Liquidity and Autocorrelations in Individual Stock Returns

By Doron Avramov, Tarun Chordia, Amit Goyal. 2006

467 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ec2b5439529d1e954a46d55c322a81e94a5df683

How researchers see this paper

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

In Accounting

1. Amit Goyal
2. Itay Goldstein
3. Avanidhar Subrahmanyam
4. Craig W. Holden
5. G. Karolyi
6. Zhi Da
7. Amil Dasgupta
8. Stacey Jacobsen

In Economics and Econometrics

1. Avanidhar Subrahmanyam
2. Amit Goyal
3. Zhi Da
4. Ruslan Goyenko
5. Amil Dasgupta
6. Wei Jiang
7. Craig W. Holden
8. G. Karolyi

In Finance

1. Itay Goldstein
2. Avanidhar Subrahmanyam
3. Amit Goyal
4. Craig W. Holden
5. Zhi Da
6. Stacey Jacobsen
7. Wei Jiang
8. G. Karolyi

Citations in the corpus

• Behavioural Finance: A Review and Synthesis (2007, unknown): “For example, while Cooper (1999) suggests that overreaction is the cause of this phenomenon, Avramov et al. (2006) and Gutierrez and Kelley (2006) suggest that part of the phenomenon may be caused by illiquidity-related price reversals. Haugen and Baker (1996) find that the strongest determinants of”
• Overreaction to Intra-Industry Information Transfers? (2008, unknown): “For example, Avramov et al. (2006) argue that price pressure resulting from a large block of trades could induce very-short term price reversals for illiquid stocks.”
• Empirical cross-sectional asset pricing: a survey (2011, background): “Cooper (1999) argues that these patterns are a result of overreaction while Avramov et al. (2006) show the role of illiquidity in explaining these reversals. Jegadeesh and Titman (1993, 2001) demonstrate an even more robust and stronger pattern of return-based strategies. They show that returns base”
• Liquidity and Market Crashes (2009, methodology): “Thus, our model provides an explanation for the positive relation between the average stock return and these variables, which have been documented in several empirical studies (see, for example, Brennan, Chordia, and Subrahmanyam (1998) and Pastor and Stambaugh (2003)).”
• Does herding affect volatility? Implications for the Spanish stock market (2012, background): “( 2006 ), who claim that both herding and contrarian trading have a strong impact on daily volatility.”
• Illiquidity Premia in the Equity Options Market (2018, methodology): “(7) where for each component in equation (7) we sum across institutional and customer orders.”
• Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks (2010, background): “The link between shortrun reversal and liquidity shock has been discussed by Campbell, Grossman, and Wang (1993), Conrad, Hameed, and Niden (1994), and more recently by Avramov, Chordia, and Goyal (2006).”
• Does Public Financial News Resolve Asymmetric Information (2010, background): “Avramov, Chordia, and Goyal (2006) find that volume-induced return reversal increases with stock illiquidity.”
• The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “This finding is subsequently confirmed in Cooper (1999), Subrahmanyam (2005), and Avramov et al. (2006). However, the source of the effect is subject to debate. While Cooper (1999) and Subrahmanyam (2005) suggest that overreaction is the cause of this phenomenon, Avramov et al. (2006) indicate that ”