Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk

Journal of Financial Economics

Volumn 80, Issue 2, 2006, Pages 309-349

  Sadka, Ronnie ^a  

^a UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Asset pricing; Liquidity risk; Momentum trading; Post earnings announcement drift; Price impact; Transaction costs

Indexed keywords

EID: 33645958547     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.04.005     Document Type: Article

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