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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
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Pricing of time-varying liquidity risk in Finnish stock market : new evidence
Ahmed, Sheraz; Hirvonen, Jani; Hussain, Syed Mujahid - In: The European journal of finance 25 (2019) 13, pp. 1147-1165
Persistent link: https://www.econbiz.de/10012207067
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Illiquidity premium and monetary conditions in emerging markets : an empirical examination of Taiwan stock markets
Chen, Chia-Cheng; Tai, Chia-Li; Liu, Yi-Sheng - In: International journal of economics and financial issues … 10 (2020) 1, pp. 109-117
Persistent link: https://www.econbiz.de/10012151235
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State-dependent variations in the expected illiquidity premium
Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2277-2314
Persistent link: https://www.econbiz.de/10011804715
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Day long effect of liquidity on stock return : an empirical investigation in a day of political and economic importance in India
Tripathy, Trilochan; Ahluwalia, Eshan - In: International journal of economics and finance 7 (2015) 10, pp. 204-214
Persistent link: https://www.econbiz.de/10011376119
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Momentum and Illiquidity Premium in Indian Stock Market
Aziz, Tariq - 2015
This study links the role of momentum and illiquidity (as proxied by Amihud's Illiq) in the cross section of stock returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform liquid winners by an average 2.7% per month. We report...
Persistent link: https://www.econbiz.de/10013033906
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Is there an illiquidity premium in frontier markets?
Stereńczak, Szymon; Zaremba, Adam; Umar, Zaghum - In: Emerging markets review 42 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012414420
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Does time-varying illiquidity matter for the Indian stock market? : evidence from high-frequency data
Bhattacharya, Mousumi; Bhattacharya, Sharad Nath; Jha, … - In: Australian journal of management 47 (2022) 2, pp. 251-272
Persistent link: https://www.econbiz.de/10013268142
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Economic policy uncertainty and illiquidity return premium
Hsieh, Hui-Ching; Van Quoc Thinh Nguyen - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012667370
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How is illiquidity priced in the Chinese stock market?
Liu, Jun; Wu, Kai; Jiang, Fuwei; Shen, Zhiqi - In: Accounting and finance 63 (2023), pp. 1285-1320
Persistent link: https://www.econbiz.de/10014301920