Liquidity of emerging markets

By David A. Lesmond. 2005

821 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/84bd37517f6514f2a12e9c69e915cb9de2c40ff7

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Citations in the corpus

Corporate governance reform and risk-taking: Evidence from a quasi-natural experiment in an emerging market (2020, background): “Zero returns occur when the cost of transactions becomes greater than the value of information for the informed trader, therefore reflecting concerns of the liquidity in informed trades on returns of securities (Lesmond, 2005; Bekaert et al., 2007).”
Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance: Portfolio Disclosure, Liquidity, and Fund Performance (2014, neutral): “The coefficients on MFOwn (Mutual Fund Ownership) and ControlOwn (Non-MF Ownership, Hedge Fund Ownership, or Index Fund Ownership) represent the difference-in-differences effect of the ownership variables on changes in liquidity as discussed before in reference to equation (8).”
Transparency and Liquidity Uncertainty in Crisis Periods (2011, background): “Market microstructure is particularly a concern for our measures because they incorporate volume, which may be calculated differently across exchanges [Lesmond (2005)].”
New low-frequency spread measures (2009, positive): “Lesmond (2005) tests quarterly estimates of five liquidity proxies using data from 31 emerging countries.”
Understanding Commonality in Liquidity Around the World (2011, background): “For global markets, Lesmond (2005) shows that the Amihud measure has a high correlation with bid-ask spreads in 23 emerging markets.5 An important advantage of the Amihud liquidity measure is that we can compute it at the daily frequency.6 Many empirical studies rely on the Amihud liquidity measure…”
Do shareholders benefit from green bonds? (2018, neutral): “[Insert Table 5 here] We use Amihud method as our baseline result because Lesmond (2005) suggest Amihud method perform well in cross-country analysis.”
The Cross-Section of Stock Returns in Frontier Emerging Markets (2012, neutral): “We then form investment porfolios on the most and least 22 See Bekaert and Harvey (2003) for an overview on integration and liberalization measures for emerging markets.”
The Illiquidity Premium: International Evidence (2015, neutral): “8 Lesmond (2005) uses data from emerging markets to study the relation between stocks’ bid-ask spread and illiquidity measures obtained from daily data on returns and volume.”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, positive): “Overall, these results are consistent with Han and Lesmond (2011), who posit that price movements between the bid and ask quotes inflate the measured returns resulting in a variance inflation.”
Size, value, and momentum in emerging market stock returns (2013, neutral): “Some pioneering work has already been done by Lesmond (2005) and Bekaert, Harvey, and Lundblad (2007) but no analysis of the relationship between value and momentum returns with liquidity has been provided.”
Price Efficiency and Short Selling (2011, positive): “In fact, the observ ed differences are explained by differences in the characteristics of firms in emerging markets, which tend to be smaller, have less analyst coverage and are more costly to trade than those in developed economie s (Lesmond 2005).”
Political risk spreads (2014, methodology): “The mean spreads range from Political risk spreads Geert Bekaert et al 478 Journal of International Business Studies as little as 108 basis points for China to as large as 1735 basis points for Argentina.”
Stock splits, trading continuity, and the cost of equity capital☆ (2009, methodology): “As Liu (2006) demonstrates, this two-factor LCAPM performs better than Fama and French’s (1996) three-factor model and Pastor and Stambaugh’s (2003) asset pricing model in explaining the cross-section of stock returns.”