Lin, Ji-Chai; Singh, Ajai K.; Sun, Ping-Wen; Yu, Wen - In: Journal of Financial Markets 17 (2014) C, pp. 150-173
Hou and Moskowitz (2005) document that common stocks with more price delay in reflecting information yield higher returns and that the delay premium cannot be explained by the CAPM, Fama-French three-factor model, or Carhart's four-factor model. It cannot be explained by conventional liquidity...