Time-Varying Liquidity Risk and the Cross Section of Stock Returns

By Akiko Watanabe, Masahiro Watanabe. 2008

236 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/f467eff2c19778fd378d694c1f8b6e9a3a3ffe7c

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. Kuan-Hui Lee
2. Shuming Liu
3. Mathijs A. Van Dijk
4. G. Karolyi
5. Christian Leuz
6. Mark H. Lang
7. Mark Maffett
8. Denefa Bostandzic

In Finance

1. Kuan-Hui Lee
2. Shuming Liu
3. Mathijs A. Van Dijk
4. G. Karolyi
5. C. Kaserer
6. C. Rösch
7. Mark H. Lang
8. Mark Maffett

Citations in the corpus

• Do Liquidity Measures Measure Liquidity (2009, unknown): “Sadka (2006), Acharya and Pedersen (2005), Pastor and Stambaugh (2003), and Watanabe and Watanabe (2006) show that various price impact measures are priced.”
• Understanding Commonality in Liquidity Around the World (2011, methodology): “Watanabe and Watanabe (2008) use Amihud liquidity to uncover time-variation in liquidity betas and the liquidity risk premium.”
• Investor Sentiment and Stock Market Liquidity (2015, methodology): “As suggested by Wooldridge [2002], taking first differences would minimize the high serial correlation and trending problems in the data.”
• The world price of liquidity risk (2011, unknown): “…returns in the US market through two different channels, that is, as either a characteristic (Amihud and Mendelson, 1986; Brennan and Subrahmanyam , 1996; Amihud, 2002) or a risk factor (Pá stor and Stambaugh, 2003; Acharya and Pedersen, 2005; Liu, 2006; Sadka, 2006; Watanabe and Watanabe, 2008).”