-
2
-
-
0013068840
-
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 2002, 5:31-56.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 31-56
-
-
Amihud, Y.1
-
5
-
-
11144259929
-
Commonality in liquidity: Evidence from an order-driven market structure
-
Brockman P., Chung D.Y. Commonality in liquidity: Evidence from an order-driven market structure. Journal of Financial Research 2002, 4:521-539.
-
(2002)
Journal of Financial Research
, vol.4
, pp. 521-539
-
-
Brockman, P.1
Chung, D.Y.2
-
6
-
-
38349168490
-
Information asymmetry and asset prices: Evidence from the China foreign share discount
-
Chan K., Menkveld A., Yang Z. Information asymmetry and asset prices: Evidence from the China foreign share discount. Journal of Finance 2008, 63:159-196.
-
(2008)
Journal of Finance
, vol.63
, pp. 159-196
-
-
Chan, K.1
Menkveld, A.2
Yang, Z.3
-
7
-
-
33846222304
-
Corporate bond liquidity and its effect on bond yield spreads
-
Chen L., Lesmond D.A., Wei J. Corporate bond liquidity and its effect on bond yield spreads. Journal of Finance 2007, 62:119-149.
-
(2007)
Journal of Finance
, vol.62
, pp. 119-149
-
-
Chen, L.1
Lesmond, D.A.2
Wei, J.3
-
9
-
-
84936823769
-
Capital market equilibrium with transaction costs
-
Constantinides G.M. Capital market equilibrium with transaction costs. Journal of Political Economy 1986, 94:842-862.
-
(1986)
Journal of Political Economy
, vol.94
, pp. 842-862
-
-
Constantinides, G.M.1
-
11
-
-
1642379221
-
Endogenous liquidity in asset markets
-
Eisfeldt A.L. Endogenous liquidity in asset markets. Journal of Finance 2004, 59:1-30.
-
(2004)
Journal of Finance
, vol.59
, pp. 1-30
-
-
Eisfeldt, A.L.1
-
12
-
-
35848929503
-
Asset pricing in China's domestic stock markets: Is there a logic?
-
Eun C.S., Huang W. Asset pricing in China's domestic stock markets: Is there a logic?. Pacific-Basin Finance Journal 2007, 15:452-480.
-
(2007)
Pacific-Basin Finance Journal
, vol.15
, pp. 452-480
-
-
Eun, C.S.1
Huang, W.2
-
13
-
-
67349127875
-
Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market
-
Fong W.M. Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market. Journal of International Financial Markets, Institutions and Money 2009, 19:712-727.
-
(2009)
Journal of International Financial Markets, Institutions and Money
, vol.19
, pp. 712-727
-
-
Fong, W.M.1
-
14
-
-
79955632771
-
-
China stock market in a global perspective. Research Report of Dow Jones Indexes.
-
Gao, S. (2002). China stock market in a global perspective. Research Report of Dow Jones Indexes.
-
(2002)
-
-
Gao, S.1
-
15
-
-
0037290158
-
Government as a discriminating monopolist in the financial market: The case of China
-
Gordon R.H., Li W. Government as a discriminating monopolist in the financial market: The case of China. Journal of Public Economics 2003, 87:283-312.
-
(2003)
Journal of Public Economics
, vol.87
, pp. 283-312
-
-
Gordon, R.H.1
Li, W.2
-
16
-
-
0000250716
-
Specification tests in econometrics
-
Hausman J.A. Specification tests in econometrics. Econometrica 1978, 46:1251-1272.
-
(1978)
Econometrica
, vol.46
, pp. 1251-1272
-
-
Hausman, J.A.1
-
17
-
-
4243088649
-
Evaluating the effects of incomplete markets on risk sharing and asset pricing
-
Heaton J., Lucas D.J. Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy 1996, 104:443-487.
-
(1996)
Journal of Political Economy
, vol.104
, pp. 443-487
-
-
Heaton, J.1
Lucas, D.J.2
-
18
-
-
36849005472
-
Pricing the commonality across alternative measures of liquidity
-
Korajczyk R.A., Sadka R. Pricing the commonality across alternative measures of liquidity. Journal of Financial Economics 2008, 87:45-72.
-
(2008)
Journal of Financial Economics
, vol.87
, pp. 45-72
-
-
Korajczyk, R.A.1
Sadka, R.2
-
19
-
-
79955606271
-
-
Trading probability and turnover as measures of liquidity risk: Evidence from the UK stock market. Working Paper, University of Southampton.
-
McManus, I., Smith, P., & Thomas, S. (2009). Trading probability and turnover as measures of liquidity risk: Evidence from the UK stock market. Working Paper, University of Southampton.
-
(2009)
-
-
McManus, I.1
Smith, P.2
Thomas, S.3
-
20
-
-
0038579510
-
Liquidity and stock returns in pure order-driven markets: Evidence from the Australian stock market
-
Marshall B.R., Young M. Liquidity and stock returns in pure order-driven markets: Evidence from the Australian stock market. International Review of Financial Analysis 2003, 12:173-188.
-
(2003)
International Review of Financial Analysis
, vol.12
, pp. 173-188
-
-
Marshall, B.R.1
Young, M.2
-
21
-
-
13844294125
-
Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market
-
Martinez M.A., Nieto B., Rubio G., Tapia M. Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market. International Review of Economics and Finance 2005, 14:81-103.
-
(2005)
International Review of Economics and Finance
, vol.14
, pp. 81-103
-
-
Martinez, M.A.1
Nieto, B.2
Rubio, G.3
Tapia, M.4
-
22
-
-
79955590079
-
-
How fundamental is the pricing of liquidity. Working Paper, Northwestern University.
-
Moore, L., Sadka, R. (2006). How fundamental is the pricing of liquidity. Working Paper, Northwestern University.
-
(2006)
-
-
Moore, L.1
Sadka, R.2
-
24
-
-
36549042868
-
Herding behavior in Chinese stock markets: An examination of A and B shares
-
Tan L., Chiang T.C., Mason J.R., Nelling E. Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific Basin Finance Journal 2008, 16:61-77.
-
(2008)
Pacific Basin Finance Journal
, vol.16
, pp. 61-77
-
-
Tan, L.1
Chiang, T.C.2
Mason, J.R.3
Nelling, E.4
-
25
-
-
11144258702
-
What determines Chinese stock returns?
-
Wang F., Xu Y. What determines Chinese stock returns?. Financial Analysts Journal 2004, 60:65-77.
-
(2004)
Financial Analysts Journal
, vol.60
, pp. 65-77
-
-
Wang, F.1
Xu, Y.2
-
26
-
-
0041686206
-
The microstructure of the Chinese stock market
-
Xu C.K. The microstructure of the Chinese stock market. Chinese Economic Review 2000, 11:79-97.
-
(2000)
Chinese Economic Review
, vol.11
, pp. 79-97
-
-
Xu, C.K.1
-
27
-
-
78650243562
-
The stock market in China: An endogenous adjustment process responding to the demands of economic reform and growth
-
Xu L., Ohm K.B. The stock market in China: An endogenous adjustment process responding to the demands of economic reform and growth. Journal of Asian Economics 2011, 22:36-47.
-
(2011)
Journal of Asian Economics
, vol.22
, pp. 36-47
-
-
Xu, L.1
Ohm, K.B.2
|