Understanding commonality in liquidity around the world
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference65 articles.
1. Asset pricing with liquidity risk;Acharya;Journal of Financial Economics,2005
2. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002
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. Investor sentiment and the cross-section of stock returns;Baker;Journal of Finance,2006
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