Trading Costs and Returns for US Equities: The Evidence from Daily Data
Author:
Publisher
Elsevier BV
Reference51 articles.
1. Asset Pricing with Liquidity Risk
2. Market microstructure and securities values: evidence from the Tel Aviv Exchange;Y Amihud;Journal of Financial Economics,1997
3. Illiquidity and stock returns: cross-section and time-series effects;Y Amihud;Journal of Financial Markets,2002
4. Asset pricing and the bid-ask spread;Y Amihud;Journal of Financial Economics,1986
5. The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns;Y Amihud;Journal of Finance,1989
Cited by 47 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. What is the Effect of VIX and (un)Expected Illiquidity on Sectoral Herding in US REITs during (Non)Crises? Evidence from a Markov Switching Model (2014 – 2022);Journal of Behavioral Finance;2023-09-06
2. Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors;Journal of Risk and Financial Management;2020-04-11
3. Illiquidity premium and expected stock returns in the UK: A new approach;Physica A: Statistical Mechanics and its Applications;2016-09
4. Asset liquidity, stock liquidity, and ownership concentration: Evidence from the ASE;Corporate Ownership and Control;2016
5. Impact of Competition on Fund Disclosures and Consumer Search Costs;SSRN Electronic Journal;2016
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3