Long-term reversal and value effects: the role of liquidity risk

References

• Acharya, V. V., and L. H. Pedersen. 2005. “Asset Pricing with Liquidity Risk.” Journal of Financial Economics 77 (2): 375–410. doi:10.1016/j.jfineco.2004.06.007.
   Web of Science ®Google Scholar
• Adrian, T., and H. S. Shin. 2010. “Liquidity and Leverage.” Journal of Financial Intermediation 19 (3): 418–437. doi:10.1016/j.jfi.2008.12.002.
   Web of Science ®Google Scholar
• Adrian, T., E. Etula, and T. Muir. 2014. “Financial Intermediaries and the Cross‐section of Asset Returns.” The Journal of Finance 69 (6): 2557–2596. doi:10.1111/jofi.12189.
   Web of Science ®Google Scholar
• Amihud, Y., and H. Mendelson. 1986. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics 17 (2): 223–249. doi:10.1016/0304-405X(86)90065-6.
   Web of Science ®Google Scholar
• Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time Series Effects.” Journal of Financial Markets 5 (1): 31–56. doi:10.1016/S1386-4181(01)00024-6.
   Web of Science ®Google Scholar
• Amihud, Y., and H. Mendelson. 2012. “Liquidity, the Value of the Firm, and Corporate Finance.” Journal of Applied Corporate Finance 24 (1): 17–32. doi:10.1111/j.1745-6622.2012.00362.x.
   Google Scholar
• Amihud, Y., A. Hameed, W. Kang, and H. Zhang. 2015. “The Illiquidity Premium: International Evidence.” Journal of Financial Economics 117 (2): 350–368. doi:10.1016/j.jfineco.2015.04.005.
   Web of Science ®Google Scholar
• Asness, C. S., J. M. Liew, and R. L. Stevens. 1997. “Parallels Between the Cross-Sectional Predictability of Stock and Country Returns.” Journal of Portfolio Management 23 (3): 79–87. doi:10.3905/jpm.1997.409606.
   Web of Science ®Google Scholar
• Asness, C. S., T. J. Moskowitz, and L. H. Pedersen. 2013. “Value and Momentum Everywhere.” The Journal of Finance 68 (3): 929–985. doi:10.1111/jofi.12021.
   Web of Science ®Google Scholar
• Avramov, D., T. Chordia, and A. Goyal. 2006. “Liquidity and Autocorrelation of Individual Stock Returns.” The Journal of Finance 61 (5): 2365–2394. doi:10.1111/j.1540-6261.2006.01060.x.
   Web of Science ®Google Scholar
• Bali, T. G., A. Subrahmanyam, and Q. Wen. 2021. “Long-Term Reversals in the Corporate Bond Market.” Journal of Financial Economics 139 (2): 656–677. doi:10.1016/j.jfineco.2020.08.007.
   Web of Science ®Google Scholar
• Ball, R., and P. Brown. 1968. “An Empirical Evaluation of Accounting Income Numbers.” Journal of Accounting Research 6 (2): 159–178. doi:10.2307/2490232.
   Web of Science ®Google Scholar
• Bao, J., J. Pan, and J. Wang. 2011. “The Illiquidity of Corporate Bonds.” The Journal of Finance 66 (3): 911–946. doi:10.1111/j.1540-6261.2011.01655.x.
   Web of Science ®Google Scholar
• Brennan, M. J., and A. Subrahmanyam. 1996. “Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns.” Journal of Financial Economics 41 (3): 441–464. doi:10.1016/0304-405X(95)00870-K.
   Web of Science ®Google Scholar
• Brennan, M. J., T. Chordia, A. Subrahmanyam, and Q. Tong. 2012. “Sell-Order Liquidity and the Cross-Section of Expected Stock Returns.” Journal of Financial Economics 105 (3): 523–541. doi:10.1016/j.jfineco.2012.04.006.
   Web of Science ®Google Scholar
• Brunnermeier, M. K. 2009. “Deciphering the Liquidity and Credit Crunch 2007-2008.” Journal of Economic Perspectives 23 (1): 77–100. doi:10.1257/jep.23.1.77.
   PubMed Web of Science ®Google Scholar
• Brunnermeier, M. K., and L. H. Pedersen. 2009. “Market Liquidity and Funding Liquidity.” The Review of Financial Studies 22 (6): 2201–2238. doi:10.1093/rfs/hhn098.
   Web of Science ®Google Scholar
• Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
   Web of Science ®Google Scholar
• Cheng, S., A. Hameed, A. Subrahmanyam, and S. Titman. 2017. “Short-Term Reversals: The Effects of Past Returns and Institutional Exits.” Journal of Financial and Quantitative Analysis 52 (1): 143–173. doi:10.1017/S0022109016000958.
   Web of Science ®Google Scholar
• Corwin, S. A., and P. Schultz. 2012. “A Simple Way to Estimate Bid‐ask Spreads from Daily High and Low Prices.” The Journal of Finance 67 (2): 719–760. doi:10.1111/j.1540-6261.2012.01729.x.
   Web of Science ®Google Scholar
• Daniel, K., and S. Titman. 2006. “Market Reactions to Tangible and Intangible Information.” The Journal of Finance 61 (4): 1605–1643. doi:10.1111/j.1540-6261.2006.00884.x.
   Web of Science ®Google Scholar
• De Bondt, W. F., and R. Thaler. 1985. “Does the Stock Market Overreact?” The Journal of Finance 40 (3): 793–805. doi:10.1111/j.1540-6261.1985.tb05004.x.
   Web of Science ®Google Scholar
• Duffie, D. 2010. “Presidential Address: Asset Price Dynamics with Slow‐moving Capital.” The Journal of Finance 65 (4): 1237–1267. doi:10.1111/j.1540-6261.2010.01569.x.
   Web of Science ®Google Scholar
• Fama, E. F., and J. D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” The Journal of Political Economy 81 (3): 607–636. doi:10.1086/260061.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1992. “The Cross‐section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1995. “Size and Book-To-Market Factors in Earnings and Returns.” The Journal of Finance 50 (1): 131–156. doi:10.1111/j.1540-6261.1995.tb05169.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51 (1): 55–84. doi:10.1111/j.1540-6261.1996.tb05202.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010.
   Web of Science ®Google Scholar
• Garleanu, N., and L. H. Pedersen. 2007. “Liquidity and Risk Management.” The American Economic Review 97 (2): 193–197. doi:10.1257/aer.97.2.193.
   Web of Science ®Google Scholar
• Gerakos, J., and J. T. Linnainmaa. 2018. “Decomposing Value.” The Review of Financial Studies 31 (5): 1825–1854.
   Web of Science ®Google Scholar
• Guijarro, F., I. Moya-Clemente, and J. Saleemi. 2021. “Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis Through Microblogging Data.” Journal of Risk and Financial Management 14 (9): 1–12. doi:10.3390/jrfm14090394.
   Web of Science ®Google Scholar
• Guo, L., D. Lien, M. Hao, and H. Zhang. 2017. “Uncertainty and Liquidity in Corporate Bond Market.” Applied Economics 49 (47): 4760–4781.
   Web of Science ®Google Scholar
• Gutierrez, C. R., Jr., and C. A. Prinsky. 2007. “Momentum, Reversal, and the Trading Behaviors of Institutions.” Journal of Financial Markets 10 (1): 48–75. doi:10.1016/j.finmar.2006.09.002.
   Web of Science ®Google Scholar
• Hameed, A., W. Kang, and S. Viswanathan. 2010. “Stock Market Declines and Liquidity.” The Journal of Finance 65 (1): 257–293.
   Web of Science ®Google Scholar
• Hameed, A., and G. M. Mian. 2015. “Industries and Stock Return Reversals.” Journal of Financial and Quantitative Analysis 50 (1–2): 89–117. doi:10.1017/S0022109014000404.
   Web of Science ®Google Scholar
• He, Z., B. Kelly, and A. Manela. 2017. “Intermediary Asset Pricing: New Evidence from Many Asset Classes.” Journal of Financial Economics 126 (1): 1–35. doi:10.1016/j.jfineco.2017.08.002.
   Web of Science ®Google Scholar
• Jegadeesh, N. 1990. “Evidence of Predictable Behavior of Security Returns.” The Journal of Finance 45 (3): 881–898. doi:10.1111/j.1540-6261.1990.tb05110.x.
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48 (1): 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
   Web of Science ®Google Scholar
• Kim, S. H., and K. H. Lee. 2014. “Pricing of Liquidity Risks: Evidence from Multiple Liquidity Measures.” Journal of Empirical Finance 25: 112–133. doi:10.1016/j.jempfin.2013.11.008.
   Web of Science ®Google Scholar
• Lakonishok, J., A. Shleifer, and R. W. Vishny. 1994. “Contrarian Investment, Extrapolation, and Risk.” The Journal of Finance 49 (5): 1541–1578. doi:10.1111/j.1540-6261.1994.tb04772.x.
   Web of Science ®Google Scholar
• Lehmann, B. N. 1990. “Fads, Martingales, and Market Efficiency.” The Quarterly Journal of Economics 105 (1): 1–28. doi:10.2307/2937816.
   Web of Science ®Google Scholar
• Lesmond, D. A. 2005. “Liquidity of Emerging Markets.” Journal of Financial Economics 77 (2): 411–452. doi:10.1016/j.jfineco.2004.01.005.
   Web of Science ®Google Scholar
• Liu, W. 2006. “A Liquidity-Augmented Capital Asset Pricing Model.” Journal of Financial Economics 82 (3): 631–671. doi:10.1016/j.jfineco.2005.10.001.
   Web of Science ®Google Scholar
• Majeed, M. A., and C. Yan. 2022. “Financial Statement Comparability and Stock Liquidity: Evidence from China.” Applied Economics 1–18. doi:10.1080/00036846.2022.2047597.
   Web of Science ®Google Scholar
• Nagel, S. 2012. “Evaporating Liquidity.” The Review of Financial Studies 25 (7): 2005–2039. doi:10.1093/rfs/hhs066.
   Web of Science ®Google Scholar
• Newey, W., and K. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.
   Web of Science ®Google Scholar
• Pastor, L., and R. F. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” The Journal of Political Economy 111 (3): 642–685. doi:10.1086/374184.
   Web of Science ®Google Scholar
• Ritter, J., and N. Chopra. 1989. “Portfolio Rebalancing and the Turn-Of-The-Year Effect.” The Journal of Finance 44 (1): 149–166. doi:10.1111/j.1540-6261.1989.tb02409.x.
   Web of Science ®Google Scholar
• Roll, R. 1984. “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.” The Journal of Finance 39 (4): 1127–1139. doi:10.1111/j.1540-6261.1984.tb03897.x.
   Web of Science ®Google Scholar
• Sadka, R. 2006. “Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk.” Journal of Financial Economics 80 (2): 309–349. doi:10.1016/j.jfineco.2005.04.005.
   Web of Science ®Google Scholar
• Saleemi, J. 2020. “An Estimation of Cost-Based Market Liquidity from Daily High, Low and Close Prices.” Finance, Markets and Valuation 6 (2): 1–11. doi:10.46503/VUTL1758.
   Google Scholar
• Vayanos, D., and J. Wang. 2013. “Market Liquidity — Theory and Empirical Evidence.” Handbook of the Economics of Finance 2: 1289–1361.
   Google Scholar