Trading activity and expected stock returns

By Tarun Chordia, Avanidhar Subrahmanyam, Ravi, Anshuman, Michael Brennan, R. Huang, Craig M. Lewis, Ananth Madhavan, Ron Masulis, Hans R. Stoll. 2000

897 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/e6958378b25fe28b41cbf966ecb616caaa302524

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

Citations in the corpus

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns (2009, neutral): “TURN is the average share turnover in the past 36 months, constructed in the same way as in Chordia et al. (2001).”
Economic Consequences of SEC Disclosure Regulation: Evidence from the OTC Bulletin Board (2005, neutral): “Prior studies suggest that liquidity is priced in returns (e.g., Amihud and Mendelson, 1986; Brennan et al., 1998; Chordia et al., 2001).”
Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011, neutral): “While there is already a large number of existing studies arguing that trading volume is related to liquidity (e.g. Brennan et al. (1998), Chordia et al. (2001)), the contribution of this ratio is to capture the impact of trading volume on stock price movements and translate it into transaction…”
A Comparison of New Factor Models (2017, background): “Brennan, Michael J., Tarun Chordia, and Avanidhar Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, Journal of Financial Economics 49, 345–373.”
IPO underpricing and after-market liquidity (2006, neutral): “More recently, some studies have investigated also the relationship between liquidity risk and stock returns: while Chordia, Subrahmanyam, and Anshuman (2001) find a negative relationship between returns and the variability of trading volume, Pa´stor and Stambaugh (2003) document a positive cross-”
The diminishing liquidity premium (2015, methodology): “Following Chordia, Subrahmanyam, and Anshuman (2001), Pastor and Stambaugh (2003), Acharya and Pedersen (2005) and Hasbrouck (2006) among others, we restrict attention to common stocks only.”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, neutral): “Chordia et al. (2001) use share turnover as a measure of liquidity and find that the second moment of liquidity actually bears a negative relation to future returns, countering the pricing of liquidity risk.”
Liquidity risk and expected corporate bond returns (2011, background): “Chordia, Subrahmanyam, and Anshuman (2001) uncover a significant crosssectional relation between equity returns and liquidity variability.”
An investigation into the role of liquidity in asset pricing: Australian evidence (2003, methodology): “4 This measure of momentum is equivalent to combining two of the momentum proxies used by Chordia et al (2001), namely, (a) the cumulative return over the two months ending at the beginning of the previous month (‘RET2-3’) and (b) the cumulative return over the three months ending at the beginning…”
Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005, background): “The coefficient of B-share turnover, c2t, is not statistically significant.(14) The positive and significant effect of A-share turnover on A-B premium supports our main hypothesis that A-share investors’ speculative motives contributed a”
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects (2002, neutral): “A number of studies find that cross-sectionally, stock returns are decreasing in stock turnover, which is consistent with a negative relationship between liquidity and expected return (Haugen and Baker, 1996; Datar et al., 1998; Hu, 1997a; Rouwenhorst, 1998; Chordia et al., 2001).”
Stock Market Liquidity and Firm Dividend Policy (2007, neutral): “Existing research has widely used share turnover as a proxy for liquidity; see, for example, Datar, Naik, and Radcliffe (1998) and Chordia, Subrahmanyam, and Anshuman (2001).”
Rain or Shine: Where is the Weather Effect? (2005, neutral): “Chordia et al. (2001) use trading volume as a proxy for market”
Liquidity risk, leverage and long-run IPO returns (2005, background): “The first is statistical: A model with macroeconomic risks has desirable power characteristics under the Radcliffe (1998), Chordia, Subrahmanyam, and Anshuman (2001), Eckbo and Norli (2002), Easley, Hvidkjaer, and O’Hara (2002), and Pastor and Stambaugh (2003).”