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Idiosyncratic Risk, Returns and Liquidity in the London Stock Exchange: A Spillover Approach

https://doi.org/10.2139/ssrn.1083997
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29/29 checkable references clean · checked 2026-08-27

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 29 checked references that resolve
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Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules
resolves10.2139/ssrn.669942
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The Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries
resolves10.1111/0022-1082.00067
Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange
resolves10.2139/ssrn.388360
Trading Costs and Returns for Us Equities: The Evidence from Daily Data
resolves10.1111/j.1468-5957.2006.00635.x
Return and Volatility Spillovers Between Large and Small Stocks in the UK
resolves10.1111/0022-1082.00391
LAPM: A Liquidity‐Based Asset Pricing Model
resolves10.1093/rfs/12.1.61
FX Spreads and Dealer Competition Across the 24-Hour Trading Day
resolves10.2307/1913210
Continuous Auctions and Insider Trading
resolves10.1111/j.1468-5957.2006.00665.x
The Market Quality of Dealer versus Hybrid Markets: The Case of Moderately Liquid Securities
resolves10.1016/j.jfineco.2005.10.001
A liquidity-augmented capital asset pricing model
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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
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THE DETERMINANTS AND DYNAMICS OF BID‐ASK SPREADS ON THE LONDON STOCK EXCHANGE
resolves10.1016/s0378-4266(99)00102-8
The components of bid–ask spreads on the London Stock Exchange
resolves10.2139/ssrn.785345
Trading Styles and Trading Volume
resolves10.2307/2938260
Conditional Heteroskedasticity in Asset Returns: A New Approach
resolves10.2307/1913610
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
resolves10.1111/0022-1082.00068
Does Risk Sharing Motivate Interdealer Trading?
resolves10.1093/rfs/hhi005
Anonymity, Adverse Selection, and the Sorting of Interdealer Trades
resolves10.1111/1468-0297.t01-1-00146
A Theoretical Analysis of Institutional Investors’ Trading Costs in Auction and Dealer Markets
resolves10.1111/j.1540-6261.1978.tb02054.x
THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS
resolves10.1016/s0378-4266(99)00073-4
SETS, arbitrage activity, and stock price dynamics
The 4 references without a DOI — listed, not checked
no DOI — not checkedref5
no DOI — not checkedref17
no DOI — not checkedref30
no DOI — not checkedAsymmetric Liquidity and Asymmetric Volatility
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