Matches in SemOpenAlex for { <https://semopenalex.org/work/W4313397805> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W4313397805 endingPage "101876" @default.
- W4313397805 startingPage "101876" @default.
- W4313397805 abstract "We examine the components of stock prices that play a key role in the pricing of the Amihud (2002) illiquidity measure. We first decompose the stock price series into permanent and transitory components and then construct the half-Amihud illiquidity measures on the days of positive and negative permanent price returns. We find that the transitory half-Amihud measure on the days of negative permanent price returns plays an important role in pricing the Amihud illiquidity even after controlling for the turnover ratio. This finding contrasts with that of Lou and Shu (2017) in that both the trading volume component and transitory price impact, drive the Amihud illiquidity premium." @default.
- W4313397805 created "2023-01-06" @default.
- W4313397805 creator A5007797017 @default.
- W4313397805 creator A5021433071 @default.
- W4313397805 date "2023-01-01" @default.
- W4313397805 modified "2023-09-25" @default.
- W4313397805 title "Which stock price component drives the Amihud illiquidity premium?" @default.
- W4313397805 cites W1852525066 @default.
- W4313397805 cites W1979161134 @default.
- W4313397805 cites W2032269423 @default.
- W4313397805 cites W2035606631 @default.
- W4313397805 cites W2046519558 @default.
- W4313397805 cites W2059091353 @default.
- W4313397805 cites W2073684029 @default.
- W4313397805 cites W2101879227 @default.
- W4313397805 cites W2104795328 @default.
- W4313397805 cites W2117178635 @default.
- W4313397805 cites W2125520394 @default.
- W4313397805 cites W2129525919 @default.
- W4313397805 cites W2131177033 @default.
- W4313397805 cites W2157201362 @default.
- W4313397805 cites W2158120228 @default.
- W4313397805 cites W2162009965 @default.
- W4313397805 cites W2166215547 @default.
- W4313397805 cites W2588470703 @default.
- W4313397805 cites W2902236759 @default.
- W4313397805 cites W2944732207 @default.
- W4313397805 cites W3021190191 @default.
- W4313397805 cites W3121401171 @default.
- W4313397805 cites W3121427646 @default.
- W4313397805 cites W3121453935 @default.
- W4313397805 cites W3121630491 @default.
- W4313397805 cites W3121729798 @default.
- W4313397805 cites W3122123464 @default.
- W4313397805 cites W3122448887 @default.
- W4313397805 cites W3122511407 @default.
- W4313397805 cites W3122551880 @default.
- W4313397805 cites W3122910856 @default.
- W4313397805 cites W3123254098 @default.
- W4313397805 cites W3123451865 @default.
- W4313397805 cites W3123663471 @default.
- W4313397805 cites W3124463442 @default.
- W4313397805 cites W3124750780 @default.
- W4313397805 cites W3125050567 @default.
- W4313397805 cites W3126036462 @default.
- W4313397805 cites W3127095711 @default.
- W4313397805 cites W3189641136 @default.
- W4313397805 cites W4206220145 @default.
- W4313397805 doi "https://doi.org/10.1016/j.najef.2022.101876" @default.
- W4313397805 hasPublicationYear "2023" @default.
- W4313397805 type Work @default.
- W4313397805 citedByCount "0" @default.
- W4313397805 crossrefType "journal-article" @default.
- W4313397805 hasAuthorship W4313397805A5007797017 @default.
- W4313397805 hasAuthorship W4313397805A5021433071 @default.
- W4313397805 hasConcept C127413603 @default.
- W4313397805 hasConcept C143724316 @default.
- W4313397805 hasConcept C149782125 @default.
- W4313397805 hasConcept C151730666 @default.
- W4313397805 hasConcept C162324750 @default.
- W4313397805 hasConcept C204036174 @default.
- W4313397805 hasConcept C2988984586 @default.
- W4313397805 hasConcept C556758197 @default.
- W4313397805 hasConcept C78519656 @default.
- W4313397805 hasConcept C86803240 @default.
- W4313397805 hasConceptScore W4313397805C127413603 @default.
- W4313397805 hasConceptScore W4313397805C143724316 @default.
- W4313397805 hasConceptScore W4313397805C149782125 @default.
- W4313397805 hasConceptScore W4313397805C151730666 @default.
- W4313397805 hasConceptScore W4313397805C162324750 @default.
- W4313397805 hasConceptScore W4313397805C204036174 @default.
- W4313397805 hasConceptScore W4313397805C2988984586 @default.
- W4313397805 hasConceptScore W4313397805C556758197 @default.
- W4313397805 hasConceptScore W4313397805C78519656 @default.
- W4313397805 hasConceptScore W4313397805C86803240 @default.
- W4313397805 hasLocation W43133978051 @default.
- W4313397805 hasOpenAccess W4313397805 @default.
- W4313397805 hasPrimaryLocation W43133978051 @default.
- W4313397805 hasRelatedWork W1988513709 @default.
- W4313397805 hasRelatedWork W2009839884 @default.
- W4313397805 hasRelatedWork W2013300584 @default.
- W4313397805 hasRelatedWork W2083029412 @default.
- W4313397805 hasRelatedWork W2116103736 @default.
- W4313397805 hasRelatedWork W2380056389 @default.
- W4313397805 hasRelatedWork W2400851214 @default.
- W4313397805 hasRelatedWork W2899634806 @default.
- W4313397805 hasRelatedWork W3125928691 @default.
- W4313397805 hasRelatedWork W4352990971 @default.
- W4313397805 hasVolume "64" @default.
- W4313397805 isParatext "false" @default.
- W4313397805 isRetracted "false" @default.
- W4313397805 workType "article" @default.