The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Illiquidity and Stock Returns II: Cross-section and Time-series Effects
Open accessAbstract
Lou and Shu decompose Amihud’s illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seasonality. In addition, the aggregate market ILLIQ outperforms market IDVOL in estimating the effect of market illiquidity shocks on realized stock returns.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
The Economic Consequences of Increased Disclosure
Leuz, C., & Verrecchia, R. E. (2000) · Journal of Accounting Research · doi:10.2307/2672910 · Cited by 2,370
Conditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Cited by
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Metadata
- Authors
- Amihud, Y., & Noh, J.
- Venue
- The Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2020-07-09
- Volume
- 34
- Issue
- 4
- Pages
- 2101-2123
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W4206220145
- Cited by
- 948
- References
- 4
- FWCI
- 11.65
- Type
- journal article
- Language
- en
- Open access
- green
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