Commonality in liquidity
Article Abstract:
Research is presented suggesting the acknowledgement of commonality in the market place can help provide coherent determinants when focusing on liquidity.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2000
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Evidence on the speed of convergence to market efficiency
Article Abstract:
Empirical results to examine the time interval of market efficiency of highly liquid stock prices are presented.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
Article Abstract:
Non-risk security characteristics exert marginal explanatory power relative to the arbitrage pricing theory benchmark. Utilization of Fama-MacBeth-type regressions has revealed evidence establishing the existence of return momentum, size and book-to-market effects. The size and book-to-market effects weakened when Fama and French factors were utilized during repetition of the analysis while the momentum and trading volume effects remain.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1998
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