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Illiquidity and stock returns : cross-section and time-series effects

Amihud, Yakov - In: Journal of financial markets 5 (2002) 1, pp. 31-56

Persistent link: https://www.econbiz.de/10001657094

The value of trading consolidation : evidence from the exercise of warrants

Amihud, Yakov (contributor); Lauterbach, Beni (contributor); … - 2002 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001656870

The value of trading consolidation : evidence from the exercise of warrants

Amihud, Yakov; Lauterbach, Beni; Mendelson, Haim - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 829-846

Persistent link: https://www.econbiz.de/10001859288

Intermarket competition and stock returns : evidence from NYSE-listed stocks

Amihud, Yakov (contributor); Mendelson, Haim (contributor) - 2004 - [Elektronische Ressource],

Persistent link: https://www.econbiz.de/10002496902

The value of trading consolidation : evidence from the exercise of warrants

Amihud, Yakov; Lauterbach, Beni; Mendelson, Haim - 2002

Persistent link: https://www.econbiz.de/10001682380

Illiquidity and Stock Returns II : Cross-Section and Time-Series Effects

Amihud, Yakov - 2020

Lou and Shu decompose Amihud's illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this...

Persistent link: https://www.econbiz.de/10012852703