This document has not been cited yet.

1. Acharya, V. and L. Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 375-4 10.

2. Admati, A. R. and P. Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, The Review of Financial Studies 1: 3-40.

3. Aggarawal, R., L. Klapper, and P. Wysocki, 2003, Portfolio preferences of foreign institutional investors, working paper.

4. Allayannis G., and J. Weston, 2001, The use of foreign currency derivatives and firm market value, Review of Financial Studies 14, 243-276.

5. Amihud, Y. and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17 (2): 223-249.

6. Barber, B. M. and Odean, T., 2006, All that glitters: The effect of attention on the buying behavior of individual and institutional investors, Review of Financial Studies, forthcoming.
   Paper not yet in RePEc: Add citation now
   
7. Bartov, E. and G. M. Bodnar, 1996, Alternative accounting methods, information asymmetry and liquidity: Theory and evidence, The AccountingReview 71(3): 397-418.
   Paper not yet in RePEc: Add citation now
   

8. Bens, Daniel A. and Steven J. Monahan, 2004, Disclosure quality and the excess value of diversification, Journal ofAccounting Research 42 (4): 69 1-730.

9. Berger, P. G. and R. Hann, 2003, The impact of SFAS No. 131 on information and monitoring, Journal ofAccounting Research 41(2): 163-223.

10. Boone, J. P. and K. K. Raman, 2001, Off-balance sheet R&D assets and market liquidity, Journal ofAccounting and Public Policy 20 (2): 97-128.

11. Brennan, M. J. and C. Tamarowski, 2000, Investor relations, liquidity and stock prices, Journal of Applied Corporate Finance 12 (4): 26-37.

12. Bushee, B. J. and C. F. Noe, 2000, Corporate disclosure practices, institutional investors, and stock return volatility, Journal ofAccounting Research 38, 17 1-202.

13. Bushee, B. J. and G. S. Miller, 2006, Investor relations, firm visibility, and investor following, Working paper.
    Paper not yet in RePEc: Add citation now
    
14. Bushee, B., 1998, The influence of institutional investors on myopic R&D investment behavior, The Accounting Review 73, 305-333.
    Paper not yet in RePEc: Add citation now
    
15. Bushee, B., 2001, Do institutional investors prefer near-term earnings over long-run value?, Contemporary Accounting Research 18, 207-246.
    Paper not yet in RePEc: Add citation now
    

16. Bushman, Robert, Qi Chen, Ellen Engel, and Abbie Smith, 2004, Financial accounting information, organizational complexity and corporate governance systems, Journal of Accounting and Economics 37: 167-201.

17. Carter D., C. Pantzalis, and B. Simkins, 2004, Does fuel hedging make economic sense? The case of the U.S. airline industry, working paper, Oklahoma State University.
    Paper not yet in RePEc: Add citation now
    
18. Chan, J., 2002, Persistence, uncertain liquidity, and expected returns, Working paper, UCLA Anderson School.
    Paper not yet in RePEc: Add citation now
    

19. Chordia, T., A. Subrahmanyam, and V. Anshuman, 2001, Trading activity and expected stock returns, Journal of Financial Economics 59, 3-32.

20. Cliff, M. T. and D. J. Denis, 2004, Do initial public offering firms purchase analyst coverage with underpricing?, Journal of Finance 56, 287 1-2901.

21. Comment, R., Jarrell, G. A., 1995. Corporate focus and stock returns. Journal of Financial Economics 37, 67-87.

22. Del Guercio, D. 1996, The distorting effect of the prudent man law of institutional equity investments, Journal of Financial Economics 40, 31-62.

23. Diamond, D. W. and R. E. Venecchia, 1991, Disclosure, liquidity, and the cost of capital, Journal of Finance 46 (4): 1325-1359.

24. Dimson, E., 1979, Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics 7, 197-220.

25. Eleswarapu, V. R., R. Thompson, and K. Venkataraman, 2004, The impact of Regulation Fair Disclosure: Trading costs and information asymmetry, Journal of Financial and Quantitative Analysis 39(2): 209-225.

26. Falkenstein, E., 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance 51, 111-135.

27. Ferreira, M. A. and P. A. Laux, 2007, Corporate governance, idiosyncratic risk, and information flow, Journal of Finance 62 (2): 95 1-989.

28. Ferreira, M. and P. Matos, 2006, The colors of investors money: Which firms attract institutional investors from around the world, working paper.
    Paper not yet in RePEc: Add citation now
    
29. Foerster, S. and A. Karolyi, 1999, The effect of market segmentation and investor recognition on asset prices: Evidence from foreign stock listings in the US, Journal of Finance, 54, 98110 13.
    Paper not yet in RePEc: Add citation now
    
30. Géczy, C., B. A. Minton, and C. M. Schrand, 1997, Why firms use cunency derivatives, Journal of Finance 52, 1323-1354.
    Paper not yet in RePEc: Add citation now
    

31. Glosten, L. and P. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 13, 71-100.

32. Gompers, P., and A. Metrick, 2001, Institutional investors and equity prices, Quarterly Journal of Economics 118, 229-260.

33. Gorton, G. and K. Rouwenhorst, 2005, Facts and fantasies about commodity futures, working paper, University of Pennsylvania.

34. Graham, J. R., C. R. Harvey, and S. Rajgopal, 2005, The economic implications of corporate financial reporting, Journal ofAccounting and Economics 40 (1-3): 3-73.

35. Healy, P.M., A.P. Hutton, and K.G. Palepu, 1999, Stock performance and intermediation changes surrounding sustained increases in disclosure, Contemporary Accounting Research 16, 485.

36. Hodder, Leslie, Lisa Koonce, and Mary Lea McAnally, 2001, SEC Market Risk Disclosures: Implications for judgment and decision making, Accounting Horizons 15 (1): 49-70.
    Paper not yet in RePEc: Add citation now
    

37. Hong H. and M. Kacperczyk, 2007, The price of sin: The effects of social norms on markets, working paper.

38. Hou, K., Peng, L., and W. Xiong, 2006, A tale of two anomalies: The implication of investor attention for pricing and earnings momentum, Working paper, The Ohio State University.
    Paper not yet in RePEc: Add citation now
    

39. Jin, Y. and P. Jorion, 2006, Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers, Journal of Finance, 61(2): 893-9 19.

40. Kat, H. M. and R.C.A. Oomen, 2007, What every investor should know about commodities II: multivariate return analysis, Journal of Investment Management, forthcoming.
    Paper not yet in RePEc: Add citation now
    

41. Kyle, A.S., 1985, Continuous auctions and insider trading, Econometrica 53: 13 15-1336.

42. Leuz, C. and R. E. Verrecchia, 2000, The economic consequences of increased disclosure, Journal ofAccounting Research 38, 91-124.

43. Linsmeier, Thomas J., Daniel B. Thornton, Mohan Venkatachalam, and Michael Welker, 2002, The effect of mandated market risk disclosures on trading volume sensitivity to interest rate, exchange rate, and commodity price movements, Accounting Review 77 (2): 343-37.
    Paper not yet in RePEc: Add citation now
    
44. Loh, R., 2008, Investor inattention and the under-reaction to stock recommendations, Working paper, The Ohio State University.
    Paper not yet in RePEc: Add citation now
    

45. Mehran, H. and S. Peristiani, 2006, Financial visibility and the decision to go private, Working paper.

46. Merton, R., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.

47. Pastor, L. and R. Stambaugh, 2003, Liquidity risk and stock returns, Journal of Political Economy 111, 642-685.

48. Petersen, Mitchell A. and S. Ramu Thiagarajan, 2000, Risk measurement and hedging: With and without derivatives, Financial Management 29 (4): 5-30.

49. Rajgopal, Shivaram, 1999, Early evidence on the informativeness of the SECs Market Risk Disclosures: The case of commodity price risk exposure of oil and gas producers, Accounting Review 74 (3): 25 1-280.
    Paper not yet in RePEc: Add citation now
    
50. Roulstone, Darren T., 1999, Effect of SEC Financial Reporting Release No. 48 on derivative and market risk disclosures, Accounting Horizons 13 (4): 343-363.
    Paper not yet in RePEc: Add citation now
    

51. Scholes, M. and J.T. Williams, 1977, Estimating betas from nonsynchronous data, Journal of Financial Economics 5, 309-327.

52. Thornton, Daniel B. and Michael Welker, 2002, The effect of oil and gas producers FRR No. 48 disclosures on investors risk assessments, Working paper.
    Paper not yet in RePEc: Add citation now
    

53. Tufano, P. 1998, The determinants of stock price exposure: Financial engineering and the gold mining industry, Journal of Finance 55, 1015-1052.

54. Tufano, P., 1996, Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance 51, 1097-1137.

55. Van Nieuwerburgh, S. and L. Veldkamp, 2006, Information acquisition and portfolio underdiversification, Working paper, New York University.

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

Report date: 2025-02-03 02:56:20 || Missing content? Let us know