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Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium.Expand
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Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
New tests are presented on the effects of stock illiquidity on stock return. Over time, expected market illiquidity positively affects ex ante stock excess return (usually called â¬Srisk premiumâ¬?).Expand
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Risk Reduction as a Managerial Motive for Conglomerate Mergers
A conglomerate merger generally leads, through the diversification effect, to reduced risk for the combined entity. As is well known, in perfect capital markets such risk reduction will not beExpand
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Trading Mechanisms and Stock Returns: An Empirical Investigation
This paper examines the effects of the mechanism by which securities are traded on their price behavior. We compare the behavior of open-to-open and close-to-close returns on NYSE stocks, given theExpand
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Mutual Fund's R^2 as Predictor of Performance
We propose that fund performance can be predicted by its R-super-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-super-2 indicates greater selectivity, and itExpand
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Liquidity, Maturity, and the Yields on U.S. Treasury Securities
The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than six months). TheExpand
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Liquidity and Asset Prices
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity andExpand
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Predictive Regressions: A Reduced-Bias Estimation Method
Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error seriesExpand
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Creditor Rights and Corporate Risk-Taking
We propose that stronger creditor rights in bankruptcy affect corporate investment choice by reducing corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induceExpand
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Liquidity Risk of Corporate Bond Returns: A Conditional Approach
We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks haveExpand
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