Alternative liquidity measures and stock returns

Review of Quantitative Finance and Accounting

Volumn 8, Issue 1, 1997, Pages 19-36

  Kluger, Brian D ^a   Stephan, Jens ^a  

^a UNIVERSITY OF CINCINNATI   (United States)

Author keywords

Asset pricing; Liquidity; Proportional hazards

Indexed keywords

EID: 0037814374     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008288519675     Document Type: Article

References (25)

1. Allison, P., Event History Analysis: Regression for Longitudinal Event Data. Beverly Hills, CA: Sage, 1984.
2. Amihud, Y., and H. Mendelson, "Dealership Market: Market Making with Inventory." Journal of Financial Economics 8, 31-53, (1980).
3. Amihud, Y., and H. Mendelson, "Asset Pricing and the Bid-Ask Spread." Journal of Financial Economics 17, 223-249, (1986).
4. Amihud, Y., and H. Mendelson, "The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns." Journal of Finance 479-4186, (June 1989).
5. Amihud, Y., H. Mendelson, and R. Wood, "Liquidity and the 1987 Stock Market Crash." Journal of Portfolio Management 16(3), 65-69, (Spring 1990).
6. W. Bagehot (pseud.), "The Only Game in Town." Financial Analysts Journal 22, 12-14, (1971).
7. Bernstein, P., "Liquidity, Stock Markets, and Market Makers." Financial Management 54-62, (Summer 1987).
8. Cooper, S.K., J.C. Groth, and W.E. Avera, "Liquidity, Exchange Listing, and Common Stock Performance." Journal of Economics and Business 37, 19-33, (1985).
9. Copeland, T., and D. Galai, "Information Effects on the Bid Ask Spread." Journal of Finance 38, 1457-1469, (1983).
10. Cox, D.R., "Regression Models and Life Tables." J.R. Stet. Soc. B 34, 187-220.
11. Dimson, E., "Risk Measurement When Shares Are Subject to Infrequent Trading." Journal of Financial Economics 197-226, (June 1979).
12. Dubofsky, D., and J. Groth, "Exchange Listing and Stock Liquidity." Journal of Financial Research 291-302, (Winter 1984).
13. Fama, E., and K. French, "The Cross-Section of Expected Returns." Journal of Finance 427-4166, (June 1992).
14. Garbade, K., Securities Markets. New York: McGraw-Hill, 1982.
15. Glosten, L., and P. Milgrom, "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics 14, 71-100, (1985).
16. Grossman, S., and M. Miller, "Liquidity and Market Structure." Journal of Finance 617-637, (July 1988).
17. Harrell, F.E., Jr., and K. Lee, "Verifying the Assumptions of the Cox Proportional Hazards Model." In Proceedings of the Eleventh Annual SAS Users Group International Institute. Carey, NC: SAS Institute, 1986.
18. Hasbrouck, J., "Trades, Quotes, Inventories and Information." Journal of Financial Economics 22, 229-252, (1988).
19. Hasbrouck, J., "Security Markets, Information and Liquidity." Financial Practice and Education 1 (2), 7-18, (Fall/Winter 1991).
20. Hasbrouck, J., and R. Schwartz, "Liquidity and Execution Costs in Equity Markets." Journal of Portfolio Management 7-16, (Spring 1988).
21. Kalbflieisch, J., and R. Prentice, The Statistical Analysis of Failure Time Data. New York: Wiley, 1980.
22. Kiefer, N., "Economic Duration Data and Hazard Functions." Journal of Economic Literature 26, 646-679, (1988).
23. Kyle, A., "Continuous Auctions and Insider Trading." Econometrica 53, 1315-1336, (1985).
24. Stoll, H., "Alternative Views of Market Making." In Y. Amihud, T. Ho, and R. Schwartz (eds.), Market Making and the Changing Structure of the Industry (pp. 67-92). Lexington, MA: Lexington Heath, 1985.
25. Vijh, A., "Liquidity and CBOE Equity Options." Journal of Finance 1157-1179, (July 1990).