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Evidence on the Two Views of the Role of Trading Friction in Stock Pricing

https://doi.org/10.2139/ssrn.6362165
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Finite Mixture Models
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Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data
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The equity premium: A puzzle
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On estimating the expected return on the market
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Asset pricing and the bid-ask spread
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Heterogeneity in speed of adjustment using finite mixture models
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Simple formulas for standard errors that cluster by both firm and time
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Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature
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Market efficiency and accounting research: a discussion of ‘capital market research in accounting’ by S.P. Kothari
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Accounting valuation, market expectation, and cross-sectional stock returns
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Industry costs of equity
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Illiquidity and stock returns: cross-section and time-series effects
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Chapter 17 Microstructure and asset pricing
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Market Liquidity and Performance Monitoring
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/hhi023openalex-snapshot
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
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Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach
inferredcites →https://doi.org/10.1093/rfs/hht005openalex-snapshot
What Drives Stock Price Movements?
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-snapshot
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhx072openalex-snapshot
Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?
inferredcites →https://doi.org/10.1093/rfs/hhx084openalex-snapshot
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
inferredcites →https://doi.org/10.1093/rfs/hhy104openalex-snapshot
Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhy131openalex-snapshot
Replicating Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhz069openalex-snapshot
Short and Long Horizon Behavioral Factors
inferredcites →https://doi.org/10.1111/0022-1082.00144openalex-snapshot
Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests
inferredcites →https://doi.org/10.1111/0022-1082.00164openalex-snapshot
What is the Intrinsic Value of the Dow?
inferredcites →https://doi.org/10.1111/0022-1082.00259openalex-snapshot
Presidential Address: Friction
inferredcites →https://doi.org/10.1111/0022-1082.35053openalex-snapshot
Large Shareholders as Monitors: Is There a Trade‐Off between Liquidity and Control?
inferredcites →https://doi.org/10.1111/1540-6261.00493openalex-snapshot
Is Information Risk a Determinant of Asset Returns?
inferredcites →https://doi.org/10.1111/1540-6261.00569openalex-snapshot
Presidential Address: Liquidity and Price Discovery
inferredcites →https://doi.org/10.1111/1911-3846.12078openalex-snapshot
Information, Illiquidity, and Cost of Capital
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.1540-6261.1997.tb03818.xopenalex-snapshot
The Delisting Bias in CRSP Data
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.1540-6261.2012.01729.xopenalex-snapshot
A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
inferredcites →https://doi.org/10.1111/jofi.12187openalex-snapshot
Does Stock Liquidity Enhance or Impede Firm Innovation?
inferredcites →https://doi.org/10.1111/jofi.12286openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12618openalex-snapshot
Belief Dispersion in the Stock Market
inferredcites →https://doi.org/10.1111/jofi.13372openalex-snapshot
Anomaly Time
inferredcites →https://doi.org/10.1146/annurev-financial-110311-101826openalex-snapshot
The Real Effects of Financial Markets
inferredcites →https://doi.org/10.1162/003355399556043openalex-snapshot
Consumption and Portfolio Decisions when Expected Returns are Time Varying
inferredcites →https://doi.org/10.1201/9780429428357openalex-snapshot
Introduction to Probability
inferredcites →https://doi.org/10.1257/aer.104.6.1467openalex-snapshot
Two Pillars of Asset Pricing
inferredcites →https://doi.org/10.1257/jep.4.4.153openalex-snapshot
Anomalies: Closed-End Mutual Funds
inferredcites →https://doi.org/10.1561/0500000003openalex-snapshot
Liquidity and Asset Prices
inferredcites →https://doi.org/10.1561/0500000014openalex-snapshot
Theories of Liquidity
inferredcites →https://doi.org/10.1561/104.00000052openalex-snapshot
A Review of the Return–Illiquidity Relationship
inferredcites →https://doi.org/10.1561/2000000034openalex-snapshot
Theory and Use of the EM Algorithm
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/2491062openalex-snapshot
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
inferredcites →https://doi.org/10.2307/2534436openalex-snapshot
Stock Prices and Social Dynamics
inferredcites →https://doi.org/10.2308/accr-10276openalex-snapshot
Accrual Quality, Realized Returns, and Expected Returns: The Importance of Controlling for Cash Flow Shocks
inferredcites →https://doi.org/10.2469/faj.v74.n4.3openalex-snapshot
Buffett’s Alpha
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