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Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286

Liquidity and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820574

The multiple dimensions of liquidity

Garabedian, Garo; Inghelbrecht, Koen - 2020

Persistent link: https://www.econbiz.de/10012793065

What are the best liquidity proxies for global research?

Fong, Kingsley Y. L.; Holden, Craig W.; Trzcinka, Charles - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1355-1401

Persistent link: https://www.econbiz.de/10011803836

New bid-ask spread estimators from daily high and low prices

Li, Zhiyong; Lambe, Brendan; Adegbite, Emmanuel - In: International review of financial analysis 60 (2018), pp. 69-86

Persistent link: https://www.econbiz.de/10012007516

Impact of the change in Tick size on transaction costs and liquidity : an empirical investigation of the Taiwan Stock Exchange

Kuo, Su-wen; Huang, Chin-sheng; Chen, Chia-cheng - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 524-551

Persistent link: https://www.econbiz.de/10009231515

Transaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913

Burhop, Carsten; Gelman, Sergey - 2010

We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...