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Market Frictions, Price Delay, and the Cross-Section of Expected Returns

Hou, Kewei; Moskowitz, Tobias J. - In: Review of Financial Studies 18 (2005) 3, pp. 981-1020

We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its price responds to information. The most delayed firms command a large return premium not explained by size, liquidity, or microstructure effects. Moreover, delay captures part of the...

Persistent link: https://www.econbiz.de/10005743888

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei (contributor); Moskowitz, Tobias J. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001755508

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei (contributor); Moskowitz, Tobias J. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001901898

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei; Moskowitz, Tobias J. - In: The review of financial studies 18 (2005) 3, pp. 981-1020

Persistent link: https://www.econbiz.de/10003133579

Market Frictions, Price Delay, and the Cross-Section of Expected Returns

Hou, Kewei; Moskowitz, Tobias J. - In: The review of financial studies 18 (2013) 3, pp. 981-980

Persistent link: https://www.econbiz.de/10010114563

Market Frictions, Price Delay, and the Cross-Section of Expected Returns

Hou, Kewei; Moskowitz, Tobias J. - In: The review of financial studies 18 (2005) 3, pp. 981-1020

Persistent link: https://www.econbiz.de/10007022900

Market Frictions, Price Delay, and the Cross-Section of Expected Returns

Hou, Kewei - 2014

We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its share price responds to information. The most severely delayed firms command a large return premium that captures the size effect and half the value premium. Moreover, idiosyncratic...

Persistent link: https://www.econbiz.de/10012710262