A5077740586- Financial Markets and Investment Strategies
- Corporate Finance and Governance
- Market Dynamics and Volatility
- Auditing, Earnings Management, Governance
- Monetary Policy and Economic Impact
- Complex Systems and Time Series Analysis
- Credit Risk and Financial Regulations
- Banking stability, regulation, efficiency
- Housing Market and Economics
- Financial Risk and Volatility Modeling
- Stock Market Forecasting Methods
- Financial Reporting and Valuation Research
- Financial Literacy, Pension, Retirement Analysis
- Stochastic processes and financial applications
- Economic theories and models
- Insurance and Financial Risk Management
- Capital Investment and Risk Analysis
- Auction Theory and Applications
- Global Financial Crisis and Policies
- Sports Analytics and Performance
- Fiscal Policies and Political Economy
- Forecasting Techniques and Applications
- Consumer Behavior in Brand Consumption and Identification
- Media, Gender, and Advertising
- Fashion and Cultural Textiles
Emory University
2012-2024
Deakin University
2020
Cornell University
2000-2011
Texas Tech University
2011
New York University
2011
Rutgers, The State University of New Jersey
2011
University of New Orleans
2011
Anderson University - South Carolina
2011
McGill University
2011
Vanderbilt University
1993-2001
ABSTRACT Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, trading activity for U.S. equities over an extended sample. Daily changes in averages are highly volatile negatively serially dependent. Liquidity plummets significantly down markets. Recent volatility induces a decrease spreads. There strong day‐of‐the‐week effects; Fridays accompany significant liquidity, while Tuesdays display...
This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for (bid-ask spread and depth, returns, volatility, order flow in the stock Treasury bond markets). Innovations to market volatility are significantly correlated, implying that common factors drive these markets. Volatility shocks informative predicting shifts liquidity. During crisis periods, monetary expansions associated with increased Moreover, money flows government funds forecast The...
ABSTRACT A growing number of researchers argue that time‐series patterns in returns are due to investor irrationality and thus can be translated into abnormal profits. Continuation short‐term or momentum is one such pattern has defied any rational explanation at odds with market efficiency. This paper shows profits strategies explained by a set lagged macroeconomic variables payoffs disappear once stock adjusted for their predictability based on these variables. Our results provide possible...
This paper finds that trading volume is a significant determinant of the lead‐lag patterns observed in stock returns. Daily and weekly returns on high portfolios lead low portfolios, controlling for firm size. Nonsynchronous or portfolio autocorrelations cannot explain these findings. These arise because respond more slowly to information market The speed adjustment individual stocks confirms Overall, results indicate differential source cross‐autocorrelation short‐horizon
This article develops a framework that applies to single securities test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed vary with firm-level size book-to-market as well macroeconomic variables. With constant beta, none of examined capture any market When vary, value effects are often explained, but explanatory power past return remains robust. The effect captured by model mispricing varies
Traditionally and understandably, the microscope of market microstructure has focused on attributes single assets. Little theoretical attention virtually no empirical work been devoted to common determinants liquidity nor their manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image commonality. Quoted spreads, quoted depth, effective spreads co-move with market- industry-wide After controlling for well-known individual such as volatility, volume,...
ABSTRACT This paper documents a strong relationship between short‐run reversals and stock illiquidity, even after controlling for trading volume. The largest the potential contrarian strategy profits occur in high turnover, low liquidity stocks, as price pressures caused by non‐informational demands immediacy are accommodated. However, smaller than likely transactions costs. lack of profitability fact that overall findings consistent with rational equilibrium paradigms suggest violation...
ABSTRACT This paper establishes a robust link between momentum and credit rating. Momentum profitability is large significant among low‐grade firms, but it nonexistent high‐grade firms. The payoffs documented in the literature are generated by firms that account for less than 4% of overall market capitalization rated payoff differential across rating groups unexplained firm size, age, analyst forecast dispersion, leverage, return volatility, cash flow volatility.
ABSTRACT In statistics, samples are drawn from a population in data‐generating process (DGP). Standard errors measure the uncertainty estimates of parameters. science, evidence is generated to test hypotheses an evidence‐generating (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard (NSEs). study NSEs by letting 164 teams same on data. turn out be sizable, but smaller for more reproducible or higher rated research. Adding peer‐review stages reduces NSEs....
Spreads, depths and trading activity for US equities are studied over an extended time sample. Daily changes in market averages of liquidity highly volatile, negatively serially correlated influenced by a variety factors. Liquidity plummets significantly down markets but increases weakly up markets. Trading either or Recent volatility induces less reduces spreads. There strong day-of-the-week effects; Fridays relatively sluggish while Tuesdays active. Long short term interest rates influence...
Journal Article The Impact of Trades on Daily Volatility Get access Doron Avramov, Avramov R. H. Smith School Business, University Maryland Address Correspondence to Amit Goyal, Goizuela Business School, Emory University, 1300 Clifton Rd., Atlanda, GA 30322, or email amit_goyal@bus.emory. Search for other works by this author on: Oxford Academic Google Scholar Tarun Chordia, Chordia Goizueta Goyal Review Financial Studies, Volume 19, Issue 4, Winter 2006, Pages 1241–1277,...
We focus on an intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, NYSE. Order imbalance increases following market declines and vice versa, which reveals that investors are contrarians in aggregate. imbalances either direction, excess or reduce liquidity. Market-wide returns strongly affected by contemporaneous lagged imbalances. Market reverse themselves after high negative large return days. Even controlling for volume liquidity, imbalance.
Journal Article The Cross-Section of Expected Trading Activity Get access Tarun Chordia, Chordia Goizueta Business School, Emory University Address correspondence to Avanidhar Subrahmanyam, Anderson California at Los Angeles, 110 Westwood Plaza, CA 90095-1481, or e-mail: subra@anderson.ucla.edu. Search for other works by this author on: Oxford Academic Google Scholar Sahn-Wook Huh, Huh Faculty Business, Brock Subrahmanyam School Angeles Review Financial Studies, Volume 20, Issue 3, May 2007,...