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The illiquidity premium: International evidence. (2015). Amihud, Yakov ; Zhang, Huiping ; Kang, Wenjin ; Hameed, Allaudeen .
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:117:y:2015:i:2:p:350-368.

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  2. Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks. (2024). Pant, Abhay ; Misra, Arun Kumar ; Kumar, Gaurav ; Rahman, Molla Ramizur.
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  5. Dividend policy, systematic liquidity risk, and the cost of equity capital. (2023). Sharma, Abhijit ; Ebrahim, Rabab ; Wu, Yuliang ; Mazouz, Khelifa.
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  6. Momentum, reversals and liquidity: Indian evidence. (2023). Rohit, Abhishek ; Ranganathan, Kavitha ; Chui, Andy ; Veeraraghavan, Madhu.
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  11. Stock market liquidity and bank stability. (2023). Samarasinghe, Ama.
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  12. Who should choose the money managers? Institutional sponsors equity manager performance. (2023). Kang, Hyoung-Goo ; Jimmy, Ji Yeol ; Jun, Sang-Gyung ; Han, Min-Yeon.
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  15. Liquidity spillovers in the global stock markets: Lessons for risk management. (2023). Marquez, Vicente A ; Ferreira, Guillermo ; Muoz, Jorge A.
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  16. The insidious hyperreality in financial markets: An integrative review with evidence from the Indian financial market. (2023). Goel, Sandeep ; Dhasmana, Samriddhi.
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  17. The impact of COVID-19 on stock market liquidity: Fresh evidence on listed Chinese firms. (2023). Apergis, Nicholas ; Xu, Bing ; Lau, Chi Keung.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003630.

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  18. Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence. (2023). Wang, Shu-Feng ; Lee, Kuan-Hui.
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  21. Effect of high?frequency trading on mutual fund performance. (2023). Singal, Vijay ; Qin, Nan.
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  23. How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun.
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  26. Lottery and bubble stocks and the cross?section of option?implied tail risks. (2022). Varma, Jayanth R ; Saurav, Sumit ; Agarwalla, Sobhesh Kumar.
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  27. Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data. (2022). Jha, Sumit Kumar ; Bhattacharya, Sharad Nath.
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  30. The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures. (2022). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein.
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  31. Do emerging stock markets offer an illiquidity premium for local or global investors?. (2022). Suleman, Muhammad Tahir ; Sadaqat, Mohsin ; Demirer, Riza ; Butt, Hilal Anwar.
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    In: Pacific-Basin Finance Journal.
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  33. Pairs trading and asset pricing. (2022). He, Jiaxuan ; Xiang, Yun.
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  34. The strategic allocation to style-integrated portfolios of commodity futures. (2022). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein.
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    In: Journal of International Money and Finance.
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  36. Salience theory and the cross-section of stock returns: International and further evidence. (2022). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of Financial Economics.
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  37. The cash conversion cycle spread: International evidence. (2022). Tan, Yongxian ; Choy, Siu Kai ; Chen, Catherine Huirong.
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  38. Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market. (2022). Subrahmanyam, Marti G ; Staghoj, Jonas ; Ochs, Christian ; Eisl, Alexander.
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  39. The asymmetry of the Amihud illiquidity measure on the European markets: The evidence from Extreme Value Theory. (2022). Będowska-Sójka, Barbara ; Just, Magorzata ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara.
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  40. Is short-term reversal driven by liquidity provision in emerging markets? Evidence from China. (2022). Varga, Marcell ; Timar, Barnabas ; Till, Gabor ; Neszveda, Gabor.
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  43. Are conditional illiquidity risks priced in China? A cross-sectional test. (2022). Yin, Libo ; Lyu, Tongtong ; Su, Zhi.
    In: International Review of Financial Analysis.
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  44. The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets. (2022). Gil-Alana, Luis Alberiko ; Karikari, Nana Kwasi ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar.
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    In: Journal of Behavioral and Experimental Finance.
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  46. Premiums between Cross?listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness. (2022). Liu, Xue ; Xu, Ruihui ; Zhang, Xuechun.
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  49. Time?varying responses of stock returns to market illiquidity: Stress scenario with regime?switching framework. (2021). Naoui, Kamel ; ben Soltane, Hela.
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  50. Az árfolyam-nyereség arány szerepe a német t?zsdei kereskedésben. (2021). Till, Gabor.
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  51. Stock price crashes in emerging markets. (2021). Qin, Yafeng ; Zhang, Huiping ; Bai, Min.
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  52. Stock market liberalization and institutional herding: Evidence from the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects. (2021). Cai, Wenwu ; Xiang, Cheng ; Zhao, Yuyang.
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  53. Turnover premia in Chinas stock markets. (2021). Yeh, Chung-Ying ; Chen, Wei ; Zhang, Bing.
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  54. Revisiting momentum profits in emerging markets. (2021). Sadaqat, Mohsin ; Kolari, James W ; Butt, Hilal Anwar.
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  55. Reversal returns and expected returns from liquidity provision: Evidence from emerging markets. (2021). Sadaqat, Mohsin ; Hogholm, Kenneth ; Butt, Hilal Anwar.
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  56. Liquidity and the cross-section of international stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of Banking & Finance.
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  57. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
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  58. The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets. (2021). Demir, Ender ; Aharon, David Y ; Tzouvanas, Panagiotis ; Kizys, Renatas ; Zaremba, Adam.
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  59. Liquidity and short-run predictability: Evidence from international stock markets. (2021). Newaz, Mohammad Khaleq ; Park, Jin Suk.
    In: Global Finance Journal.
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  60. The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Noh, Joonki ; Amihud, Yakov.
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  62. An examination of the effect of stock market liquidity on bank market power. (2021). Uylangco, Katherine ; Samarasinghe, Ama.
    In: International Review of Financial Analysis.
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    In: The North American Journal of Economics and Finance.
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  68. Liquidity Constraints for Portfolio Selection Based on Financial Volume. (2020). Filomena, Tiago Pascoal ; Fernandes, Eduardo Bered.
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  70. Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors. (2020). giouvris, evangelos ; Essa, Mohammad Sharik.
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  72. Firm profitability and expected stock returns: Evidence from Latin America. (2020). Berggrun, Luis ; Lizarzaburu, Edmundo ; Cardona, Emilio.
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  73. Corporate future investments and stock liquidity: Evidence from emerging markets. (2020). Alhassan, Abdulrahman ; Naka, Atsuyuki.
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  74. Which is the better fourth factor in China? Reversal or turnover?. (2020). Zhang, Joyce ; Lin, Kun-Ben ; Huang, Jing-Bo ; Chen, Shu-Heng.
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  75. Sovereign credit risk and global equity fund returns in emerging markets. (2020). Savvides, Andreas ; Lambertides, Neophytos ; Andreou, Christoforos K.
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  77. Stock extreme illiquidity and the cost of capital. (2020). Samet, Anis ; Saad, Mohsen ; Belkhir, Mohamed.
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  80. Media coverage and stock price synchronicity. (2020). Dang, Man ; Phan, Hoanglong ; Nguyen, Lily ; Hoang, Luong.
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  30. Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World. (2007). van Dijk, Mathijs ; Karolyi, G. ; LEE, KUANHUI .
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  31. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
    In: CEPR Discussion Papers.
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  32. Fire Sales, Foreign Entry and Bank Liquidity. (2007). Yorulmazer, Tanju ; Shin, Hyun Song ; Acharya, Viral.
    In: CEPR Discussion Papers.
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    In: CEPR Discussion Papers.
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  34. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. (2006). Beber, Alessandro ; Brandt, Michael W. ; Kavajecz, Kenneth A..
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  35. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
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  36. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
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  37. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert .
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  38. The Nontradable Share Reform in the Chinese Stock Market. (2006). Bortolotti, Bernardo ; Beltratti, Andrea.
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  39. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
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  40. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
    In: CEPR Discussion Papers.
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  41. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
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  42. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
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  43. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui .
    In: Working Paper Series.
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  44. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
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  45. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: NBER Working Papers.
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  46. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: Econometric Society 2004 North American Winter Meetings.
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  47. Liquidity Black Holes. (2003). Shin, Hyun Song ; Morris, Stephen.
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  48. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Nieto, Belen ; Miguel Angel A. Martinez, ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
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  49. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Nieto, Belen ; Tapia, Mikel ; Rubio, Gonzalo.
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  50. Liquidity Risk and Expected Stock Returns. (2002). Stambaugh, Robert ; Pastor, Lubos.
    In: CEPR Discussion Papers.
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