2012
Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...
Persistent link: https://www.econbiz.de/10013116718
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The Information Content of the NCREIF Index
Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee X. - In: The journal of real estate research 31 (2009) 1, pp. 93
Persistent link: https://www.econbiz.de/10008235999
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The Information Content of the NCREIF Index
Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee X. - In: Journal of Real Estate Research 31 (2009) 1, pp. 93-116
This paper examines the dynamic behavior of the NCREIF index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroskedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...
Persistent link: https://www.econbiz.de/10005055383