The Divergence of Liquidity Commonality in the Cross-Section of Stocks

By Avi Kamara, Xiaoxia Lou, Ronnie Sadka. 2007

283 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3397d4f6c3c040b99a66873a58373d216776eaac

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Citations in the corpus

Googling Investor Sentiment around the World (2019, unknown): “…the sentiment of domestic investors, which is similar to the correlated trading behavior of international and institutional investors (e.g., Kamara, Lou, and Sadka (2008), Karolyi, Lee, and Van Dijk (2012)).33 Second, investor sentiment can be spread across countries through channels such…”
Understanding Commonality in Liquidity Around the World (2011, background): “We thus uncover little evidence of the finding of Kamara, Lou, and Sadka (2008) that commonality in liquidity has increased for large cap stocks in the U.S. holds internationally over our sample period.”
Stock Market Declines and Liquidity (2010, unknown): “In a recent paper, Kamara et al. (2008) find that liquidity betas change over time and that these changes are affected by market volatility as well as market returns.”
Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “Evidence consistent with this explanation is provided by Kamara, Lou, and Sadka (2008).”
Size, Value and Liquidity: Do They Really Matter on an Emerging Stock Market? (2012, unknown): “Cooper et al. (1985), Khan and Baker (1993), Amihud et al. (1997), Acharya and Pedersen (2005), Marcelo and del Mar Miralles Quiros (2006) and Kamara et al. (2008) use the Amivest measure of liquidity or it’s inverse, the so-called Amihud measure; Haugen and Baker (1996), Datar et al. (1998) and…”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “Kamara et al. (2008) study the historic development of liquidity commonality across U.S. stocks for the period from 1963 to 2005.”