Avanidhar Subrahmanyam

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Models of price formation in securities markets suggest that privately informed investors create significant illiquidily costs for uninformed investors, implying that the required rates of return should be higher for securities that are relatively illiquid. We investigate the empirical relation between monthly stock returns and measures of illiquity(More)
Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image of(More)
We examine the relation between stock returns, measures of risk, and several non-risk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns. Our primary objective is to determine whether non-risk characteristics have marginal explanatory power relative to the arbitrage pricing theory(More)
Spreads, depths, and trading activity for U.S. equities are studied over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile, negatively serially dependent, and influenced by a variety of factors. Liquidity plummets significantly in down markets but increases weakly in up markets. Trading activity(More)
Default probabilities are important to the credit markets. Changes in default probabilities may forecast credit rating migrations to other rating levels or to default. Such rating changes can affect the firm’s cost of capital, credit spreads, bond returns, and the prices and hedge ratios of credit derivatives. While rating agencies such as Moodys and(More)
  • Xuemin Sterling, Paul Brockman, +13 authors Marti Subrahmanyam
  • 2006
This paper examines the relation between institutions’ investment horizons and their informational roles in the stock market. We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutional investors. Furthermore, we find strong evidence that(More)
Order Imbalance and Individual Stock Returns This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which explicitly considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally choose to split their orders. Price(More)
Brand Perceptions and the Market for Common Stock This paper investigates the effect of company brand perceptions on investor incentives to hold stocks. We find that, after controlling for other postulated determinants of stockholdings, there is a negative and significant cross-sectional relation between percentage institutional holdings and brand(More)