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Market Liquidity as a Sentiment Indicator
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
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Corporate financing and investment decisions when firms have information that investors do not have
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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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Price, trade size, and information in securities markets
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Constraints on short-selling and asset price adjustment to private information
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Underperformance in long-run stock returns following seasoned equity offerings
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Common stock offerings across the business cycle: Theory and evidence
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Why constrain your mutual fund manager?
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Common factors in prices, order flows, and liquidity
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The theory and practice of corporate finance: evidence from the field
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Breadth of ownership and stock returns
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Short-sale constraints and stock returns
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Stocks are special too: an analysis of the equity lending market
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Book-to-market, dividend yield, and expected market returns: A time-series analysis
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Commonality in liquidity
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Conservatism in human information processing
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Illiquidity and Stock Returns:Cross-Section and Time-Series Effects
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Rational Capital Budgeting In An Irrational World
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Noise Trader Risk in Financial Markets
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Public Regulation of the Securities Markets
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NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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A Theory of Intraday Patterns: Volume and Price Variability
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Transaction Costs and Asset Prices: A Dynamic Equilibrium model
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Do Asset Fire Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions
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Are Investors Reluctant to Realize Their Losses?
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
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The Equity Share in New Issues and Aggregate Stock Returns
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Market Liquidity and Trading Activity
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Differences of Opinion and the Cross Section of Stock Returns
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Investor Reaction to Salient News in Closed‐End Country Funds
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THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02198.xopenalex-snapshot
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb03834.xopenalex-snapshot
Information Effects on the Bid-Ask Spread
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05002.xopenalex-snapshot
The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb04559.xopenalex-snapshot
Volume for Winners and Losers: Taxation and Other Motives for Stock Trading
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04661.xopenalex-snapshot
Liquidation Values and Debt Capacity: A Market Equilibrium Approach
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.1540-6261.1996.tb05209.xopenalex-snapshot
Is There a Window of Opportunity for Seasoned Equity Issuance?
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Market Efficiency, Long-Term Returns, and Behavioral Finance
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Stock Return Predictability: Is it There?
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Dotcom Mania: A Survey of Market Efficiency in the Internet Sector
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The Maturity of Debt Issues and Predictable Variation in Bond Returns
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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
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A Century of Stock Market Liquidity and Trading Costs
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Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
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Continuous Auctions and Insider Trading
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Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects
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The Long-Run Performance of Initial Public Offerings
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Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
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Price Deregulation in the Brokerage Industry: An Empirical Analysis
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Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns
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Managerial Decisions and Long-Term Stock Price Performance
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Seasoned Public Offerings: Resolution of the “New Issues Puzzle”
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Price Momentum and Trading Volume
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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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The Maturity of Debt Issues and Predictable Variation in Bond Returns
inferred← citeshttps://doi.org/10.2139/ssrn.282293openalex-extracted
Hot Markets, Investor Sentiment, and IPO Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.536942openalex-extracted
The Aggregate Behaviour of Individual Investors
inferred← citeshttps://doi.org/10.2139/ssrn.559407openalex-extracted
Liquidity Premium and a Two-Factor Model
inferred← citeshttps://doi.org/10.1007/978-3-319-30794-7_11openalex-snapshot
Measuring Investor Sentiment in Equity Markets
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2006.06.002openalex-snapshot
Non-linear forecasting of stock returns: Does volume help?
inferred← citeshttps://doi.org/10.1016/j.intfin.2014.06.009openalex-snapshot
African stock market returns and liquidity premia
inferred← citeshttps://doi.org/10.1016/j.irfa.2004.09.001openalex-snapshot
Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy
inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2004.02.002openalex-snapshot
Liquidity risk, leverage and long-run IPO returns
inferred← citeshttps://doi.org/10.1016/j.pacfin.2003.12.002openalex-snapshot
Profitability of return and volume-based investment strategies in China's stock market
inferred← citeshttps://doi.org/10.1016/j.rie.2012.06.001openalex-snapshot
On the role of liquidity in emerging markets stock prices
inferred← citeshttps://doi.org/10.1016/s0304-405x(03)00147-8openalex-snapshot
The maturity of debt issues and predictable variation in bond returns
inferred← citeshttps://doi.org/10.1017/s0022109000003227openalex-snapshot
Predictive Regressions: A Reduced-Bias Estimation Method
inferred← citeshttps://doi.org/10.1023/b:eufi.0000022156.50605.a6openalex-snapshot
The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds
inferred← citeshttps://doi.org/10.1057/palgrave.jam.2240214openalex-snapshot
Measuring investor sentiment in equity markets
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2004.00658.xopenalex-snapshot
A Catering Theory of Dividends
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Asymmetric Effect of Investors Sentiments on Herding Behavior and Stock Returns: Pre and Post Covid-19 Analysis
inferred← citeshttps://doi.org/10.19030/jber.v6i8.2458openalex-snapshot
Measures Of Investor Sentiment: A Comparative Analysis Put-Call Ratio Vs. Volatility Index
inferred← citeshttps://doi.org/10.25095/mufad.402673openalex-snapshot
Beklentiler Ve Güven Endekslerinin Finansal Piyasalar Üzerine Etkisi
inferred← citeshttps://doi.org/10.26845/kjfs.2020.06.49.3.375openalex-snapshot
Air Pollution, Stock Return, and Volatility: Evidence from Korean Stock Markets
inferred← citeshttps://doi.org/10.26845/kjfs.2022.02.51.1.027openalex-snapshot
Effect of KRX Designated Market Maker on Liquidity
inferred← citeshttps://doi.org/10.26845/kjfs.2022.04.51.2.131openalex-snapshot
The Effect of the Securities Transaction Tax Rate Cut on the Liquidity in KRX
inferred← citeshttps://doi.org/10.3386/w8987openalex-snapshot
Stocks as Money: Convenience Yield and the Tech-Stock Bubble
inferred← citeshttps://doi.org/10.5296/ajfa.v1i2.193openalex-snapshot
Price Performance and Liquidity Effects of Index Additions and Deletions: Evidence from Chinese Equity Markets
inferred← citeshttps://doi.org/10.54254/2754-1169/27/20231243openalex-snapshot
“Chemical Reaction” Between Extreme Weather and Stock Market
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