The world price of liquidity risk

By Kuan-Hui Lee. 2011

467 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9ef83d91f40631ad7af0c2fc9b02e70df5648145

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Citations in the corpus

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “Our results indicate that firm-level liquidity, as opposed to the firm-level idiosyncratic volatility characteristic, should be the focus of international asset pricing research, echoing the findings of Lee (2011).”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “Kuan-Hui and Lee (2011). The world price of liquidity risk. Journal of Financial Economics 99 (1), 136–161. Kyle, A. S. and W. Xiong (2001). Contagion as a wealth effect. The Journal of Finance 56 (4), 1401–1440. Lesmond, D. A. (2005, August). Liquidity of emerging markets. Journal of Financial Econ”
What Are the Best Liquidity Proxies for Global Research (2017, background): “1 See Stahel (2005), Liang and Wei (2006), Bekaert, Harvey, and Lundblad (2007), Chan, Jain, and Xia (2008), Griffin, Kelly, and Nardari (2010), Hearn, Piesse, and Strange (2010), Griffin, Hirschey, and Kelly (2011), Lee (2011), Asness, Moskowitz, and Pedersen (2013), and Bekaert et al. (2014).”
The Illiquidity Premium: International Evidence (2015, unknown): “Lee (2011), who notes this problem with UK data, resolves it by excluding stocks with a high proportion of zero returns and positive volume.”
Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “8 See, for example, Pastor and Stambaugh (2003), Acharya and Pedersen (2005), Sadka (2006), Korajczyk and Sadka (2008), and Lee (2011).”
Uncertainty, Market Structure, and Liquidity (2014, unknown): “We estimate Di,t using the algorithm in Lee and Ready (1991) and Bessembinder (2003) with no allowance for trade-reporting lag.”
Investor Trading and the Post Earnings Announcement Drift (2011, unknown): “Using the Lee 11 and Ready (1991) and Lee (1992) algorithm, we classify trades into buyer-initiated or seller-initiated trades.”
Does PIN affect equity prices around the world (2014, unknown): “While our results differ from those of Easley, Hvidkjaer, and O’Hara (2002), they are consistent with the findings reported in Mohanram and Rajgopal (2009). Easley, Hvidkjaer, and O’Hara show that PIN is positively associated with excess returns for the sample period between 1983 and 1998 and that t”
Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies (2020, background): “Lee (2011) also suggested that pricing of liquidity risk differs across countries depending on geographic, economic, and political environments.”