Cross-Sectional Variations of Illiquidity on Stock Returns, Idiosyncratic Volatility Biases in the Shanghai A' Share Stock Market (original) (raw)
Related papers
2018
Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia
Assoc. Prof. Sezer Bozkus Kahyaoglu
Muhasebe Bilim Dünyası Dergisi, 2017
Illiquidity premium and expected stock returns in the UK: A new approach
Physica A: Statistical Mechanics and its Applications, 2016
Liquidity and stock returns: Evidence from international markets
Global Finance Journal, 2015
The impact of illiquidity risk for the Nordic markets
Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 2018
Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers
2012
The pricing of illiquidity risk on emerging stock exchange markets: A portfolio panel data analysis
Illiquidity Premium and Stylized Equity Returns
The IUP Journal of Financial Economics, 2011
Does idiosyncratic volatility matter in emerging markets? Evidence from China
Journal of International Financial Markets, Institutions and Money, 2013
International Review of Financial Analysis, 2018
Is there a volatility effect in the Hong Kong stock market?
Pacific-Basin Finance Journal, 2013
Theory-Based Illiquidity and Asset Pricing
Review of Financial Studies, 2009
The Effect of Illiquidity on Stock Return on the Indonesia Stock Exchange
Proceedings of the 17 th International Symposium on Management (INSYMA 2020), 2020
Asset Prices and Asset Correlations in Illiquid Markets
SSRN Electronic Journal, 2000
The Volatility Effect in China
Journal of Asset Management
Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility
Review of Financial Studies, 2011
Uncertainty Elasticity of Liquidity and the Associated Premium of China's A-Shares
SSRN Electronic Journal
Long-Run Idiosyncratic Volatilities and Cross-Sectional Stock Returns
SSRN Electronic Journal, 2010
A note on price limit performance: The case of illiquid stocks
Pacific-Basin Finance Journal, 2005
Illiquidity and Stock Price Synchronicity
SSRN Electronic Journal, 2014
On the correlation analysis of illiquid stocks
arXiv (Cornell University), 2020
SSRN Electronic Journal, 2000
Colombo Business Journal
Liquidity as a Price Factor: Evidence from International Markets
SSRN Electronic Journal, 2000
Idiosyncratic Risk, Returns and Liquidity In the London Stock Exchange: A Spillover Approach
International Review of Financial Analysis, 2010
Idiosyncratic volatility and cross‐sectional stock returns in Southeast Asian stock markets
Accounting and Finance, 2011
How to Measure Illiquidity on European Emerging Stock Markets?
Business Systems Research Journal, 2014
Why does return volatility differ in Chinese stock markets?
Pacific-Basin Finance Journal, 1999
Idiosyncratic volatility: the myth-busting effect of measurement error and market structure*
2018
Idiosyncratic volatility and stock returns: a cross country analysis
Applied Financial …, 2009