1,307
Views
0
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

The predictive performance of liquidity risk

& | (Reviewing editor)
Article: 1966194 | Received 05 Aug 2020, Accepted 28 Jul 2021, Published online: 27 Aug 2021

References

  • Ahmed, S., Bu, Z., & Tsvetanov, D. Best of the best: A comparison of factor models. (2019). Journal of Financial and Quantitative Analysis, 54(4), 1713–1758. https://doi.org/10.1017/S0022109018000947
  • Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–14. https://doi.org/10.1016/S1386-4181(01)00024-6
  • Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. https://doi.org/10.1016/0304-405X(86)90065-6
  • Barillas, F., Kan, R., Robotti, C., & Shanken, J. (2020). Model comparison with sharpe ratios. Journal of Financial And. Quantitative Analysis, 55, 1840-1874.https://doi.org/10.1017/S0022109019000589
  • Barillas, F., & Shanken, J. (2017). Which alpha? The Review of Financial Studies, 30(4), 1316–1338. https://doi.org/10.1093/rfs/hhw101
  • Bekaert, G., Harvey, C. R., & Lundblad, C. Liquidity and expected returns: Lessons from emerging markets. (2007). Review of Financial Studies, 20(6), 1783–1831. https://doi.org/10.1093/rfs/hhm030
  • Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative factor specification, security characteristics, and the cross-section of expected stock return. Journal of Financial Economics, 49(3), 345–373. https://doi.org/10.1016/S0304-405X(98)00028-2
  • Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
  • Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid-ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719–760. https://doi.org/10.1111/j.1540-6261.2012.01729.x
  • Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and asset returns: An alternative test. Journal of Financial Markets, 1(2), 203–220. https://doi.org/10.1016/S1386-4181(97)00004-9
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
  • Fama, E. F., & French, K. R. (2016). Dissecting anomalies with a five-factor model. Review of Financial Studies, 29(1), 69–103. https://doi.org/10.1093/rfs/hhv043
  • Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of Financial Economics, 128(2), 234–252. https://doi.org/10.1016/j.jfineco.2018.02.012
  • Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica, 57(5), 1121–1152. https://doi.org/10.2307/1913625
  • Hasbrouck, J. (2009). Trading costs and returns for U.S. equities: Estimating effective costs from daily data. The Journal of Finance, 64(3), 1445–1477. https://doi.org/10.1111/j.1540-6261.2009.01469.x
  • Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. Review of Financial Studies, 28(3), 650–705. https://doi.org/10.1093/rfs/hhu068
  • Hou, K., Xue, C., & Zhang, L., 2017. A comparison of new factor models. Working paper, No. 2015-03-05, Fisher College of Business, U.S.A.
  • Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12(5), 1113–1141. https://doi.org/10.1093/rfs/12.5.1113
  • Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587–615. https://doi.org/10.1111/j.1540-6261.1965.tb02930.x
  • Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631–671. https://doi.org/10.1016/j.jfineco.2005.10.001
  • Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685. https://doi.org/10.1086/374184
  • Sadka, R. (2006). Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80(2), 309–349. https://doi.org/10.1016/j.jfineco.2005.04.005
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x