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Resiliency and Stock Returns

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What this work says

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

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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

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Asset pricing and the bid-ask spread

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Common risk factors in the returns on stocks and bonds

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.2004.06.004openalex-snapshot

Evidence on the speed of convergence to market efficiency

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.2005.10.002openalex-snapshot

Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆

inferredcites →https://doi.org/10.1016/j.jfineco.2009.12.011openalex-snapshot

Liquidity biases in asset pricing tests☆

inferredcites →https://doi.org/10.1016/j.jfineco.2010.03.007openalex-snapshot

The marketing of seasoned equity offerings☆

inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.014openalex-snapshot

Maxing out: Stocks as lotteries and the cross-section of expected returns

inferredcites →https://doi.org/10.1016/j.jfineco.2013.01.007openalex-snapshot

Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis

inferredcites →https://doi.org/10.1016/j.jfineco.2014.08.001openalex-snapshot

Price pressures

inferredcites →https://doi.org/10.1016/j.jfineco.2015.03.007openalex-snapshot

Are Institutions Informed About News?

inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.011openalex-snapshot

Liquidity, resiliency and market quality around predictable trades: Theory and evidence

inferredcites →https://doi.org/10.1016/j.jfineco.2017.01.007openalex-snapshot

Uncovering Expected Returns: Information in Analyst Coverage Proxies

inferredcites →https://doi.org/10.1016/s0304-405x(01)00063-0openalex-snapshot

Stealth-trading: Which traders' trades move stock prices?

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…

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(97)00004-9openalex-snapshot

Liquidity and stock returns: An alternative test

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Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks

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Risk, Return, and Equilibrium: Empirical Tests

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A Model of Competitive Stock Trading Volume

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Capital Market Equilibrium with Restricted Borrowing

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Liquidity Risk and Expected Stock Returns

inferredcites →https://doi.org/10.1093/revfin/hhl046openalex-snapshot

Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed?

inferredcites →https://doi.org/10.1093/rfs/1.1.41openalex-snapshot

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

inferredcites →https://doi.org/10.1093/rfs/15.4.1005openalex-snapshot

Dynamic Volume-Return Relation of Individual Stocks

inferredcites →https://doi.org/10.1093/rfs/hhg030openalex-snapshot

Price Discovery and Trading After Hours

inferredcites →https://doi.org/10.1093/rfs/hhl020openalex-snapshot

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

inferredcites →https://doi.org/10.1093/rfs/hhp028openalex-snapshot

Institutional Investors and the Informational Efficiency of Prices

inferredcites →https://doi.org/10.1093/rfs/hhr128openalex-snapshot

Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition

inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot

Digesting Anomalies: An Investment Approach

inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot

Editor's Choice … and the Cross-Section of Expected Returns

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A Taxonomy of Anomalies and Their Trading Costs

inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot

Investor Psychology and Security Market Under‐ and Overreactions

inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot

A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-snapshot

Conditional Skewness in Asset Pricing Tests

inferredcites →https://doi.org/10.1111/0022-1082.00349openalex-snapshot

The High‐Volume Return Premium

inferredcites →https://doi.org/10.1111/0022-1082.00490openalex-snapshot

Differences of Opinion and the Cross Section of Stock Returns

inferredcites →https://doi.org/10.1111/1540-6261.00493openalex-snapshot

Is Information Risk a Determinant of Asset Returns?

inferredcites →https://doi.org/10.1111/j.1475-679x.2007.00234.xopenalex-snapshot

Which Institutional Investors Trade Based on Private Information About Earnings and Returns?

inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03317.xopenalex-snapshot

RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION

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A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb04594.xopenalex-snapshot

Liquidity and Market Structure

inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb05067.xopenalex-snapshot

The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05110.xopenalex-snapshot

Evidence of Predictable Behavior of Security Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02683.xopenalex-snapshot

Inferring Trade Direction from Intraday Data

inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot

The Cross-Section of Expected Stock Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05121.xopenalex-snapshot

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05122.xopenalex-snapshot

An Analysis of Changes in Specialist Inventories and Quotations

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02754.xopenalex-snapshot

Cost of Transacting and Expected Returns in the Nasdaq Market

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot

On Persistence in Mutual Fund Performance

inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00672.xopenalex-snapshot

Information and the Cost of Capital

inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot

The Cross‐Section of Volatility and Expected Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01240.xopenalex-snapshot

Corporate Bond Market Transaction Costs and Transparency

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.1540-6261.2010.01573.xopenalex-snapshot

Intraday Patterns in the Cross‐section of Stock Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01643.xopenalex-snapshot

The Interim Trading Skills of Institutional Investors

inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01655.xopenalex-snapshot

The Illiquidity of Corporate Bonds

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/10.1146/annurev-financial-121415-032930openalex-snapshot

Analysts’ Forecasts and Asset Pricing: A Survey

inferredcites →https://doi.org/10.1162/003355301556392openalex-snapshot

Institutional Investors and Equity Prices

inferredcites →https://doi.org/10.1561/0500000003openalex-snapshot

Liquidity and Asset Prices

inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-snapshot

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

inferredcites →https://doi.org/10.2139/ssrn.239405openalex-snapshot

Dynamic Volume-Return Relation of Individual Stocks

inferredcites →https://doi.org/10.2307/1913210openalex-snapshot

Continuous Auctions and Insider Trading

inferredcites →https://doi.org/10.2307/1913610openalex-snapshot

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

inferredcites →https://doi.org/10.2307/2118454openalex-snapshot

Trading Volume and Serial Correlation in Stock Returns

inferredcites →https://doi.org/10.2307/2490232openalex-snapshot

An Empirical Evaluation of Accounting Income Numbers

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Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

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Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test

inferredcites →https://doi.org/10.3386/w23394openalex-snapshot

Replicating Anomalies

inferredcites →https://doi.org/10.3386/w6324openalex-snapshot

A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets

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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A ReMeDI for Microstructure Noise

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Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

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Stock Market Participation Constraints and Return Predictability

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Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?

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Market Liquidity

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Market Liquidity

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Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes

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New insights into liquidity resiliency

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Efficient estimation of bid–ask spreads from open, high, low, and close prices

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Which stock price component drives the Amihud illiquidity premium?

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Who watches what and why it matters: Attention allocation, tug-of-war, and market resiliency: A pre-registered report

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Stock liquidity resilience and firm breakthrough innovation

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Workplace sustainability or financial resilience? Composite-financial resilience index

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Resiliency, Short Sales, and Expected Returns in the Korean Stock Market

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Old Friends, New Risks: How Alumni Ties Undermine Stock Price Resilience

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Intraday Seasonality and Volatility Pattern: An Explanation with Recurrence Quantification Analysis

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Asymmetric information and daily stock prices in Brazil

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Exploring the market resilience of selected stocks in the Johannesburg Stock Exchange

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Corporate Social Responsibility dan Ketahanan Perusahaan Dalam Menghadapi Pandemik di Asia Tenggara

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FACTORS AFFECTING THE LEVEL OF CORPORATE RESILIENCE AS THE IMPACT OF THE COVID-19 PANDEMIC IN INDONESIA

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Market Liquidity: An Elusive Variable

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