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Idiosyncratic volatility, conditional liquidity and stock returns

  • Published:2018-01 Issue: Volume:53 Page:118-132
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Malagon Juliana,Moreno David,Rodríguez Rosa

Funder

Universidad de Los Andes

Ministerio de Ciencia y Tecnología

Ministry of Economics and Competitiveness

Banco de España

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference37 articles.

1. Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence;Abrugi;International Review of Economics and Finance,2014

2. Liquidity risk of corporate bond returns: A conditional approach;Acharya;Journal of Financial Economics,2013

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

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

5. The cross-section of volatility and expected returns;Ang;The Journal of Finance,2006

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