Commonality in liquidity

Article Abstract:

Research is presented suggesting the acknowledgement of commonality in the market place can help provide coherent determinants when focusing on liquidity.

Author: Chordia, Tarun, Roll, Richard, Subrahmanyam, Avanidhar
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2000
Liquidity (Finance), Financial management

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Evidence on the speed of convergence to market efficiency

Article Abstract:

Empirical results to examine the time interval of market efficiency of highly liquid stock prices are presented.

Author: Chordia, Tarun, Roll, Richard, Subramanyam, Avanidhar
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
United States, Forecasts, trends, outlooks, Forecasts and trends, Capital market, Capital markets, Market trend/market analysis

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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

Article Abstract:

Non-risk security characteristics exert marginal explanatory power relative to the arbitrage pricing theory benchmark. Utilization of Fama-MacBeth-type regressions has revealed evidence establishing the existence of return momentum, size and book-to-market effects. The size and book-to-market effects weakened when Fama and French factors were utilized during repetition of the analysis while the momentum and trading volume effects remain.

Author: Chordia, Tarun, Subrahmanyam, Avanidhar, Brennan, Michael J.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1998
Economics, Research and Development in the Social Sciences and Humanities, Security brokers and dealers, Securities Brokerage, Securities Trading, Economic research, Securities industry, Arbitrage

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Subjects list: Research, Analysis, Stocks
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