Liquidity and Market Efficiency

By Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam. 2008

973 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a16add484f461bb9b06d7465db001b84fd18c34

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Citations in the corpus

On the Information Role of Stock Recommendation Revisions (2009, result): “These results are robust to wider windows of one hour and two hours and they agree with growing evidence showing that stock prices react in minutes to new information (Dann et al., 1977; Barclay and Litzenberger, 1988; Kim et al., 1997; Busse and Green, 2002; Chordia et al., 2008).”
Information and Efficiency: Goal Arrival in Soccer Betting (2014, background): “…have lent support to the first view, that securities mispricing is greater in illiquid markets (Kumar and Lee 2006; Sadka and Scherbina 2007; and Chordia, Roll, and Subrahmanyam 2008), some other investigations appear to support the idea that liquidity worsens mispricing (Tetlock 2007,…”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “…and Peterson, 2008; Chordia et al., 2008; Boehmer and Kelley, 2009; Boehmer and Wu, 2009), the absolute deviation from one of variance ratio (see Chordia et al., 2008; Griffin et al., 2008; Boehmer and Kelley, 2009) and the magnitude of the Hurst exponent (see Eom et al., 2008a, b; Zunino et…”
The Role of Stock Liquidity in Executive Compensation (2012, positive): “Second, as stock liquidity increases, the reduced trading costs encourage informed traders to impound more information about the manager’s actions in the stock price (see Chordia et al. 2008).”
Relation between bid–ask spread, impact and volatility in order-driven markets (2006, background): “But is the volatility per unit time the primary object, driven by a fundamental process such as the arrival of news, to which the volatility per trade and therefore the spread is slaved? Or is the market micro-structure and trading activity imposing, in a bottom-up way, the value of the volatility? ”
Independent Director Reputation Incentives and Stock Price Informativeness (2017, background): “Stock liquidity may facilitate informed trading and thus increase stock price informativeness (Chordia and Subramanyam, 2008); alternatively, liquidity may boost uninformed order flows and thus lower stock price informativeness (Ferreira, Ferreira and Raposo, 2011; Easley, Hvidkjaer and O’Hara,…”
The Price Impact of Order Book Events (2010, neutral): “Whereas previous studies [10, 20, 22, 29, 38, 43] focused on measures of “trade imbalance”1, using orders provides a more natural way of measuring supply and demand.”
Trading imbalances, predictable reversals, and cross-stock price pressure (2008, background): “The third strand extends work with unsigned volume to signed order imbalances—see Chordia, Roll, and Subrahmanyam (2002, 2005), Chordia and Subrahmanyam (2004), Lee, Liu, Roll, and Subrahmanyam (2004), and Kaniel, Saar, and Titman (2008).4 Finally, an extensive literature includes direct…”