• Publications
  • Influence
The Cross-Section of Expected Trading Activity
This paper studies cross-sectional variations in stock trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of thirty-six years. Our theoretical frameworkExpand
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An Analysis of the Amihud Illiquidity Premium
This paper analyzes the Amihud (2002) measure of illiquidity and its role in asset pricing. It is shown first that the effect of illiquidity on asset pricing is clarified by using the turnoverExpand
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Theory-Based Illiquidity and Asset Pricing
Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approachExpand
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Dynamic Factors and Asset Pricing
This study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate anExpand
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High-Frequency Measures of Informed Trading and Corporate Announcements
We explore the dynamics of informed trading around corporate announcements of merger bids, dividend initiations, SEOs, and quarterly earnings by calculating daily posterior probabilities of informedExpand
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Asymmetric Effects of Informed Trading on the Cost of Equity Capital
We decompose PIN, the probability of informed trading, into good-news (PIN_G) and bad-news (PIN_B) components, which we estimate at a quarterly frequency. We first assess the validity of PIN as aExpand
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Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements
In this study, we employ order imbalance measures to provide evidence that there is cross-sectional heterogeneity in investor reactions to seasoned equity offerings (SEOs). The normally positiveExpand
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Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests
TLDR
We propose a unified set of distance-based performance metrics that address the power and extreme-error problems inherent in traditional measures for asset-pricing tests. Expand
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Price Impact and Asset Pricing
  • S. Huh
  • Economics
  • 10 February 2013
Using intradaily order flows processed via the Lee and Ready (1991) algorithm for NYSE/AMEX-listed stocks over the past 27 years, I estimate a set of price-impact parameters. The results provideExpand
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