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Chordia, Tarun's
Scholarly Papers
Click on the title of any column to sort the table by that
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Aggregate Statistics |
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Total
Downloads
37,462 |
Total
Citations
2,006 |
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1.
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An Empirical Analysis of Stock and Bond Market Liquidity
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Chordia, Tarun
Emory University - Department of Finance
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Posted:
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01 Nov 01
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Last Revised:
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29 Jul 10
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2,830
(1,508)
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134
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Chordia, Tarun
Emory University - Department of Finance
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0
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Chordia, Tarun
Emory University - Department of Finance Sarkar, Asani
Federal Reserve Bank of New York Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
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0
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Chordia, Tarun
Emory University - Department of Finance Sarkar, Asani
Federal Reserve Bank of New York Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
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2,830
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134
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2.
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Predicting Stock Returns
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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Posted:
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27 Jul 03
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Last Revised:
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14 Aug 08
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2,420
(2,032)
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23
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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0
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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2,420
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23
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3.
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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2,276
(2,261)
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219
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Liquidity, spreads, depths, trading activity, transactions data
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4.
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Asset Pricing Models and Financial Market Anomalies
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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Posted:
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08 Dec 03
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Last Revised:
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29 Jul 10
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2,076
(2,663)
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67
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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0
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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0
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
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2,076
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67
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Asset pricing models, size, value, liquidity, momentum, time varying risk
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5.
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Earnings and Price Momentum
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Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
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Posted:
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10 Nov 02
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Last Revised:
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19 Oct 05
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1,714
(3,657)
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48
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Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
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0
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Momentum, post-earnings-announcement-drift, factors
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Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
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1,714
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48
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Momentum, earnings momentum, post-earnings-announcement drift
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6.
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Commonality in Liquidity
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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Posted:
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16 Mar 99
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Last Revised:
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26 Mar 01
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1,670
(3,847)
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301
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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0
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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1,670
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301
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7.
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Momentum and Credit Rating
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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Posted:
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09 Jun 05
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Last Revised:
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26 Feb 08
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1,509
(4,616)
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50
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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| Posted: |
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20 Jan 07
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Last Revised:
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26 Feb 08
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0
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Momentum, asset-pricing anomalies, credit risk
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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1,509
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50
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momentum, credit risk, credit rating
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8.
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Liquidity and Autocorrelations in Individual Stock Returns
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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Posted:
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13 Jun 04
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Last Revised:
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07 Feb 07
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1,477
(4,794)
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64
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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0
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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1,477
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64
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9.
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Liquidity and the Post-Earnings-Announcement Drift
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Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne Sadka, Gil
Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie
Boston College - Carroll School of Management Shivakumar, Lakshmanan
London Business School
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Posted:
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20 Mar 07
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Last Revised:
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11 Nov 11
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1,435
(5,047)
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56
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Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne Sadka, Gil
Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie
Boston College - Carroll School of Management Shivakumar, Lakshmanan
London Business School
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0
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Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
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Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne Sadka, Gil
Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie
Boston College - Carroll School of Management Shivakumar, Lakshmanan
London Business School
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258
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56
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Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
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Chordia, Tarun
Emory University - Department of Finance Sadka, Ronnie
Boston College - Carroll School of Management Goyal, Amit
University of Lausanne Sadka, Gil
Columbia Business School - Accounting, Business Law & Taxation Shivakumar, Lakshmanan
London Business School
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| Posted: |
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20 Mar 07
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Last Revised:
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24 Aug 11
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1,177
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56
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G11, G12, C11
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10.
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Trading Activity and Expected Stock Returns
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Anshuman, V. Ravi
Indian Institute of Management Bangalore
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Posted:
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05 Jul 00
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Last Revised:
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08 Aug 12
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1,406
(5,221)
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121
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Anshuman, V. Ravi
Indian Institute of Management Bangalore
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0
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Anshuman, V. Ravi
Indian Institute of Management Bangalore
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1,406
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121
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11.
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Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
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1,396
(5,294)
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153
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12.
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Chordia, Tarun
Emory University - Department of Finance Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
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1,221
(6,622)
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55
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Market efficiency, liquidity, order imbalance
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13.
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Evidence on the Speed of Convergence to Market Efficiency
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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Posted:
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09 Sep 01
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Last Revised:
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08 Oct 04
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1,194
(6,834)
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56
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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0
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Market efficiency, order imbalances, autocorrelations
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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1,194
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56
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14.
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Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
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1,194
(6,869)
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4
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Earnings momentum; Stock momentum; Post-earnings announcement drift; Macroeconomic factor; Business cycle
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15.
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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| Posted: |
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06 Mar 08
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Last Revised:
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08 Feb 09
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1,086
(8,102)
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26
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credit risk effect, credit rating, asset-pricing anomalies
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16.
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Dispersion in Analysts' Earnings Forecasts and Credit Rating
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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Posted:
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21 Mar 07
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Last Revised:
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19 Mar 09
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982
(9,539)
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17
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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| Posted: |
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26 Feb 08
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Last Revised:
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19 Mar 09
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0
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Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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| Posted: |
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21 Mar 07
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Last Revised:
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09 Jan 08
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982
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17
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Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating
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17.
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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971
(9,690)
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161
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Order Imbalance, Liquidity, Trading Volume, Transactions
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18.
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Anomalies and Financial Distress
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Working Paper Series, FDIC
Government of the United States of America - Division of Research and Statistics Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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Posted:
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21 Apr 10
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Last Revised:
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01 Jul 12
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963
(9,820)
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17
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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0
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asset-pricing anomalies, market efficiency, credit rating, credit risk
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Working Paper Series, FDIC
Government of the United States of America - Division of Research and Statistics Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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4
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17
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
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| Posted: |
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21 Apr 10
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Last Revised:
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04 Apr 12
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959
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17
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asset-pricing anomalies, credit risk, financial distress, downgrades
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19.
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Trading Volume and Cross-Autocorrelations in Stock Returns
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Show Abstracts |
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Versions (2)
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Chordia, Tarun
Emory University - Department of Finance Swaminathan, Bhaskaran
LSV Asset Management
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Posted:
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13 Apr 99
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Last Revised:
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15 Mar 01
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878
(11,327)
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90
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Chordia, Tarun
Emory University - Department of Finance Swaminathan, Bhaskaran
LSV Asset Management
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0
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Chordia, Tarun
Emory University - Department of Finance Swaminathan, Bhaskaran
LSV Asset Management
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878
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90
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20.
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Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
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860
(11,742)
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7
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21.
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The Impact of Trades on Daily Volatility
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Show Abstracts |
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hide multiple versions |
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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Posted:
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21 Mar 04
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Last Revised:
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29 Jul 10
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798
(13,178)
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23
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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0
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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0
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Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne
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798
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23
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asymmetric volatility, informed trades, liquidity based trades
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22.
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Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Chordia, Tarun
Emory University - Department of Finance
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| Posted: |
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19 Mar 09
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Last Revised:
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19 Jan 10
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716
(15,466)
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32
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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds
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23.
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Avramov, Doron
Hebrew University of Jerusalem Chao, John C.
University of Maryland - Robert H. Smith School of Business Chordia, Tarun
Emory University - Department of Finance
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697
(16,116)
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4
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Liquidity, Short Selling, Multifactor Efficiency, Intertemporal Asset Pricing Model, hedging
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24.
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Chordia, Tarun
Emory University - Department of Finance Sarkar, Asani
Federal Reserve Bank of New York Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
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| Posted: |
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24 Sep 07
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Last Revised:
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18 Feb 11
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601
(19,886)
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5
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lead-lag, returns, small stocks, large stocks, microstructure, information
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25.
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
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533
(23,395)
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1
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Microstructure, Order Imbalance, Individual Stock Returns
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26.
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Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Tong, Qing
Singapore Management University - School of Business
|
| Posted: |
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27 Mar 12
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Last Revised:
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22 Apr 13
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507
(25,040)
|
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|
| |
|
| |
Anomalies, market efficiency, cross-section of returns
|
|
|
27.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Huh, Sahn-Wook
State University of New York at Buffalo Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
441
(30,030)
|
55
|
|
| |
|
| |
Volume, Market Efficiency, Liquidity
|
|
|
28.
|
|
|
Brennan, Michael J.
University of California, Los Angeles (UCLA) - Finance Area Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Tong, Qing
Singapore Management University - School of Business
|
| Posted: |
|
05 May 09
|
|
Last Revised:
|
|
08 Mar 12
|
|
431
(30,923)
|
8
|
|
| |
|
| |
Liquidity, Kyle Lambda, Trading costs, Asset pricing
|
|
|
29.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne Tong, Qing
Singapore Management University - School of Business
|
| Posted: |
|
15 Mar 11
|
|
Last Revised:
|
|
19 Aug 11
|
|
429
(31,115)
|
1
|
|
| |
|
| |
Asymmetric Correlations, Downside correlations, Retail Investors
|
|
|
30.
|
|
Inflation Illusion and Post-Earnings-Announcement Drift
|
Show Abstracts |
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Versions (3)
|
hide multiple versions |
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|
Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
|
|
Posted:
|
|
07 Jan 05
|
|
Last Revised:
|
|
11 Nov 11
|
|
420
(31,978)
|
47
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
|
|
21
|
47
|
|
| |
|
| |
|
|
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
|
|
0
|
|
|
| |
|
| |
Inflation illusion, earnings momentum, post-earnings-announcement drift, market efficiency
|
|
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School
|
|
399
|
47
|
|
| |
|
| |
inflation illusion, money illusion, post-earnings-announcement drift, earnings momentum, market efficiency
|
|
|
|
|
|
31.
|
|
|
Hirshleifer, David A.
University of California, Irvine - Paul Merage School of Business Chordia, Tarun
Emory University - Department of Finance Lim, Sonya S.
DePaul University - Department of Finance
|
|
419
(32,093)
|
4
|
|
| |
|
| |
|
|
|
32.
|
|
True Spreads and Equilibrium Prices
|
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|
hide multiple versions |
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|
Ball, Clifford A.
Vanderbilt University - Finance Chordia, Tarun
Emory University - Department of Finance
|
|
Posted:
|
|
08 Aug 99
|
|
Last Revised:
|
|
17 Nov 12
|
|
385
(35,676)
|
19
|
|
|
|
|
Ball, Clifford A.
Vanderbilt University - Finance Chordia, Tarun
Emory University - Department of Finance
|
|
0
|
|
|
| |
|
| |
Tick size, Rounding, Discretization, Monte Carlo Markov Chain, Gibbs sampler, Market Microstructure
|
|
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Ball, Clifford A.
Vanderbilt University - Finance
|
|
385
|
19
|
|
| |
|
| |
|
|
|
|
|
|
33.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
| Posted: |
|
31 Oct 10
|
|
Last Revised:
|
|
29 May 12
|
|
376
(36,750)
|
22
|
|
| |
|
| |
Trading Volume, Market Quality, Trading Costs, Efficiency
|
|
|
34.
|
|
|
Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance
|
|
374
(36,988)
|
4
|
|
| |
|
| |
|
|
|
35.
|
|
Theory-Based Illiquidity and Asset Pricing
|
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|
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|
Chordia, Tarun
Emory University - Department of Finance Huh, Sahn-Wook
State University of New York at Buffalo Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
Posted:
|
|
21 Nov 08
|
|
Last Revised:
|
|
29 Jul 10
|
|
365
(38,106)
|
20
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Huh, Sahn-Wook
State University of New York at Buffalo Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
0
|
|
|
| |
|
| |
G12, G14
|
|
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Huh, Sahn-Wook
State University of New York at Buffalo Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
365
|
20
|
|
| |
|
| |
illiquidity, Kyle lambda, theory-based illiquidity, asset pricing
|
|
|
|
|
|
36.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Goyal, Amit
University of Lausanne Jegadeesh, Narasimhan
Emory University - Department of Finance
|
| Posted: |
|
23 Aug 11
|
|
Last Revised:
|
|
07 Oct 11
|
|
257
(57,376)
|
1
|
|
| |
|
| |
Order imbalance, disposition effect, tax-loss selling
|
|
|
37.
|
|
|
Avramov, Doron
Hebrew University of Jerusalem Chordia, Tarun
Emory University - Department of Finance Jostova, Gergana
George Washington University - Department of Finance Philipov, Alexander
George Mason University - Finance Area
|
| Posted: |
|
27 Jun 12
|
|
Last Revised:
|
|
15 Sep 12
|
|
98
(137,008)
|
1
|
|
| |
|
| |
sovereign credit risk, credit rating, emerging markets, international asset-pricing, market efficiency
|
|
|
38.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Swaminathan, Bhaskaran
LSV Asset Management
|
|
35
(230,698)
|
84
|
|
| |
|
| |
|
|
|
39.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Shivakumar, Lakshmanan
London Business School Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
26
(254,849)
|
6
|
|
| |
|
| |
|
|
|
40.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
|
|
|
| |
|
| |
Order Imbalance, Inventory Models, Market Makers, Autocorrelation in Order Flow
|
|
|
41.
|
|
|
Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
|
|
|
|
|
| |
|
| |
Market Order Imbalance, Liquidity, Trading Volume, Contrarian
|
|
|
42.
|
|
|
Shivakumar, Lakshmanan
London Business School Chordia, Tarun
Emory University - Department of Finance
|
|
|
|
|
| |
|
| |
Momentum, business cycle, time-varying expected returns
|
|
|
43.
|
|
Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence
|
Show Abstracts |
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Versions (2)
|
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|
Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
Posted:
|
|
25 Aug 98
|
|
Last Revised:
|
|
06 Sep 99
|
|
|
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
|
Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
44.
|
|
|
Chordia, Tarun
Emory University - Department of Finance
|
|
|
|
|
| |
|
| |
|
|
|
45.
|
|
|
Brennan, Michael J.
University of California, Los Angeles (UCLA) - Finance Area Chordia, Tarun
Emory University - Department of Finance Subrahmanyam, Avanidhar
University of California, Los Angeles (UCLA) - Finance Area
|
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