메뉴 건너뛰기




Volumn 80, Issue 3, 2006, Pages 531-562

Dynamic liquidity in endowment economies

Author keywords

Asset pricing; Liquidity; Liquidity risk

Indexed keywords


EID: 33646509881     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.05.004     Document Type: Article
Times cited : (22)

References (25)
  • 2
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: cross-section and time-series effects
    • Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 1 (2002) 31-56
    • (2002) Journal of Financial Markets , vol.5 , Issue.1 , pp. 31-56
    • Amihud, Y.1
  • 3
    • 84977702782 scopus 로고
    • Dutch auction repurchases: an analysis of shareholder heterogeneity
    • Bagwell L.S. Dutch auction repurchases: an analysis of shareholder heterogeneity. Journal of Finance 47 1 (1992) 71-105
    • (1992) Journal of Finance , vol.47 , Issue.1 , pp. 71-105
    • Bagwell, L.S.1
  • 8
    • 33646515645 scopus 로고    scopus 로고
    • Cochrane, J., Longstaff, F., Santa Clara, P., 2004. Two trees: asset price dynamics induced by market clearing. Unpublished working paper, University of Chicago.
  • 9
    • 33646518422 scopus 로고    scopus 로고
    • Eckbo, B.E., Norli, O., 2002. Pervasive liquidity risk. Unpublished working paper, Tuck School, Dartmouth.
  • 10
    • 1642379221 scopus 로고    scopus 로고
    • Endogenous liquidity in asset markets
    • Eisfeldt A. Endogenous liquidity in asset markets. Journal of Finance 59 (2004) 1-30
    • (2004) Journal of Finance , vol.59 , pp. 1-30
    • Eisfeldt, A.1
  • 11
    • 33646507759 scopus 로고    scopus 로고
    • Fleming, M.J., 2001. Measuring treasury market liquidity. Federal Reserve Bank of New York, Staff Paper 133.
  • 12
    • 33646501590 scopus 로고    scopus 로고
    • Fujimoto, A., 2004. Macroeconmic sources of systematic liquidity. Unpublished working paper, University of Alberta.
  • 15
    • 0000760894 scopus 로고    scopus 로고
    • Common factors in prices order flows and liquidity
    • Hasbrouck J., and Seppi D. Common factors in prices order flows and liquidity. Journal of Financial Economics 59 (2001) 383-411
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.2
  • 17
    • 33646528523 scopus 로고    scopus 로고
    • Jones, C.M., 2002. A century of stock market liquidity and trading costs. Unpublished working paper, Columbia University.
  • 18
    • 84977722898 scopus 로고
    • The price elasticity of demand for common stock
    • Loderer C., Cooney J.W., and VanDrunen L.D. The price elasticity of demand for common stock. Journal of Finance 46 2 (1991) 621-651
    • (1991) Journal of Finance , vol.46 , Issue.2 , pp. 621-651
    • Loderer, C.1    Cooney, J.W.2    VanDrunen, L.D.3
  • 19
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas R. Asset prices in an exchange economy. Econometrica 46 (1978) 1429-1445
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.1
  • 21
    • 33646528305 scopus 로고    scopus 로고
    • Novy-Marx, R., 2004. On the excess returns to illiquidity. Unpublished working paper, University of Chicago.
  • 23
    • 33646509516 scopus 로고    scopus 로고
    • Santos, T., Veronesi, P., 2005. Labor income and predictable stock returns. Review of Financial Studies, Forthcoming.
  • 24
    • 0000183976 scopus 로고
    • Do demand curves for stocks slope down?
    • Shleifer A. Do demand curves for stocks slope down?. Journal of Finance 41 (1986) 579-590
    • (1986) Journal of Finance , vol.41 , pp. 579-590
    • Shleifer, A.1
  • 25
    • 84977426528 scopus 로고
    • The supply of dealer services in security markets
    • Stoll H.R. The supply of dealer services in security markets. Journal of Finance 33 (1978) 1133-1151
    • (1978) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.