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Liquidity risk and stock returns around the world

Liang, Samuel Xin; Wei, John K.C. - In: Journal of Banking & Finance 36 (2012) 12, pp. 3274-3288

The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing...

Persistent link: https://www.econbiz.de/10010580924

Investibility and return volatility

Bae, Kee-Hong; Chan, Kalok; Ng, Angela - In: Journal of Financial Economics 71 (2004) 2, pp. 239-263

Persistent link: https://www.econbiz.de/10005477945

Editor's note

Chan, Kalok; Rhee, S. Ghon - In: Pacific-Basin Finance Journal 14 (2006) 3, pp. i-i

Persistent link: https://www.econbiz.de/10005372455

Stock price synchronicity and analyst coverage in emerging markets

Chan, Kalok; Hameed, Allaudeen - In: Journal of Financial Economics 80 (2006) 1, pp. 115-147

Persistent link: https://www.econbiz.de/10005376542

An empirical examination of information, differences of opinion, and trading activity

Bessembinder, Hendrik; Chan, Kalok; Seguin, Paul J. - In: Journal of Financial Economics 40 (1996) 1, pp. 105-134

Persistent link: https://www.econbiz.de/10005376556

Trade size, order imbalance, and the volatility-volume relation

Chan, Kalok; Fong, Wai-Ming - In: Journal of Financial Economics 57 (2000) 2, pp. 247-273

Persistent link: https://www.econbiz.de/10005376684

Tick size change and liquidity provision on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi - In: Journal of the Japanese and International Economies 21 (2007) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10005377370

Preface

Chan, Kalok; Karolyi, Andrew; Rhee, S. Ghon - In: Pacific-Basin Finance Journal 8 (2000) 2, pp. i-v

Persistent link: https://www.econbiz.de/10005462351

Are there rational speculative bubbles in Asian stock markets?

Chan, Kalok; McQueen, Grant; Thorley, Steven - In: Pacific-Basin Finance Journal 6 (1998) 1-2, pp. 125-151

Persistent link: https://www.econbiz.de/10005462362

The profitability of index futures arbitrage: Evidence from bid‐ask quotes

Kee‐Hong Bae; Chan, Kalok; Yan‐Leung Cheung - In: Journal of Futures Markets 18 (1998) 7, pp. 743-763

Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that...

Persistent link: https://www.econbiz.de/10011197484