Illiquidity and stock returns: cross-section and time-series effects $
TLDR
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.About:
This article is published in Journal of Financial Markets.The article was published on 2002-01-01 and is currently open access. It has received 5636 citations till now. The article focuses on the topics: Stock (geology).read more
Citations
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Liquidity Risk and Expected Stock Returns
Lubos Pastor,Robert F. Stambaugh +1 more
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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Asset pricing with liquidity risk
Viral V. Acharya,Viral V. Acharya,Lasse Heje Pedersen,Lasse Heje Pedersen,Lasse Heje Pedersen +4 more
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.
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Mandatory IFRS Reporting around the World: Early Evidence on the Economic Consequences
TL;DR: In this article, the authors examine the economic consequences of mandatory International Financial Reporting Standards (IFRS) reporting around the world and find that market liquidity increases around the time of the introduction of IFRS.
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Value and Momentum Everywhere: Value and Momentum Everywhere
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Do liquidity measures measure liquidity
TL;DR: In this article, the authors compared three measures, effective spread, realized spread, and price impact based on both Trade and Quote (TAQ) and Rule 605 data, and found that the new effective/realized spread measures win the majority of horseraces, while the Amihud [2002.5] measure does well measuring price impact.
References
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.