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

Amihud, Yakov; Noh, Joonki - In: The review of financial studies 34 (2021) 4, pp. 2101-2123

Persistent link: https://www.econbiz.de/10012504735

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 : A Revisit

Amihud, Yakov - 2018

This paper explains and extends my 2002 paper. It presents a return factor of illiquid-minus-liquid stocks, called IML, which provides a time series of the illiquidity premium. The risk-adjusted predicted return on IML is lower in the period that follows my 2002 paper but it is still...

Persistent link: https://www.econbiz.de/10012910390