A liquidity-augmented capital asset pricing model

By Weimin Liu. 2006

840 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0e3dc9778a8ce9ed1371aa658cc59c4b06ea1190

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Citations in the corpus

Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2016, result): “This is consistent with existing findings supporting the extremely great explanatory power of the stock market (Boyer & Filion, 2007; Carhart, 1997; R. Faff & Chan, 1998; R. W. Faff & Brailsford, 1999; Fama & French, 1993; Khoo, 1994; Liu, 2006; Sadorsky, 2001).”
Does corporate governance quality affect default risk? The role of growth opportunities and stock liquidity (2018, background): “+ GH6IJ"H ⁄ "LMN IH O P QRQSI (5) where CDE? is the number of zero daily trading volumes for firm i in year t; TUVWDX5V , is the stock turnover for firm i in year t; CD / is the total number of trading days in year t; and the deflator is set to 480,000 as suggested in Liu (2006).”
Stock splits, trading continuity, and the cost of equity capital☆ (2009, methodology): “The LCAPM can also explain anomalies associated with the cash-flow-to-price ratio, dividend yield, earnings-to-price ratio, and long-term contrarian investment strategies, as shown by Liu (2006).”
Understanding Commonality in Liquidity Around the World (2011, background): “Empirical evidence shows that investors prefer stocks that are liquid (Amihud and Mendelson, 1986; Brennan and Subrahmanyam, 1996; Amihud, 2002; Liu, 2006).”
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017, neutral): “the concern expressed by Harvey, Liu and Zhu’s (2014) that the t-statistics in prior RPS research suffer from a variety of data snooping biases and therefore warrant a substantial haircut by readers.”
Performance and Performance Persistence of ‘Ethical’ Unit Trusts in the UK (2007, background): “risk, although a recent paper by Liu (2005) provides evidence supportive of US”
The Illiquidity Premium: International Evidence (2015, neutral): “10 An illiquidity return factor for the U.S. has been constructed by Liu (2006) and by Amihud (2014).”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “Liu (2006), by using several different liquidity measures, shows that market liquidity in the U.S. stock market is impaired following large economic and financial events such as the 1972–1974 recession, the 1987 crash, the Asian financial crisis in 1997, the 1998 Russian default, the collapse of…”
The world price of liquidity risk (2011, positive): “…returns in the US market through two different channels, that is, as either a characteristic (Amihud and Mendelson, 1986; Brennan and Subrahmanyam , 1996; Amihud, 2002) or a risk factor (Pá stor and Stambaugh, 2003; Acharya and Pedersen, 2005; Liu, 2006; Sadka, 2006; Watanabe and Watanabe, 2008).”
Size, Value and Liquidity: Do They Really Matter on an Emerging Stock Market? (2012, neutral): “These include, but limited to: Haugen and Baker (1996), Chalmers and Kadlec (1998), Datar et al. (1998), Brennan et al. (1998), Jones (2002), Chordia et al. (2001), Amihud (2002), Liu (2006) and Garleanu (2009).”
Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011, neutral): “Therefore, it is argued that RtoTR may help capture some important information that conventional spread measures are unable to adequately incorporate in isolation, since this price impact ratio is able to combine the unique information contained in BA and TR (see also Liu (2006)).”