Liquidity, Stock Return and Trading Volume
Author:
Affiliation:
1. Fudan University, China, Shanghai, China
2. The George Washington University, USA, Beijing, China
3. Washington University of St. Louis, USA, Jinyuan, Fengxiang St., Jingzhong City, China
Publisher
ACM Press
Reference17 articles.
1. Amihud, Y. (2002), 'Illiquidity and stock returns: cross-section and time-series effects', Journal of Financial Markets, vol. 5, no. 1, Jan., pp. 31--56.
2. Shan, S. F. (2004), 'Cost of Illiquidity and Stock Pricing -- the Empirical Study of Chinese Stock Market', Contemporary Finance and Economics, no. 2: 49--54
3. Chordia, T., Roll, R., and Subrahmanyam, A. (2002), 'Order
4. imbalance, liquidity, and market returns', Journal of Financial Economics, vol. 65, no. 1, Jul., pp. 111--130.
5. Brennan, M. J. and Subrahmanyam, A. (1996), 'Market microstructure and asset pricing: On the compensation for illiquidity in stock returns', Journal of Financial Economics, vol. 41, no. 3, Jul., pp. 441--464.
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