Liquidity provision and stock return predictability

Author:

Hendershott Terrence,Seasholes Mark S.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

2. Dealership market: market making with inventory;Amihud;Journal of Financial Economics,1980

3. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,1986

4. Liquidity and autocorrelations in individual stock returns;Avramov;Journal of Finance,2006

5. Problems in measuring portfolio performance: an application to contrarian investment strategies;Ball;Journal of Financial Economics,1995

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