Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Liquidity Supply in the Corporate Bond Market. (2021). Nozawa, Yoshio ; Goldberg, Jonathan.
In: Journal of Finance.
RePEc:bla:jfinan:v:76:y:2021:i:2:p:755-796.

Full description at Econpapers || Download paper

Cited: 19

Citations received by this document

Cites: 57

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Demand-and-supply imbalance risk and long-term swap spreads. (2024). Venter, Gyuri ; Malkhozov, Aytek ; Hanson, Samuel G.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000370.

    Full description at Econpapers || Download paper

  2. Tunisian corporate bond market liquidity: a qualitative approach. (2023). Dabbou, Halim ; Berrich, Olfa.
    In: Qualitative Research in Financial Markets.
    RePEc:eme:qrfmpp:qrfm-04-2021-0057.

    Full description at Econpapers || Download paper

  3. Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

    Full description at Econpapers || Download paper

  4. Outliers and momentum in the corporate bond market. (2023). Galvani, Valentina ; Li, Lifang.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:89:y:2023:i:c:p:135-148.

    Full description at Econpapers || Download paper

  5. Priced risk in corporate bonds. (2023). Mueller, Philippe ; Dickerson, Alexander ; Robotti, Cesare.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001393.

    Full description at Econpapers || Download paper

  6. Oil price uncertainty and the cost of debt: Evidence from the Chinese bond market. (2023). Zhang, Mingxin ; Wu, XI ; Jiang, Yan ; Gan, Tian.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:87:y:2023:i:c:s104900782300057x.

    Full description at Econpapers || Download paper

  7. The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo.
    In: Bank of England working papers.
    RePEc:boe:boeewp:1045.

    Full description at Econpapers || Download paper

  8. Outliers and Momentum in the Corporate Bond Market. (2022). Galvani, Valentina ; Li, Lifang.
    In: Working Papers.
    RePEc:ris:albaec:2022_003.

    Full description at Econpapers || Download paper

  9. Inventory-Constrained Underwriters and Corporate Bond Offerings. (2022). Ottonello, Giorgio ; Nagler, Florian.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rasset:v:12:y:2022:i:3:p:639-666..

    Full description at Econpapers || Download paper

  10. Fragility of Safe Asset Markets. (2022). Phelan, Gregory ; Eisenbach, Thomas M.
    In: Staff Reports.
    RePEc:fip:fednsr:94496.

    Full description at Econpapers || Download paper

  11. Demand-supply imbalance risk and long-term swap spreads. (2022). Venter, Gyuri ; Malkhozov, Aytek ; Hanson, Samuel.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118868.

    Full description at Econpapers || Download paper

  12. Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D.
    In: Papers.
    RePEc:arx:papers:2208.10974.

    Full description at Econpapers || Download paper

  13. .

    Full description at Econpapers || Download paper

  14. Corporate Bond Liquidity during the COVID-19 Crisis. (2021). Zuiga, Diego ; Weill, Pierre-Olivier ; Liu, Shuo ; Lindsay, David ; Lester, Benjamin ; Kargar, Mahyar.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:34:y:2021:i:11:p:5352-5401..

    Full description at Econpapers || Download paper

  15. Reversal effect and corporate bond pricing in China. (2021). Wang, Guanying ; Zhang, Heming.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001712.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acharya, Viral V., and Lasse Heje Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 375–410.

  2. Amihud, Yakov, 2002, Illiquidity and stock returns: Cross‐section and time‐series effects, Journal of Financial Markets 5, 31–56.
    Paper not yet in RePEc: Add citation now
  3. Anand, Ambar, Chotibhak Jotikasthira, and Kumar Venkataraman, 2017, Do buy‐side institutions supply liquidity in bond markets? Evidence from mutual funds, Working paper, Syracuse University.
    Paper not yet in RePEc: Add citation now
  4. Asquith, Paul, Andrea S. Au, Thomas R. Covert, and Parag A. Pathak, 2013, The market for borrowing corporate bonds, Journal of Financial Economics 107, 155–182.

  5. Bai, Jennie, Turan G. Bali, and Quan Wen, 2019, Common risk factors in the cross‐section of corporate bond returns, Journal of Financial Economics 131, 619–642.
    Paper not yet in RePEc: Add citation now
  6. Bao, Jack, Jun Pan, and Jiang Wang, 2011, The illiquidity of corporate bonds, Journal of Finance 66, 911–946.

  7. Bao, Jack, Maureen OHara, and Xing Zhou, 2018, The Volcker rule and corporate bond market making in times of stress, Journal of Financial Economics 130, 95–113.

  8. Bessembinder, Hendrik, Kathleen M. Kahle, William F. Maxwell, and Danielle Xu, 2009, Measuring abnormal bond performance, Review of Financial Studies 22, 4219–4258.

  9. Bessembinder, Hendrik, Stacey E. Jacobsen, William F. Maxwell, and Kumar Venkataraman, 2018, Capital commitment and illiquidity in corporate bonds, Journal of Finance 73, 1615–1661.

  10. Bollerslev, Tim, George Tauchen, and Hao Zhou, 2009, Expected stock returns and variance risk premia, Review of Financial Studies 22, 4463–4492.

  11. Bongaerts, Dion, Frank de Jong, and Joost Driessen, 2017, An asset pricing approach to liquidity effects in corporate bond markets, Review of Financial Studies 30, 1229–1269.

  12. Chen, Hui, Scott Joslin, and Sophie Xiaoyan Ni, 2018, Demand for crash insurance, intermediary constraints, and risk premia in financial markets, Review of Financial Studies 32, 228–265.
    Paper not yet in RePEc: Add citation now
  13. Choi, Jaewon, and Yesol Huh, 2018, Customer liquidity provision: Implications for corporate bond transaction costs, Working paper, Federal Reserve Board.

  14. Chordia, Tarun, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong, 2017, Are capital market anomalies common to equity and corporate bond markets? An empirical investigation, Journal of Financial and Quantitative Analysis 52, 1301–1342.

  15. Comerton‐Forde, Carole, Terrence Hendershott, Charles M. Jones, Pamela C. Moulton, and Mark S. Seasholes, 2010, Time variation in liquidity: The role of market‐maker inventories and revenues, Journal of Finance 65, 295–331.

  16. Dick‐Nielsen, Jens, and Marco Rossi, 2018, The cost of immediacy for corporate bonds, Review of Financial Studies 32, 1–41.
    Paper not yet in RePEc: Add citation now
  17. Dick‐Nielsen, Jens, Peter Feldhütter, and David Lando, 2012, Corporate bond liquidity before and after the onset of the subprime crisis, Journal of Financial Economics 103, 471–492.

  18. Du, Wenxin, Alexander Tepper, and Adrien Verdelhan, 2018, Deviations from covered interest rate parity, Journal of Finance 73, 915–957.

  19. Duarte, Jefferson, and Lance Young, 2009, Why is PIN priced? Journal of Financial Economics 91, 119–138.
    Paper not yet in RePEc: Add citation now
  20. Duffie, Darrell, 2010, Presidential address: Asset price dynamics with slow‐moving capital, Journal of Finance 65, 1237–1267.

  21. Easley, David, Soeren Hvidkjaer, and Maureen OHara, 2002, Is information risk a determinant of asset returns? Journal of Finance 57, 2185–2221.
    Paper not yet in RePEc: Add citation now
  22. Elsaify, Amora, and Nikolai Roussanov, 2016, Why do firms issue callable bonds? Working paper, University of Pennsylvania.
    Paper not yet in RePEc: Add citation now
  23. Fama, Eugene F., and Kenneth R. French, 1992, The cross‐section of expected stock returns, Journal of Finance 47, 427–465.

  24. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.

  25. Fama, Eugene F., and Kenneth R. French, 2015, A five‐factor asset pricing model, Journal of Financial Economics 116, 1–22.

  26. Feldhütter, Peter, 2012, The same bond at different prices: Identifying search frictions and selling pressures, Review of Financial Studies 25, 1155–1206.
    Paper not yet in RePEc: Add citation now
  27. Fleckenstein, Matthias, Francis A. Longstaff, and Hanno Lustig, 2014, The TIPS‐Treasury bond puzzle, Journal of Finance 69, 2151–2197.
    Paper not yet in RePEc: Add citation now
  28. Fontaine, Jean‐Sébastien, and René Garcia, 2012, Bond liquidity premia, Review of Financial Studies 25, 1207–1254.

  29. Frazzini, Andrea, and Lasse Heje Pedersen, 2014, Betting against beta, Journal of Financial Economics 111, 1–25.

  30. Friewald, Nils, and Florian Nagler, 2016, Dealer inventory and the cross‐section of corporate bond returns, Working paper, Norwegian School of Economics.
    Paper not yet in RePEc: Add citation now
  31. Friewald, Nils, and Florian Nagler, 2019, Over‐the‐counter market frictions and yield spread changes, Journal of Finance 74, 3217–3257.

  32. Gilchrist, Simon, and Egon Zakrajšek, 2012, Credit spreads and business cycle fluctuations, American Economic Review 102, 1692–1720.

  33. Goldberg, Jonathan, 2020, Liquidity supply by broker‐dealers and real activity, Journal of Financial Economics 136, 806–827.

  34. Goldstein, Michael A., and Edith S. Hotchkiss, 2020, Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds, Journal of Financial Economics 135, 16–40.

  35. Gromb, Denis, and Dmitri Vayanos, 2018, The dynamics of financially constrained arbitrage, Journal of Finance 73, 1713–1750.

  36. Grossman, Sanford J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393–408. https://www.jstor.org/stable/1805228.

  37. Grossman, Sanford J., and Merton H. Miller, 1988, Liquidity and market structure, Journal of Finance 43, 617–633.

  38. Hameed, Allaudeen, Wenjin Kang, and Shivesh Viswanathan, 2010, Stock market declines and liquidity, Journal of Finance 65, 257–293.

  39. He, Zhiguo, and Arvind Krishnamurthy, 2013, Intermediary asset pricing, American Economic Review 103, 732–770.

  40. He, Zhiguo, Bryan Kelly, and Asaf Manela, 2017, Intermediary asset pricing: New evidence from many asset classes, Journal of Financial Economics 126, 1–35.

  41. Hodrick, Robert J., 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5, 357–386.

  42. Hu, Grace Xing, Jun Pan, and Jiang Wang, 2013, Noise as information for illiquidity, Journal of Finance 68, 2341–2382.

  43. Jermann, Urban J., 2019, Negative swap spreads and limited arbitrage, Review of Financial Studies 33, 212–238.

  44. Karolyi, G. Andrew, Kuan‐Hui Lee, and Mathijs A. Van Dijk, 2012, Understanding commonality in liquidity around the world, Journal of Financial Economics 105, 82–112.

  45. Klingler, Sven, and Suresh Sundaresan, 2019, An explanation of negative swap spreads: Demand for duration from underfunded pension plans, Journal of Finance 74, 675–710.

  46. Kondor, Péter, and Dimitri Vayanos, 2019, Liquidity risk and the dynamics of arbitrage capital, Journal of Finance 74, 1139–1173.

  47. Lin, Hai, Junbo Wang, and Chunchi Wu, 2011, Liquidity risk and expected corporate bond returns, Journal of Financial Economics 99, 628–650.

  48. Ma, Yueran, 2019, Nonfinancial firms as cross‐market arbitrageurs, Journal of Finance 74, 3041–3087.
    Paper not yet in RePEc: Add citation now
  49. Mitchell, Mark, Lasse Heje Pedersen, and Todd Pulvino, 2007, Slow moving capital, American Economic Review 97, 215–220.
    Paper not yet in RePEc: Add citation now
  50. Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi‐definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703–708.

  51. Pástor, Ľuboš, and Robert F. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 111, 642–685.

  52. Pedersen, Lasse Heje, 2015, Efficiently Inefficient: How Smart Money Invests and Market Prices are Determined (Princeton University Press, Princeton, NJ).

  53. Sadka, Ronnie, 2010, Liquidity risk and the cross‐section of hedge‐fund returns, Journal of Financial Economics 98, 54–71.
    Paper not yet in RePEc: Add citation now
  54. Shleifer, Andrei, and Robert W. Vishny, 1997, The limits of arbitrage, Journal of Finance 52, 35–55.

  55. Svensson, Lars E.O., 1994, Estimating and interpreting forward interest rates: Sweden 1992–1994, NBER working paper w4871.

  56. Uhlig, Harald, 2005, What are the effects of monetary policy on output? Results from an agnostic identification procedure, Journal of Monetary Economics 52, 381–419.

  57. Vayanos, Dimitri, and Jiang Wang, 2013, Market liquidity: Theory and empirical evidence, in George M. Constantinides, Milton Harris, and Rene M. Stulz, eds.: Handbook of the Economics of Finance, Volume 2 (Elsevier, Amsterdam).

Cocites

Documents in RePEc which have cited the same bibliography

  1. Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael.
    In: Papers.
    RePEc:arx:papers:2007.07842.

    Full description at Econpapers || Download paper

  2. Opinion divergence, unexpected trading volume and stock returns: Evidence from China. (2015). Zhu, Hongquan ; Qin, LU ; Chen, Lin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:36:y:2015:i:c:p:119-127.

    Full description at Econpapers || Download paper

  3. Measuring the liquidity part of volume. (2015). darolles, serge ; le Fol, Gaelle ; Mero, Gulten.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:92-105.

    Full description at Econpapers || Download paper

  4. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). ARTIKIS, PANAGIOTIS ; Apergis, Nicholas ; Kyriazis, Dimitrios .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:42-64.

    Full description at Econpapers || Download paper

  5. Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2015). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10497.

    Full description at Econpapers || Download paper

  6. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets. (2015). Vilkov, Grigory ; Uppal, Raman ; Buss, Adrian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10437.

    Full description at Econpapers || Download paper

  7. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Kallsen, Jan ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1303.3148.

    Full description at Econpapers || Download paper

  8. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

    Full description at Econpapers || Download paper

  9. Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry. (2013). Suardi, Sandy ; Nilsson, Birger ; Ding, Mingfa .
    In: Working Papers.
    RePEc:hhs:lunewp:2013_010.

    Full description at Econpapers || Download paper

  10. Finance: Function Matters, Not Size. (2013). Cochrane, John.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:27:y:2013:i:2:p:29-50.

    Full description at Econpapers || Download paper

  11. Flight to liquidity due to heterogeneity in investment horizon. (2012). Lei, Qin ; Wang, Xuewu.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

    Full description at Econpapers || Download paper

  12. Primary market characteristics and secondary market frictions of stocks. (2012). Çolak, Gönül, ; Boehme, Rodney .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:286-327.

    Full description at Econpapers || Download paper

  13. Liquidity problems in the FX liquid market: Ask for the BIL.. (2010). Le Fol, Gaelle ; Idier, Julien ; Borgy, Vladimir.
    In: Working papers.
    RePEc:bfr:banfra:279.

    Full description at Econpapers || Download paper

  14. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Capponi, Agostino ; Predescu, Mirela.
    In: Papers.
    RePEc:arx:papers:1003.0889.

    Full description at Econpapers || Download paper

  15. Illiquidity and Stock Returns. (2010). Mooradian, Robert M..
    In: Review of Applied Economics.
    RePEc:ags:reapec:143268.

    Full description at Econpapers || Download paper

  16. Dynamic Sources of Sovereign Bond Market Liquidity. (2009). Kücük, Uğur.
    In: MPRA Paper.
    RePEc:pra:mprapa:19677.

    Full description at Econpapers || Download paper

  17. The diminishing liquidity premium. (2008). Wohl, Avi ; Kadan, Ohad ; Ben-Rephael, Azi .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200852.

    Full description at Econpapers || Download paper

  18. MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members. (2008). Tamazian, Artur ; Chousa, Juan Pieiro ; Melikyan, Davit N..
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-916.

    Full description at Econpapers || Download paper

  19. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  20. The Risk Components of Liquidity. (2008). Skjeltorp, Johannes ; Næs, Randi ; Chollete, Loran ; Nas, Randi .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_007.

    Full description at Econpapers || Download paper

  21. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

    Full description at Econpapers || Download paper

  22. Is There Hedge Fund Contagion?. (2008). Stulz, René ; Stahel, Christof ; Boyson, Nicole .
    In: Working Papers.
    RePEc:ecl:upafin:08-2.

    Full description at Econpapers || Download paper

  23. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-8.

    Full description at Econpapers || Download paper

  24. Commodity Price Exposure and Ownerhsip Clienteles. (2008). Minton, Bernadette ; Davies, Phil ; Schrand, Catherine .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-7.

    Full description at Econpapers || Download paper

  25. Expected returns and liquidity risk: Does entrepreneurial income matter?. (2008). Saffi, Pedro.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0749.

    Full description at Econpapers || Download paper

  26. Portfolio choice and the effects of liquidity. (2007). Gonzalez, Ana ; Rubio, Gonzalo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1035.

    Full description at Econpapers || Download paper

  27. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12877.

    Full description at Econpapers || Download paper

  28. Three Liquidity Crises in Retrospective: Implications for Central Banking Today. (2007). Sauer, Stephan .
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:2011.

    Full description at Econpapers || Download paper

  29. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

    Full description at Econpapers || Download paper

  30. Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World. (2007). van Dijk, Mathijs ; Karolyi, G. ; LEE, KUANHUI .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2007-16.

    Full description at Econpapers || Download paper

  31. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6390.

    Full description at Econpapers || Download paper

  32. Fire Sales, Foreign Entry and Bank Liquidity. (2007). Yorulmazer, Tanju ; Shin, Hyun Song ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6309.

    Full description at Econpapers || Download paper

  33. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6117.

    Full description at Econpapers || Download paper

  34. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. (2006). Beber, Alessandro ; Brandt, Michael W. ; Kavajecz, Kenneth A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12376.

    Full description at Econpapers || Download paper

  35. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12360.

    Full description at Econpapers || Download paper

  36. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12020.

    Full description at Econpapers || Download paper

  37. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert .
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

    Full description at Econpapers || Download paper

  38. The Nontradable Share Reform in the Chinese Stock Market. (2006). Bortolotti, Bernardo ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:fem:femwpa:2006.131.

    Full description at Econpapers || Download paper

  39. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

    Full description at Econpapers || Download paper

  40. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5491.

    Full description at Econpapers || Download paper

  41. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11413.

    Full description at Econpapers || Download paper

  42. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

    Full description at Econpapers || Download paper

  43. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-10.

    Full description at Econpapers || Download paper

  44. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

    Full description at Econpapers || Download paper

  45. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10755.

    Full description at Econpapers || Download paper

  46. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:425.

    Full description at Econpapers || Download paper

  47. Liquidity Black Holes. (2003). Shin, Hyun Song ; Morris, Stephen.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1434.

    Full description at Econpapers || Download paper

  48. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Nieto, Belen ; Miguel Angel A. Martinez, ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200205.

    Full description at Econpapers || Download paper

  49. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Nieto, Belen ; Tapia, Mikel ; Rubio, Gonzalo.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb026022.

    Full description at Econpapers || Download paper

  50. Liquidity Risk and Expected Stock Returns. (2002). Stambaugh, Robert ; Pastor, Lubos.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3494.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-19 11:49:02 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.