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Journal ArticleDOI

Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks:

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TLDR
In this paper, the authors investigated the degree to which movements in stock liquidity is determined by common underlying factors in a large emerging market, India, and found that commonality is the most important factor in stock market movements.
Abstract
This study investigates the degree to which movements in stock liquidity is determined by common underlying factors in a large emerging market, India. This degree is called commonality. Commonality...

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Book ChapterDOI

Market Liquidity: Asset Pricing with Liquidity Risk

TL;DR: In this paper, a simple equilibrium model with liquidity risk is proposed, where a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return.
Posted Content

Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India

TL;DR: In this article, the authors evaluate performance of Indian index considering NIFTY MIDCAP 50 index daily series returns and empirically analyze volatility pattern considering daily returns from the NifTY 50 index.
References
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Journal ArticleDOI

Continuous Auctions and Insider Trading

Albert S. Kyle
- 01 Nov 1985 - 
Journal ArticleDOI

Illiquidity and stock returns: cross-section and time-series effects $

TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
Journal ArticleDOI

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
Journal ArticleDOI

Asset pricing and the bid-ask spread

TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
Journal ArticleDOI

Liquidity Risk and Expected Stock Returns

TL;DR: In this article, the authors investigated whether marketwide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.
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