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Liquidity Network and Firm Characteristics

https://doi.org/10.2139/ssrn.5353392
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.finmar.2017.02.004openalex-snapshot
The determinants and pricing of liquidity commonality around the world
inferredcites →https://doi.org/10.1016/j.frl.2021.101937openalex-snapshot
COVID-19 and the liquidity network
inferredcites →https://doi.org/10.1016/j.irfa.2020.101454openalex-snapshot
Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework
inferredcites →https://doi.org/10.1016/j.irfa.2020.101466openalex-snapshot
Uncovering the time-varying relationship between commonality in liquidity and volatility
inferredcites →https://doi.org/10.1016/j.irfa.2020.101646openalex-snapshot
Return connectedness across asset classes around the COVID-19 outbreak
inferredcites →https://doi.org/10.1016/j.irfa.2024.103204openalex-snapshot
Investor network and stock return comovement: Information-seeking through intragroup and intergroup followings
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.02.021openalex-snapshot
Liquidity and market efficiency: A large sample study
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.2004.08.008openalex-snapshot
Short sales, institutional investors and the cross-section of stock returns
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.2007.03.005openalex-snapshot
Liquidity and Market Efficiency
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.2008.08.007openalex-snapshot
Stock market liquidity and firm value☆
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.008openalex-snapshot
Understanding commonality in liquidity around the world
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.010openalex-snapshot
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
inferredcites →https://doi.org/10.1016/j.jfineco.2018.05.006openalex-snapshot
Size matters, if you control your junk
inferredcites →https://doi.org/10.1016/j.pacfin.2014.03.006openalex-snapshot
Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs
inferredcites →https://doi.org/10.1016/j.physa.2021.126506openalex-snapshot
Dynamic correlation of market connectivity, risk spillover and abnormal volatility in stock price
inferredcites →https://doi.org/10.1016/s0304-405x(00)00080-5openalex-snapshot
Trading activity and expected stock returns
inferredcites →https://doi.org/10.1016/s0304-405x(00)00091-xopenalex-snapshot
Common factors in prices, order flows, and liquidity
inferredcites →https://doi.org/10.1016/s0304-405x(03)00206-xopenalex-snapshot
The illusory nature of momentum profits
inferredcites →https://doi.org/10.1016/s0304-405x(99)00057-4openalex-snapshot
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/10.1017/s0022109010000323openalex-snapshot
Stock Returns and the Volatility of Liquidity
inferredcites →https://doi.org/10.1017/s0022109011000081openalex-snapshot
Liquidity Dynamics and Cross-Autocorrelations
inferredcites →https://doi.org/10.1017/s0022109018000108openalex-snapshot
Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions
inferredcites →https://doi.org/10.1080/15435075.2023.2204356openalex-snapshot
Good vs bad returns spillover in regional energy markets
inferredcites →https://doi.org/10.1086/323503openalex-snapshot
News Events, Information Acquisition, and Serial Correlation
inferredcites →https://doi.org/10.1086/708736openalex-snapshot
Credit Market Disruptions and Liquidity Spillover Effects in the Supply Chain
inferredcites →https://doi.org/10.1093/rfs/hhac036openalex-snapshot
The Effect of Stock Liquidity on the Firm's Investment and Production
inferredcites →https://doi.org/10.1093/rfs/hhu016openalex-snapshot
Illiquidity Contagion and Liquidity Crashes
inferredcites →https://doi.org/10.1093/rfs/hhw026openalex-snapshot
Commonality in Liquidity: A Demand-Side Explanation
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
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/10.1214/aos/1176344136openalex-snapshot
Estimating the Dimension of a Model
inferredcites →https://doi.org/10.2139/ssrn.159698openalex-snapshot
Common Factors in Prices, Order Flows and Liquidity
inferredcites →https://doi.org/10.2139/ssrn.3474459openalex-snapshot
Cross-Asset Market Order Flow, Liquidity, and Price Discovery
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2469/faj.v42.n3.43openalex-snapshot
Liquidity and Stock Returns
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