Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 469

The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.

Liquidity and Autocorrelations in Individual Stock Returns

Open access
AVRAMOV, DORON, CHORDIA, TARUN, GOYAL, AMIT·2006·The Journal of Finance
DOI 10.1111/j.1540-6261.2006.01060.x
Open this paper in CoChat — free account

Abstract

This paper documents a strong relationship between short‐run reversals and stock illiquidity, even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover, low liquidity stocks, as the price pressures caused by non‐informational demands for immediacy are accommodated. However, the contrarian trading strategy profits are smaller than the likely transactions costs. This lack of profitability and the fact that the overall findings are consistent with rational equilibrium paradigms suggest that the violation of the efficient market hypothesis due to short‐term reversals is not so egregious after all.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.1111/j.1540-6261.2006.01060.x

Cites

29 of 29 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 29 references

Cited by

See all 469

Metadata

Authors
AVRAMOV, D., CHORDIA, T., & GOYAL, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2006-09-19
Volume
61
Issue
5
Pages
2365-2394
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2006.01060.x
OpenAlex
W3123436100
Cited by
469
References
29
FWCI
27.25
Type
journal article
Language
en
Open access
green

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: Liquidity and Autocorrelations in Individual Stock Returns. https://app.cochat.ai/papers/10.1111/j.1540-6261.2006.01060.x
The paper
AVRAMOV, D., CHORDIA, T., & GOYAL, A. (2006). Liquidity and Autocorrelations in Individual Stock Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2006.01060.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.