Mutual fund illiquidity, selling pressure, and left-tail risk in stocks
-
Published:2024-09
Issue:
Volume:242
Page:111856
-
ISSN:0165-1765
-
Container-title:Economics Letters
-
language:en
-
Short-container-title:Economics Letters
Author:
Chen Lili,
Liu JianxiangORCID
Reference22 articles.
1. Mandatory portfolio disclosure, stock liquidity, and mutual fund performance[J];Agarwal;J. Finance,2015
2. Illiquidity and stock returns: cross-section and time-series effects[J];Amihud;J. Financ. Markets,2002
3. Left-tail momentum: underreaction to bad news, costly arbitrage and equity returns[J];Atilgan;J. Financ. Econ.,2020
4. Measuring economic policy uncertainty[J];Baker;Q. J. Econ.,2016
5. Flight-to-liquidity, market uncertainty, and the actions of mutual fund investors[J];Ben-Rephael;J. Financ. Intermediation,2017