Commonality in Liquidity

By Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam. 2000

1,683 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/90a882376cf227db7361c43260a8fe244bc31771

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Citations in the corpus

Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues (2010, neutral): “Chordia et al. (2001), Jones (2006), and Hameed et al. (2006) document a downward trend in average effective spreads over much of our sample period.”
Information Asymmetry, Diversification, and Cost of Capital (2007, result): “If we interpret the random supply as due to a liquidity effect, then our assumption of systematic components in random supply is supported by empirical studies that find there are systematic components of liquidity; for example, Chordia, Roll, and Subrahmanyam (2000) and Huberman and Hulka (2001).”
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2006, background): “While there is little debate that the liquidity of a security affects its price [e.g., Amihud and Mendelson (1986); and Chordia, Roll, and Subrahmanyam (2000)], the debate has shifted toward determining whether the level of liquidity, the change in liquidity (liquidity risk), or both, have an…”
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. (2005, neutral): “b F− γ and b F+ γ are computed with Equation (6).”
Trading activity, realized volatility and jumps (2010, neutral): “Following Chordia, Roll, and Subrahmanyam (2000), we only retain class A stocks and remove 11 preferred stocks or shares, warrants, rights, derivatives, trusts, closed-end investment companies, American depositary receipts, units, shares of beneficial interest, holdings and realty trusts.”
Internationalization and Stock Market Liquidity (2005, neutral): “While most papers focus only on the ADR market and ignore internationalization in equity markets beyond the U.S., we consider a much broader array of international equity markets.”
Amplification Mechanisms in Liquidity Crises (2009, neutral): “The result of this uncertainty was illiquidity and crisis.(15) (15)While in 1998 hedge funds were still a novel financial vehicle, the large reported losses of the Amaranth hedge fund in 2006”
The Illusory Nature of Momentum Profits (2004, neutral): “This definition follows Chordia et al. (2000). We altered the definition to use the bidask midpoint rather than the price in the denominator (as with the definition of the quoted spread) and found that it makes little difference.”
Liquidity Risk and the Cross-Section of Hedge-Fund Returns (2010, background): “This strand of literature begins with studies showing that rm-speci c liquidity uctuates over time and also that a signi cant systematic, or market-wide component exists to these liquidity uctuations (see, e.g., Chordia, Roll, and Subrahmanyam, 2000, and Amihud, 2002).”
Understanding FX Liquidity (2015, background): “…FX systematic liquidity interacted with a dummy for severely distressed markets 4Lij;t D ˛ij C ˇij LM;t C ij LM;t Dt C "ij;t ; (6) Naik, and Radcliffe 1998; Chordia, Roll, and Subrahmanyam 2000; Chordia, Roll, and Subrahmanyam 2001; Hasbrouck and Seppi 2001; Huberman and Halka 2001; Lesmond 2005).”
Option Market Liquidity: Commonality and Other Characteristics (2010, positive): “The literature on liquidity commonality originated from the seminal work of Chordia, Roll, and Subrahmanyam (2000) (CRS hereafter).”