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A market microstructure view of the informational efficiency of security prices
Schwartz, Robert A. - In: The journal of portfolio management : JPM 47 (2021) 8, pp. 75-84
Persistent link: https://www.econbiz.de/10012613445
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Resiliency and Stock Returns
Hua, Jian - 2020
We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The...
Persistent link: https://www.econbiz.de/10012851808
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Resiliency and stock returns
Hua, Jian; Peng, Lin; Schwartz, Robert A.; Alan, Nazli Sila - In: The review of financial studies 33 (2020) 2, pp. 747-782
Persistent link: https://www.econbiz.de/10012197991
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Liquidity, markets and trading in action : an interdisciplinary perspective
Ozenbas, Deniz; Pagano, Michael S.; Schwartz, Robert A.; … - 2022
Persistent link: https://www.econbiz.de/10012546626
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Liquidity, markets and trading in action : an interdisciplinary perspective
Ozenbas, Deniz; Pagano, Michael S.; Schwartz, Robert A.; … - 2022 - 1st ed. 2022.
Chapter 1: Economics and the Equity Market: A Microeconomics Course Application -- Chapter 2: Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application -- Chapter 3: Liquidity and the Impact of Information Shocks: A Macroeconomics Course Application -- Chapter...
Persistent link: https://www.econbiz.de/10012814615