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Unlocking the True Price Impact: Intraday Liquidity and Expected Return in China’s Stock Market

https://doi.org/10.2139/ssrn.4675832
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Risk measurement when shares are subject to infrequent trading
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Common risk factors in the returns on stocks and bonds
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Market liquidity as a sentiment indicator
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Did decimalization hurt institutional investors?
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Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market
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Do extreme returns matter in emerging markets? Evidence from the Chinese stock market
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Multifactor conditional equity premium model: Evidence from China's stock market
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Earnings announcements in China: Overnight-intraday disparity
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Stock Liquidity and Corporate Diversification: Evidence from China's Split Share Structure Reform
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Do liquidity measures measure liquidity?☆
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Liquidity biases in asset pricing tests☆
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Recent trends in trading activity and market quality
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Size and value in China
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The cross-section of intraday and overnight returns
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Expected return, volume, and mispricing
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Machine learning in the Chinese stock market
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Forecasting China's stock market variance
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China's illiquidity premium: Due to risk-taking or mispricing?
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Illiquidity and stock returns: cross-section and time-series effects
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The Diminishing Liquidity Premium
inferredcites →https://doi.org/10.1017/s0022109022000874openalex-extracted
Zeroing In on the Expected Returns of Anomalies
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Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/rapstu/raaa022openalex-extracted
The Night and Day of Amihud’s (2002) Liquidity Measure
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Trend Factor in China: The Role of Large Individual Trading
inferredcites →https://doi.org/10.1093/rapstu/ras017openalex-extracted
An Analysis of the Amihud Illiquidity Premium
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A New Estimate of Transaction Costs
inferredcites →https://doi.org/10.1093/rfs/hhaa080openalex-extracted
Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects
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Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-extracted
Mispricing Factors
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Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?
inferredcites →https://doi.org/10.1093/rof/rfx003openalex-extracted
What Are the Best Liquidity Proxies for Global Research?
inferredcites →https://doi.org/10.1111/1540-6261.00493openalex-extracted
Is Information Risk a Determinant of Asset Returns?
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Investor Sentiment and the Cross‐Section of Stock Returns
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Asset Growth and the Cross‐Section of Stock Returns
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Does Academic Research Destroy Stock Return Predictability?
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Interpreting Factor Models
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The Development of China's Stock Market and Stakes for the Global Economy
inferredcites →https://doi.org/10.1287/mnsc.2014.1913openalex-extracted
Turnover: Liquidity or Uncertainty?
inferredcites →https://doi.org/10.1561/104.00000052openalex-extracted
A Review of the Return–Illiquidity Relationship
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Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication
inferredcites →https://doi.org/10.2307/2297912openalex-extracted
Automatic Lag Selection in Covariance Matrix Estimation
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Trade Execution Costs and Market Quality after Decimalization
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