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Commonality in Liquidity: A Demand-Side Explanation

https://doi.org/10.1093/rfs/hhw026
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(81)90020-9openalex-snapshot
Optimal dealer pricing under transactions and return uncertainty
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Asset pricing and the bid-ask spread
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The impact of institutional trading on stock prices
inferredcites →https://doi.org/10.1016/0304-405x(95)00841-2openalex-snapshot
The distorting effect of the prudent-man laws on institutional equity investments
inferredcites →https://doi.org/10.1016/0304-405x(95)00870-kopenalex-snapshot
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2003.05.006openalex-snapshot
Common market makers and commonality in liquidity
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.003openalex-snapshot
Comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.007openalex-snapshot
Asset pricing with liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2005.04.005openalex-snapshot
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2006.09.007openalex-snapshot
Asset Fire Sales (and Purchases) in Equity Markets
inferredcites →https://doi.org/10.1016/j.jfineco.2006.12.003openalex-snapshot
Pricing the commonality across alternative measures of liquidity
inferredcites →https://doi.org/10.1016/j.jfineco.2007.07.001openalex-snapshot
Dumb money: Mutual fund flows and the cross-section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2007.10.004openalex-snapshot
The divergence of liquidity commonality in the cross-section of stocks☆
inferredcites →https://doi.org/10.1016/j.jfineco.2008.06.002openalex-snapshot
Do liquidity measures measure liquidity?☆
inferredcites →https://doi.org/10.1016/j.jfineco.2008.09.002openalex-snapshot
Price-based return comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.003openalex-snapshot
The world price of liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.008openalex-snapshot
Recent trends in trading activity and market quality
inferredcites →https://doi.org/10.1016/j.jfineco.2011.06.003openalex-snapshot
Stock price fragility
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.008openalex-snapshot
Understanding commonality in liquidity around the world
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Corporate governance proposals and shareholder activism: the role of institutional investors
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Aggregate price effects of institutional trading: a study of mutual fund flow and market returns
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Common factors in prices, order flows, and liquidity
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Order imbalance, liquidity, and market returns
inferredcites →https://doi.org/10.1016/s0304-405x(97)00026-3openalex-snapshot
Return autocorrelation and institutional investors
inferredcites →https://doi.org/10.1016/s0304-405x(98)00028-2openalex-snapshot
Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken…
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Commonality in liquidity
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1016/s1386-4181(99)00013-0openalex-snapshot
The capital asset pricing model and the liquidity effect: A theoretical approach
inferredcites →https://doi.org/10.1017/s0022109009990123openalex-snapshot
Commonality in Liquidity: A Global Perspective
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The Price Pressure of Aggregate Mutual Fund Flows
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Risk, Return, and Equilibrium: Empirical Tests
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Liquidity Risk and Expected Stock Returns
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Changes in Institutional Ownership and Stock Returns: Assessment and Methodology*
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Asymmetric Volatility and Risk in Equity Markets
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Institutional Herding
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Greener Pastures and the Impact of Dynamic Institutional Preferences
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An Empirical Analysis of Stock and Bond Market Liquidity
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Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights
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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
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Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
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Mutual Fund Herding and the Impact on Stock Prices
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Commonality in Liquidity: Evidence from an Order‐Driven Market Structure
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SYSTEMATIC LIQUIDITY
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The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
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Liquidity, Information, and Infrequently Traded Stocks
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Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
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Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks
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The Cross‐Section of Volatility and Expected Returns
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Does Corporate Headquarters Location Matter for Stock Returns?
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Retail Investor Sentiment and Return Comovements
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How Does Size Affect Mutual Fund Behavior?
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01469.xopenalex-snapshot
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01529.xopenalex-snapshot
Stock Market Declines and Liquidity
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01530.xopenalex-snapshot
Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01729.xopenalex-snapshot
A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01750.xopenalex-snapshot
Mutual Fund Trading Pressure: Firm‐Level Stock Price Impact and Timing of SEOs
inferredcites →https://doi.org/10.1111/jofi.12149openalex-snapshot
Connected Stocks
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Institutional Investors and Equity Prices
inferredcites →https://doi.org/10.1162/003355304772839588openalex-snapshot
How Much Should We Trust Differences-In-Differences Estimates?
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Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization
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Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
inferredcites →https://doi.org/10.2139/ssrn.1304249openalex-snapshot
Market Predictability and Non-Informational Trading
inferredcites →https://doi.org/10.2139/ssrn.1359420openalex-snapshot
Market Predictability and Non-Informational Trading
inferredcites →https://doi.org/10.2139/ssrn.1828183openalex-snapshot
The Impact of Mutual Fund Ownership on Corporate Investment: Evidence from a Natural Experiment
inferredcites →https://doi.org/10.2139/ssrn.2370475openalex-snapshot
Institutional Investment and Commonality in Liquidity: Evidence from Transaction Data
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The Changing Preferences of Institutional Investors for Common Stocks
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inferredcites →https://doi.org/10.2139/ssrn.609883openalex-snapshot
Mutual Funds and the Market for Liquidity
inferredcites →https://doi.org/10.2139/ssrn.996069openalex-snapshot
Pervasive Liquidity Risk
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Prosecutorial Discretion in Mutual Fund Settlement Negotiations, 2003-7
inferredcites →https://doi.org/10.2307/2329515openalex-snapshot
Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
inferredcites →https://doi.org/10.2307/2329958openalex-snapshot
Parallel Trading by Institutional Investors
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Volatility and the Institutional Investor
inferredcites →https://doi.org/10.3386/w14609openalex-snapshot
Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
inferredcites →https://doi.org/10.3386/w6723openalex-snapshot
Institutional Investors and Equity Prices

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Demand Shifts and Asset Pricing
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Liquidity commonality in sovereign bond markets
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Market liquidity and institutional trading during the 2007–8 financial crisis
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Liquidity Dry-ups in equity markets
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Social media information diffusion and excess stock returns co-movement
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Retail traders and co-movement: Evidence from Robinhood trading activity
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inferred← citeshttps://doi.org/10.1016/j.irfa.2025.104236openalex-snapshot
How does social media shape stock liquidity? The role of investor online communication networks
inferred← citeshttps://doi.org/10.1016/j.irfa.2025.104512openalex-snapshot
Governance or collusion? How institutional co-ownership and digital transformation reshape corporate maturity mismatch in investment and financing
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2013.01.009openalex-snapshot
Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2013.09.020openalex-snapshot
Liquidity risk in stock returns: An event-study perspective
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2016.02.012openalex-snapshot
Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2020.105809openalex-snapshot
Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106430openalex-snapshot
Short-term reversals, returns to liquidity provision and the costs of immediacy*
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2023.107034openalex-snapshot
Do stock-level experienced returns influence security selection?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2024.107217openalex-snapshot
Does ownership concentration affect corporate bond volatility? Evidence from bond mutual funds
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2024.107333openalex-snapshot
Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique
inferred← citeshttps://doi.org/10.1016/j.jbef.2024.100934openalex-snapshot
Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market
inferred← citeshttps://doi.org/10.1016/j.jbusres.2020.04.012openalex-snapshot
Collectivism and commonality in liquidity
inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2018.04.005openalex-snapshot
Foreign institutional ownership and liquidity commonality around the world
inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2025.102764openalex-snapshot
The information advantage of industry common owners and its spillover effect on stock price crash risk
inferred← citeshttps://doi.org/10.1016/j.jebo.2021.08.034openalex-snapshot
Ambiguity, asset illiquidity, and price variability
inferred← citeshttps://doi.org/10.1016/j.jempfin.2014.07.001openalex-snapshot
Stock liquidity and the Taylor rule
inferred← citeshttps://doi.org/10.1016/j.jempfin.2019.09.002openalex-snapshot
Asset pricing with extreme liquidity risk
inferred← citeshttps://doi.org/10.1016/j.jempfin.2020.06.001openalex-snapshot
Stock market illiquidity, bargaining power and the cost of borrowing
inferred← citeshttps://doi.org/10.1016/j.jempfin.2020.11.001openalex-snapshot
Does program trading contribute to excess comovement of stock returns?
inferred← citeshttps://doi.org/10.1016/j.jempfin.2023.101429openalex-snapshot
Co-illiquidity management
inferred← citeshttps://doi.org/10.1016/j.jempfin.2024.101520openalex-snapshot
Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?
inferred← citeshttps://doi.org/10.1016/j.jempfin.2024.101541openalex-snapshot
Stock price synchronicity and stock liquidity: International evidence
inferred← citeshttps://doi.org/10.1016/j.jenvman.2023.118775openalex-snapshot
Does China's green power trading policy play a role? - Evidence from renewable energy generation enterprises
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.02.015openalex-snapshot
High frequency trading and comovement in financial markets
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.11.012openalex-snapshot
Institutional Investor Cliques and Governance
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.03.003openalex-snapshot
Internet searching and stock price crash risk: Evidence from a quasi-natural experiment
inferred← citeshttps://doi.org/10.1016/j.jfineco.2023.06.006openalex-snapshot
Fire Sale Risk and Expected Stock Returns
inferred← citeshttps://doi.org/10.1016/j.jfineco.2024.103795openalex-snapshot
Corporate responses to stock price fragility
inferred← citeshttps://doi.org/10.1016/j.jfineco.2025.104109openalex-snapshot
Diversification driven demand for large stock
inferred← citeshttps://doi.org/10.1016/j.jfs.2017.06.007openalex-snapshot
Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market
inferred← citeshttps://doi.org/10.1016/j.jimonfin.2014.11.002openalex-snapshot
FX market liquidity, funding constraints and capital flows
inferred← citeshttps://doi.org/10.1016/j.jimonfin.2019.02.009openalex-snapshot
Legal institutions and fragile financial markets
inferred← citeshttps://doi.org/10.1016/j.jmse.2021.06.003openalex-snapshot
The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
inferred← citeshttps://doi.org/10.1016/j.najef.2017.07.003openalex-snapshot
Determinants of commonality in liquidity: Evidence from an order-driven emerging market
inferred← citeshttps://doi.org/10.1016/j.najef.2019.100987openalex-snapshot
Crash risk, institutional investors and stock returns
inferred← citeshttps://doi.org/10.1016/j.pacfin.2012.06.003openalex-snapshot
Liquidity commonality among Asian equity markets
inferred← citeshttps://doi.org/10.1016/j.pacfin.2014.03.008openalex-snapshot
The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange
inferred← citeshttps://doi.org/10.1016/j.pacfin.2016.07.002openalex-snapshot
The impact of foreign trades on emerging market liquidity
inferred← citeshttps://doi.org/10.1016/j.pacfin.2023.102249openalex-snapshot
Political uncertainty and commonality in liquidity
inferred← citeshttps://doi.org/10.1016/j.pacfin.2024.102440openalex-snapshot
Climate change exposure and stock liquidity commonality: International evidence
inferred← citeshttps://doi.org/10.1016/j.procs.2022.01.090openalex-snapshot
Liquidity Commonality Effect in Stock Market and Risk Correlation from the Perspective of Complex Network
inferred← citeshttps://doi.org/10.1016/j.ribaf.2021.101422openalex-snapshot
Institutional ownership and commonality in liquidity
inferred← citeshttps://doi.org/10.1016/j.ribaf.2024.102280openalex-snapshot
Commonality in liquidity and corporate default risk - Evidence from China
inferred← citeshttps://doi.org/10.1017/s0022109014000556openalex-snapshot
Do Hedge Funds Reduce Idiosyncratic Risk?
inferred← citeshttps://doi.org/10.1017/s0022109022000874openalex-snapshot
Zeroing In on the Expected Returns of Anomalies
inferred← citeshttps://doi.org/10.1017/s147474721800001xopenalex-snapshot
Pension funds, large capital inflows and stock returns in a thin market
inferred← citeshttps://doi.org/10.1057/s41260-020-00164-3openalex-snapshot
Liquidity commonality beyond best prices: Indian evidence
inferred← citeshttps://doi.org/10.1080/00036846.2018.1486023openalex-snapshot
Does an Islamic label cause stock price comovements and commonality in liquidity?
inferred← citeshttps://doi.org/10.1080/00036846.2021.1982128openalex-snapshot
Liquidity commonality in the cryptocurrency market
inferred← citeshttps://doi.org/10.1080/13504851.2020.1804046openalex-snapshot
Liquidity commonality on National Stock Exchange: size and sector effect
inferred← citeshttps://doi.org/10.1080/1351847x.2022.2100269openalex-snapshot
The determinants of liquidity commonality in the Euro-area sovereign bond market
inferred← citeshttps://doi.org/10.1080/14697688.2020.1744698openalex-snapshot
Measuring liquidity commonality in financial markets
inferred← citeshttps://doi.org/10.1080/1540496x.2019.1694894openalex-snapshot
Measuring Liquidity Commonality of Currencies in the Emerging Markets
inferred← citeshttps://doi.org/10.1080/21697213.2022.2143688openalex-snapshot
Confucian culture and accounting conservatism: evidence from China
inferred← citeshttps://doi.org/10.1093/9780198935384.003.0020openalex-snapshot
From Passive Vehicles to Active Agents
inferred← citeshttps://doi.org/10.1093/rapstu/raab029openalex-snapshot
Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales
inferred← citeshttps://doi.org/10.1093/rfs/hhaa092openalex-snapshot
Public Market Players in the Private World: Implications for the Going-Public Process
inferred← citeshttps://doi.org/10.1093/rfs/hhaa125openalex-snapshot
How is Liquidity Priced in Global Markets?
inferred← citeshttps://doi.org/10.1093/rfs/hhz022openalex-snapshot
Blockholder Heterogeneity, Multiple Blocks, and the Dance between Blockholders
inferred← citeshttps://doi.org/10.1093/rof/rfab033openalex-snapshot
Search-Based Peer Groups and Commonality in Liquidity
inferred← citeshttps://doi.org/10.1108/20441391311290794openalex-snapshot
Institutional investors' involuntary trading behaviors, commonality in liquidity change and stock price fragility
inferred← citeshttps://doi.org/10.1108/ijmf-08-2013-0086openalex-snapshot
Institutional investors, information asymmetry and stock market liquidity in France
inferred← citeshttps://doi.org/10.1108/ijoem-04-2022-0553openalex-snapshot
The informativeness of the top holdings of Chinese equity mutual funds
inferred← citeshttps://doi.org/10.1108/jiabr-04-2024-0138openalex-snapshot
Institutional ownership and commonality in liquidity: the case of Amman Stock Exchange, Jordan
inferred← citeshttps://doi.org/10.1108/mf-12-2017-0519openalex-snapshot
Mutual fund research: a perspective on how we have arrived at the current state of academic research on mutual funds
inferred← citeshttps://doi.org/10.1111/1911-3846.12915openalex-snapshot
Common institutional ownership and stock price crash risk
inferred← citeshttps://doi.org/10.1111/acfi.12822openalex-snapshot
Institutional ownership and liquidity commonality: evidence from Australia
inferred← citeshttps://doi.org/10.1111/acfi.12989openalex-snapshot
The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market
inferred← citeshttps://doi.org/10.1111/ajfs.12141openalex-snapshot
Liquidity Commonality in Individuals’ Order Flows: New Evidence from the Taiwanese Stock Market
inferred← citeshttps://doi.org/10.1111/ajfs.70046openalex-snapshot
Liquidity Spillover in the Corporate Bond Market
inferred← citeshttps://doi.org/10.1111/corg.12657openalex-snapshot
Common Ownership Research: Implications for Corporate Governance
inferred← citeshttps://doi.org/10.1111/fire.12225openalex-snapshot
Commonality in liquidity and multilateral trading facilities
inferred← citeshttps://doi.org/10.1111/infi.70018openalex-snapshot
Analyst Coverage and Commonality in Liquidity: International Evidence
inferred← citeshttps://doi.org/10.1111/irfi.12320openalex-snapshot
Connectedness among stocks and tail risk: Evidence from China
inferred← citeshttps://doi.org/10.1111/j.1468-5957.2010.02237.xopenalex-snapshot
Overconfidence Among Professional Investors: Evidence from Mutual Fund Managers
inferred← citeshttps://doi.org/10.1111/jfir.12113openalex-snapshot
ILLIQUIDITY IN THE STOCK AND FOREIGN EXCHANGE MARKETS: AN INVESTIGATION OF THEIR CROSS‐MARKET DYNAMICS
inferred← citeshttps://doi.org/10.1111/jfir.12193openalex-snapshot
COMMONALITY IN LIQUIDITY OF NEARBY FIRMS
inferred← citeshttps://doi.org/10.1111/jfir.12200openalex-snapshot
CORRELATED BEHAVIOR IN LIMIT ORDER CANCELLATIONS, COMOVEMENT IN ASSET RETURNS, AND COMMONALITY IN LIQUIDITY
inferred← citeshttps://doi.org/10.1111/jfir.12230openalex-snapshot
THE COMOVEMENTS OF STOCK, BOND, AND CDS ILLIQUIDITY BEFORE, DURING, AND AFTER THE GLOBAL FINANCIAL CRISIS
inferred← citeshttps://doi.org/10.1111/jmcb.12335openalex-snapshot
Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets
inferred← citeshttps://doi.org/10.1111/jofi.12509openalex-snapshot
Do Funds Make More When They Trade More?
inferred← citeshttps://doi.org/10.1142/s0217590819500462openalex-snapshot
LARGE SHAREHOLDERS AND INFORMATION ASYMMETRY IN A TRANSITION ECONOMY – EVIDENCE FROM VIETNAM
inferred← citeshttps://doi.org/10.1146/annurev-financial-110716-032538openalex-snapshot
Exchange-Traded Funds
inferred← citeshttps://doi.org/10.1177/03128962211069615openalex-snapshot
Does bitcoin liquidity resemble the liquidity of other financial assets?
inferred← citeshttps://doi.org/10.1177/0972652719846323openalex-snapshot
Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia
inferred← citeshttps://doi.org/10.1177/21582440251367808openalex-snapshot
Does Insiders’ Share Pledging Improve Stock Market Liquidity? Evidence from China
inferred← citeshttps://doi.org/10.1186/s40854-021-00308-3openalex-snapshot
Liquidity connectedness in cryptocurrency market
inferred← citeshttps://doi.org/10.1257/aer.99.4.1119openalex-snapshot
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
inferred← citeshttps://doi.org/10.1287/mnsc.2019.3353openalex-snapshot
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions
inferred← citeshttps://doi.org/10.1287/mnsc.2019.3422openalex-snapshot
Do Noisy Stock Prices Impede Real Efficiency?
inferred← citeshttps://doi.org/10.1287/mnsc.2019.3454openalex-snapshot
The Missing New Funds
inferred← citeshttps://doi.org/10.1287/mnsc.2020.3808openalex-snapshot
The Granular Nature of Large Institutional Investors
inferred← citeshttps://doi.org/10.1287/mnsc.2022.03411openalex-snapshot
Do Institutional Investors Stabilize Equity Markets in Crisis Periods? Evidence from COVID-19
inferred← citeshttps://doi.org/10.1287/mnsc.2022.4625openalex-snapshot
Managerial Overconfidence and Market Feedback Effects
inferred← citeshttps://doi.org/10.1287/opre.2021.2201openalex-snapshot
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
inferred← citeshttps://doi.org/10.1371/journal.pone.0086134openalex-snapshot
Liquidity Spillover in International Stock Markets through Distinct Time Scales
inferred← citeshttps://doi.org/10.1590/1808-057x201909530openalex-snapshot
The effect of foreign investment flow on commonality in liquidity on the Brazilian stock market
inferred← citeshttps://doi.org/10.17016/feds.2011.49openalex-snapshot
Liquidity Risk and Hedge Fund Ownership
inferred← citeshttps://doi.org/10.17016/feds.2020.039openalex-snapshot
Zeroing in on the Expected Returns of Anomalies
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