Liquidity and stock returns: An alternative test

Journal of Financial Markets

Volumn 1, Issue 2, 1998, Pages 203-219

  Datar, Vinay T ^a   Y Naik, Narayan ^b   Radcliffe, Robert ^c  

^a SEATTLE UNIVERSITY   (United States)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

^c UNIVERSITY OF FLORIDA   (United States)

Author keywords

G12

Indexed keywords

EID: 0000978023     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(97)00004-9     Document Type: Article

References (48)

1. Amihud, Y., Christensen, B., Mendelson, H., 1993. Further evidence on risk return relationship. Working paper S-93-11, Salomon Center, New York University.
2. Amihud Y., Mendelson H. Dealership market. Market-making with inventory Journal of Financial Economics. 8:1980;31-53.
3. Amihud Y., Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics. 17:1986;223-249.
4. Atkins, A.B., Dyl, E.A., 1994. Clienteles induced by bid-ask spreads: empirical evidence. Working paper, University of Arizona.
5. Bagehot, W., 1971. The only game in town. Financial Analysts Journal, March-April, 12-14.
6. Bailey W., Jagtiani J. Foreign ownership restrictions and stock prices in the Thai capital market. Journal of Financial Economics. 36:1994;57-87.
7. Beneish, M.D., Gardner, J.C., 1995. Information costs and liquidity effects from changes in the Dow Jones industrial average list. Journal of Financial and Quantitative Analysis 30.
8. Benston G.J., Hagerman R.L. Determinants of the bid-ask spreads in the over-the-counter market. Journal of Financial Economics. 1:1974;353-364.
9. Branch, B., Freed, W., 1977. Bid-ask spreads on the AMEX and the big board. Journal of Finance 32 (March), 159-164.
10. Brennan M., Subrahmanyam A. Market microstructure and asset pricing. Journal of Financial Economics. 41(3):1996;441-464.
11. Cadogan G., 1994. Estimating the security market line and performance measurement with augmented Fama-Macbeth regressions. OSPEF working paper no. 94-08-01, University of Michigan, Ann Arbor.
12. Campbell, J., Grossman, S., Wang, J., Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108, 1993.
13. Chen, N., Kan, R., 1989. Expected return and the bid-ask spread. Working paper, University of Chicago.
14. Conrad J., Hameed A., Niden C. Volume and autocovariances in short-horizon individual security returns. Journal of Finance. 49(4):1994;1305-1329.
15. Constantinides G. Capital market equilibrium with transaction costs. Journal of Political Economy. 94:1986;842-862.
16. Copeland T.E., Galai D. Information effects on the bid-ask spread. Journal of Finance. 38:1983;1457-1469.
17. Demsetz H. The cost of transacting. Quarterly Journal of Economics. 82:1968;33-53.
18. Easley D., O'Hara M. Price, trade size, and information in securities markets. Journal of Financial Economics. 19:1987;69-90.
19. Easley D., Keifer N., O'Hara M., Paperman J. Liquidity, information, and infrequently traded stocks. Journal of Finance. 51:1996;1405-1436.
20. Eleswarapu V., Reinganum M. The seasonal behavior of liquidity premium in asset pricing. Journal of Financial Economics. 34:1993;373-386.
21. Fama E.F., MacBeth J. Risk, return and equilibrium: empirical tests. Journal of Political Economy. 81:1973;607-636.
22. Fama E.F., French K.R. The cross-section of expected stock returns. Journal of Finance. 47:1992;427-465.
23. Fama, E.F., French, K.R., 1995. The CAPM is wanted, dead or alive. Working paper, University of Chicago.
24. Garman M.B. Market microstructure. Journal of Financial Economics. 3:1976;257-275.
25. Glosten L.R. Insider trading, liquidity, and the role of monopolist specialist. Journal of Business. 62(2):1989;211-235.
26. Glosten L.R., Harris L.E. Estimating the components of the bid-ask spread. Journal of Financial Economics. 21:1988;123-142.
27. Glosten L.R., Milgrom P.R. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics. 14:1985;71-100.
28. Grossman S.J., Miller M. Liquidity and market structure. Journal of Finance. 43(3):1988;617-637.
29. Handa P., Kothari S.P., Wasley C. The relation between return interval and betas: implications for the size effect. Journal of Financial Economics. 23:1989;79-100.
30. Ho T., Stoll H.R. Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics. 9:1981;47-73.
31. Ho T., Stoll H.R. The dynamics of dealer markets under competition. Journal of Finance. 38:1983;1053-1074.
32. Hu, S., 1997. Trading turnover and expected stock returns: the trading fequency hypothesis and evidence from the Tokyo Stock Exchange. Working paper, University of Chicago.
33. Jagannathan, R., Wang, Z., 1993. The CAPM is alive and well. Working paper, Carlson School of Management, University of Minnessota.
34. Jagannathan R., Wang Z. The Conditional CAPM and the cross-section of expected returns. Journal of Finance. 51:1996;3-53.
35. Kandel, S., Stambaugh, R., 1994. Portfolio efficiency and the cross-section of expected returns. Rodney White Center for Financial Research Working Paper no. 6-94, Wharton School of business the University of Pennsylvania.
36. Keim D.B. Size related anomalies and the stock return seasonality: empirical evidence. Journal of Financial Economics. 12:1983;13-32.
37. Kothari S.P., Shanken J., Sloan R. Another look at the cross-section of expected stock returns. Journal of Finance. 50:1995;185-224.
38. Kothari, S.P., Shanken J., Sloan, R., 1995b. The CAPM: "Reports of My Death Have Been Highly Exaggerated". Working paper FR 95-21, Bradley Policy Research Center, Simon Graduate School, University of Rochester.
39. Litzenberger, R., Ramaswamy, K., 1979. The effect of personal taxes and dividends on capital asset prices: theory and empirical evidence. Journal of Financial Economics, 163-196.
40. Marsh, T., Rock, K., 1986. Exchange listing and liquidity: a comparison of the American stock exchange with the NASDAQ national market system. American Stock Exchange Transactions Data Research Project No. 2, January.
41. Merton R. Presidential Address: A simple model of Capital Market equilibrium with incomplete information. Journal of Finance. 42(3):1987;483-510.
42. O'Hara M., Oldfield G. the micro economics of market making. Journal of Financial and Quantitative Analysis. 21:1986;361-376.
43. Peterson, M., Fialkowski, D., 1994. Posted versus effective spreads: Good prices or bad quotes? Journal of Financial Economics 35 (3), 269-292.
44. Roll R., Ross S. On the cross-sectional relation between expected returns and betas. Journal of Finance. 1:1994;101-121.
45. Shanken J. The current state of the arbitrage pricing theory. Journal of Finance. 47(4):1992;1569-1574.
46. Stoll H.R. The pricing of security dealer services: An empirical study of NASDAQ stocks. Journal of Finance. 33:1978;1153-1172.
47. Tinic S.M. The economics of liquidity services. Quarterly Journal of Economics. 86:1972;79-93.
48. Tinic S.M., West R.R. Competition and the pricing of dealer service in the over-the-counter stock market. Journal of Financial and Quantitative Analysis. 7:1972;1707-1727.