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題名:The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets
書刊名:臺大管理論叢
作者:Amihud, YakovHameed, AllaudeenKang, WenjinZhang, Huiping
出版日期:2019
卷期:29:1
頁次:頁1-24
主題關鍵詞:IlliquidityIlliquidity premiumInternational stock markets
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:0
  • 點閱點閱:8
期刊論文
1.Stoll, Hans R.、Ho, Thomas S. Y.(1981)。Optimal Dealer Pricing under Transactions and Return Uncertainty。Journal of Financial Economics,9(1),47-73。  new window
2.Karolyi, G. Andrew、Lee, Kuan-Hui、van Dijk, Mathijs A.(2012)。Understanding commonality in liquidity around the world。Journal of Financial Economics,105(1),82-112。  new window
3.Lee, Kuan-Hui(2011)。The World Price of Liquidity Risk。Journal of Financial Economics,99(1),136-161。  new window
4.Amihud, Yakov、Mendelson, Haim(1980)。Dealership Market: Market-making with Inventory。Journal of Financial Economics,8(1),31-53。  new window
5.Ang, A.、Hodrick, R. J.、Xing, Y.、Zhang, X.(2009)。High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence。Journal of Financial Economics,91(1),1-23。  new window
6.Amihud, Y.、Mendelson, H.(1986)。Asset pricing and the bid-ask spread。Journal of Finance Economics,17(2),223-249。  new window
7.Griffin, John M.、Kelly, Patrick J.、Nardari, Federico(2010)。Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets。Review of Financial Studies,23(8),3225-3277。  new window
8.Stoll, Hans R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance,33(4),1133-1151。  new window
9.Goyenko, R. Y.、Holden, C. W.、Trzcinka, C. A.(2009)。Do liquidity measures measure liquidity?。Journal of Financial Economics,92(2),153-181。  new window
10.Brennan, Michael J.、Subrahmanyam, Avanidhar(1996)。Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns。Journal of Financial Economics,41(3),441-464。  new window
11.Amihud, Yakov、Hameed, Allaudeen、Kang, Wenjin、Zhang, Huiping(2015)。The illiquidity premium: International evidence。Journal of Financial Economics,117(2),350-368。  new window
12.Amihud, Y.、Mendelson, H.、Pedersen, L. H.(2006)。Liquidity and asset prices。Foundations and Trends in Finance,1(4),269-364。  new window
13.Asparouhova, E.、Bessembinder, H.、Kalcheva, I.(2010)。Liquidity biases in asset pricing tests。Journal of Financial Economics,96(2),215-237。  new window
14.Asparouhova, E.、Bessembinder, H.、Kalcheva, I.(2013)。Noisy prices and inference regarding returns。Journal of Finance,68(2),665-714。  new window
15.Fong, K. Y. L.、Holden, C. W.、Trzcinka, C. A.(2017)。What are the best liquidity proxies for global research?。Review of Finance,21(4),1355-1401。  new window
16.Hasbrouck, J.(2009)。Trading costs and returns for US equities: Estimating effective costs from daily data。Journal of Finance,64(3),1445-1477。  new window
17.Ince, Ozgur S.、Porter, R. Burt(2006)。Individual equity return data from Thomson Datastream: Handle with care!。Journal of Financial Research,29(4),463-479。  new window
18.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。  new window
19.Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics,14(1),71-100。  new window
20.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
21.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
22.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
23.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
24.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
圖書
1.Amihud, Y.、Mendelson, H.、Pedersen, L. H.(2012)。Market Liquidity: Asset pricing, Risk and Crises。Cambridge, MA:Cambridge University Press。  new window
 
 
 
 
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