among categories of size and sector are not significantly different, most of the liquidity measures of smaller companies … of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage … hypothesis that the liquidity of the constituents is increased after the introduction of TTT. Although both changing patterns …

firms after controlling for the industry and geographic momentum effects. After CF return is controlled, industry and … geographic momentum effects become weaker or insignificant. Further evidence suggests the CF momentum spillover effect is related … to limited attention of both analysts and investors. Our findings contribute to the cross-asset momentum literature by …