Matches in SemOpenAlex for { <https://semopenalex.org/work/W2252977894> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W2252977894 abstract "This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 through 1999, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 percent annually, adjusted for exposures to the market return as well as size, value, and momentum factors. Furthermore, a liquidity risk factor accounts for half of the profits to a momentum strategy over the same 34-year period." @default.
- W2252977894 created "2016-06-24" @default.
- W2252977894 creator A5023702151 @default.
- W2252977894 creator A5078912696 @default.
- W2252977894 date "2003-07-22" @default.
- W2252977894 modified "2023-09-26" @default.
- W2252977894 title "Liquidity Risk and Expect Stock Returns" @default.
- W2252977894 hasPublicationYear "2003" @default.
- W2252977894 type Work @default.
- W2252977894 sameAs 2252977894 @default.
- W2252977894 citedByCount "7" @default.
- W2252977894 countsByYear W22529778942012 @default.
- W2252977894 countsByYear W22529778942014 @default.
- W2252977894 countsByYear W22529778942016 @default.
- W2252977894 countsByYear W22529778942017 @default.
- W2252977894 crossrefType "posted-content" @default.
- W2252977894 hasAuthorship W2252977894A5023702151 @default.
- W2252977894 hasAuthorship W2252977894A5078912696 @default.
- W2252977894 hasConcept C106159729 @default.
- W2252977894 hasConcept C127413603 @default.
- W2252977894 hasConcept C149782125 @default.
- W2252977894 hasConcept C162324750 @default.
- W2252977894 hasConcept C176923680 @default.
- W2252977894 hasConcept C181236170 @default.
- W2252977894 hasConcept C183582576 @default.
- W2252977894 hasConcept C189259953 @default.
- W2252977894 hasConcept C204036174 @default.
- W2252977894 hasConcept C204468989 @default.
- W2252977894 hasConcept C556758197 @default.
- W2252977894 hasConcept C78519656 @default.
- W2252977894 hasConceptScore W2252977894C106159729 @default.
- W2252977894 hasConceptScore W2252977894C127413603 @default.
- W2252977894 hasConceptScore W2252977894C149782125 @default.
- W2252977894 hasConceptScore W2252977894C162324750 @default.
- W2252977894 hasConceptScore W2252977894C176923680 @default.
- W2252977894 hasConceptScore W2252977894C181236170 @default.
- W2252977894 hasConceptScore W2252977894C183582576 @default.
- W2252977894 hasConceptScore W2252977894C189259953 @default.
- W2252977894 hasConceptScore W2252977894C204036174 @default.
- W2252977894 hasConceptScore W2252977894C204468989 @default.
- W2252977894 hasConceptScore W2252977894C556758197 @default.
- W2252977894 hasConceptScore W2252977894C78519656 @default.
- W2252977894 hasLocation W22529778941 @default.
- W2252977894 hasOpenAccess W2252977894 @default.
- W2252977894 hasPrimaryLocation W22529778941 @default.
- W2252977894 hasRelatedWork W1730771511 @default.
- W2252977894 hasRelatedWork W1800062410 @default.
- W2252977894 hasRelatedWork W1957223599 @default.
- W2252977894 hasRelatedWork W1992582290 @default.
- W2252977894 hasRelatedWork W1995834279 @default.
- W2252977894 hasRelatedWork W2113305199 @default.
- W2252977894 hasRelatedWork W2125520394 @default.
- W2252977894 hasRelatedWork W2136120210 @default.
- W2252977894 hasRelatedWork W2166215547 @default.
- W2252977894 hasRelatedWork W2242052114 @default.
- W2252977894 hasRelatedWork W2242054984 @default.
- W2252977894 hasRelatedWork W2277843642 @default.
- W2252977894 hasRelatedWork W2621474106 @default.
- W2252977894 hasRelatedWork W2800810464 @default.
- W2252977894 hasRelatedWork W2963435549 @default.
- W2252977894 hasRelatedWork W3021190191 @default.
- W2252977894 hasRelatedWork W3121630491 @default.
- W2252977894 hasRelatedWork W3122081398 @default.
- W2252977894 hasRelatedWork W3134283868 @default.
- W2252977894 hasRelatedWork W54507764 @default.
- W2252977894 isParatext "false" @default.
- W2252977894 isRetracted "false" @default.
- W2252977894 magId "2252977894" @default.
- W2252977894 workType "article" @default.