Liquidity and Expected Returns: Lessons from Emerging Markets

By Geert Bekaert, Campbell R. Harvey, Christian Lundblad. 2007

1,157 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5f909bbac5b750f2f4efc1d1e7de446f68699bd8

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Citations in the corpus

Liquidity and Asset Prices (2005, positive): “The pricing of liquidity risk in nineteen emerging markets is studied by Bekaert et al. (2005) in a model that extends Acharya and Pedersen (2005).”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, neutral): “The move to 1/16 quotes (from 1/8 quotes) for NYSE/AMEX firms beginning in 1997 and the decimalization of quotes that commenced in 2001:04 (Bekaert, Harvey, and Lundblad (2007)) significantly reduced the quoted spreads.”
The Illiquidity Premium: International Evidence (2015, neutral): “In another strand of research on the global return-liquidity relation, Bekaert, Harvey, and Lundblad (2007) study the time series relation between market liquidity shocks and market returns, following Amihud (2002).”
Strategic default and equity risk across countries (2012, positive): “We also construct the measure Local growth opportunities along the lines of Bekaert et al. (2007) to control for growth opportunities and firms’ outside options.”
Political Risk and International Valuation (2016, neutral): “Finally, the major international financial management textbooks such as Shapiro (2009) and Bekaert and Hodrick (2011) also mention the practice.”
Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia (2009, neutral): “Recently Bekaert et al. (2007) demonstrate a positive effect from the level of openness to foreign investors to liquidity in emerging equity markets.”
Mandatory IFRS Reporting and Changes in Enforcement (2013, neutral): “It is also commonly used, more widely available than spreads because it relies just on returns data, and less affected by marketmicrostructure differences (e.g., Lesmond et al. 1999; Bekaert et al. 2007).”