Illiquidity and stock returns: cross-section and time-series effects (J Fin Markets 2002)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Yakov Amihud Illiquidity and stock returns: cross-section and time-series effects J Fin Markets 2002 1 31-56 G12 Liquidity and asset pricing, Liquidity premium

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - - - - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Jozef Drienko, Tom Smith, Anna von Reibnitz A Review of the Return-Illiquidity Relationship Critical Finance Review forthcoming - - G12 Liquidity and asset pricing, Illiquidity risk premium, Flight to liquidity 4 - (new methods & data) 2 - failed (different results) - 2 - partly -

References

DOI: 10.1016/S1386-4181(01)00024-6 IDEAS: a/eee/finmar/v5y2002i1p31-56.html EconPapers: RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56


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