Tarun Chordia

Emory University - Department of Finance

Associate Professor

Atlanta, GA 30322-2710

United States

SCHOLARLY PAPERS

58

DOWNLOADS
Rank 233

SSRN RANKINGS

Top 233

in Total Papers Downloads

56,490

CITATIONS
Rank 127

SSRN RANKINGS

Top 127

in Total Papers Citations

2,279

Scholarly Papers (58)

An Empirical Analysis of Stock and Bond Market Liquidity

FRB NY Staff Report No. 164
Number of pages: 61 Posted: 01 Nov 2001
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 3,268 (2,900)
Citation 135

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An Empirical Analysis of Stock and Bond Market Liquidity

Review of Financial Studies, Forthcoming
Posted: 29 Mar 2004
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area

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An Empirical Analysis of Stock and Bond Market Liquidity

The Review of Financial Studies, Vol. 18, Issue 1, pp. 85-129, 2005
Posted: 29 Feb 2008
Tarun Chordia
Emory University - Department of Finance

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2.
Downloads 2,864 ( 3,697)
Citation 21

Predicting Stock Returns

Number of pages: 58 Posted: 27 Jul 2003
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 2,864 (3,626)
Citation 21

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Predicting Stock Returns

Journal of Financial Economics, Forthcoming
Posted: 01 Aug 2005
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

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3.

Market Liquidity and Trading Activity

Eleventh Annual Utah Winter Conference
Number of pages: 45 Posted: 24 Aug 2000
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,781 (3,892)
Citation 229

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Liquidity, spreads, depths, trading activity, transactions data

4.
Downloads 2,577 ( 4,426)
Citation 75

Asset Pricing Models and Financial Market Anomalies

Number of pages: 56 Posted: 08 Dec 2003
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 2,577 (4,330)
Citation 75

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Asset pricing models, size, value, liquidity, momentum, time varying risk

Asset Pricing Models and Financial Market Anomalies

Review of Financial Studies, Forthcoming
Posted: 22 May 2005
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

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Asset Pricing Models and Financial Market Anomalies

The Review of Financial Studies, Vol. 19, Issue 3, pp. 1001-1040, 2006
Posted: 29 Feb 2008
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

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5.
Downloads 2,227 ( 5,660)

Earnings and Price Momentum

AFA 2003 Washington, DC Meetings
Number of pages: 46 Posted: 10 Nov 2002
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 2,227 (5,545)
Citation 46

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Momentum, earnings momentum, post-earnings-announcement drift

Earnings and Price Momentum

Journal of Financial Economics, Forthcoming
Posted: 02 Jun 2005
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School

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Momentum, post-earnings-announcement-drift, factors

6.

p-Hacking: Evidence from Two Million Trading Strategies

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 53 Posted: 14 Aug 2017 Last Revised: 20 Apr 2018
Tarun Chordia, Amit Goyal and Alessio Saretto
Emory University - Department of Finance, University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 2,127 (6,107)

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Hypothesis testing, False discoveries, Trading strategies

7.
Downloads 1,927 ( 7,264)
Citation 305

Commonality in Liquidity

Number of pages: 43 Posted: 16 Mar 1999
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,927 (7,100)
Citation 305

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Commonality in Liquidity

Journal of Financial Economics
Posted: 31 Jan 2000
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

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8.

Momentum, Business Cycle and Time Varying Expected Returns

London Business School Accounting Subject Area No. 020; AFA 2001
Number of pages: 47 Posted: 24 Nov 2001
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 1,828 (7,949)
Citation 153

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Trading Activity and Expected Stock Returns

Number of pages: 43 Posted: 05 Jul 2000
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Indian Institute of Management Bangalore
Downloads 1,780 (8,140)
Citation 124

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Trading Activity and Expected Stock Returns

Journal of Financial Economics
Posted: 05 Jul 2000
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Indian Institute of Management Bangalore

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10.
Downloads 1,761 ( 8,437)
Citation 56

Liquidity and the Post-Earnings-Announcement Drift

AFA 2008 New Orleans Meetings Paper
Number of pages: 35 Posted: 20 Mar 2007 Last Revised: 24 Aug 2011
Emory University - Department of Finance, Boston College - Carroll School of Management, University of Lausanne, University of Texas at Dallas and London Business School
Downloads 1,416 (11,775)
Citation 54

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G11, G12, C11

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 18 May 2009
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
Downloads 345 (81,827)
Citation 56

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Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School

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Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

11.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,681 (9,139)
Citation 2

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12.
Downloads 1,656 ( 9,338)
Citation 53

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,656 (9,164)
Citation 53

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momentum, credit risk, credit rating

Momentum and Credit Rating

Journal of Finance, Vol. 62, No. 5, pp. 2503-2520, 2007
Posted: 20 Jan 2007 Last Revised: 26 Feb 2008
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Momentum, asset-pricing anomalies, credit risk

13.

Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?

Journal of Accounting & Economics (JAE), Vol. 58, No. 1, 2014
Number of pages: 50 Posted: 27 Mar 2012 Last Revised: 23 Jul 2014
Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 1,655 (9,347)
Citation 1

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Anomalies, market efficiency, cross-section of returns

Liquidity and Autocorrelations in Individual Stock Returns

Number of pages: 41 Posted: 13 Jun 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 1,652 (9,206)
Citation 61

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Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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15.

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Number of pages: 61 Posted: 15 Jan 2015 Last Revised: 14 Jan 2019
Tarun Chordia, Amit Goyal and Jay A. Shanken
Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School
Downloads 1,631 (9,574)

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Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables

16.

Liquidity and Market Efficiency

Number of pages: 46 Posted: 04 Sep 2005
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,476 (11,251)
Citation 57

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Market efficiency, liquidity, order imbalance

17.
Downloads 1,429 ( 11,716)
Citation 16

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,413 (11,820)
Citation 16

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asset-pricing anomalies, credit risk, financial distress, downgrades

Anomalies and Financial Distress

Number of pages: 53 Posted: 15 Mar 2010
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 16 (542,261)
Citation 16

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asset-pricing anomalies, credit risk, momentum, dispersion, asset growth, capital investments, accruals, idiosyncratic volatility

Anomalies and Financial Distress

FDIC Working Paper No. 2011-02
Posted: 09 Jan 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Anomalies and Financial Distress

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jul 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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asset-pricing anomalies, market efficiency, credit rating, credit risk

Evidence on the Speed of Convergence to Market Efficiency

UCLA Working Paper
Number of pages: 48 Posted: 09 Sep 2001
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,351 (12,718)
Citation 63

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Evidence on the Speed of Convergence to Market Efficiency

Journal of Financial Economics, Forthcoming
Posted: 06 Oct 2004
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

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Market efficiency, order imbalances, autocorrelations

19.

Earnings, Business Cycle and Stock Returns

Number of pages: 44 Posted: 02 Sep 2001
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 1,335 (13,222)
Citation 4

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Earnings momentum; Stock momentum; Post-earnings announcement drift; Macroeconomic factor; Business cycle

20.

Credit Ratings and the Cross-Section of Stock Returns

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 08 Feb 2009
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,309 (13,626)
Citation 31

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credit risk effect, credit rating, asset-pricing anomalies

21.

Alliances and Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, 2016
Number of pages: 64 Posted: 17 Mar 2014 Last Revised: 02 Jan 2017
Jie Cao, Tarun Chordia and Chen Lin
Chinese University of Hong Kong - Department of Finance, Emory University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 1,109 (17,549)

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Strategic alliances, Return predictability, Limited attention

Dispersion in Analysts' Earnings Forecasts and Credit Rating

AFA 2008 New Orleans Meetings Paper
Number of pages: 39 Posted: 21 Mar 2007 Last Revised: 09 Jan 2008
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,102 (17,386)
Citation 13

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Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

Dispersion in Analysts' Earnings Forecasts and Credit Rating

Journal of Financial Economics (JFE), Vol. 91, pp. 83-101, 2009
Posted: 26 Feb 2008 Last Revised: 19 Mar 2009
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

23.

Orderimbalance, Liquidity and Market Returns

Number of pages: 35 Posted: 08 May 2001
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,088 (18,087)
Citation 163

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Order Imbalance, Liquidity, Trading Volume, Transactions

Trading Volume and Cross-Autocorrelations in Stock Returns

Number of pages: 32 Posted: 13 Apr 1999
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management
Downloads 983 (20,690)
Citation 89

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Trading Volume and Cross-Autocorrelations in Stock Returns

Journal of Finance
Posted: 14 Apr 1999
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management

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25.

Pairwise Correlations

Number of pages: 33 Posted: 15 Mar 2011 Last Revised: 14 Nov 2013
Tarun Chordia, Amit Goyal and Qing Tong
Emory University - Department of Finance, University of Lausanne and School of Business, Renmin University of China
Downloads 958 (21,884)

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Asymmetric Correlations, Downside correlations, Retail Investors

26.

The Cross-Section of Daily Variation in Liquidity

London Business School Accounting Subject Area No. 012
Number of pages: 47 Posted: 12 Mar 2001
Emory University - Department of Finance, London Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 908 (23,638)
Citation 7

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27.
Downloads 865 ( 25,358)
Citation 22

The Impact of Trades on Daily Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 21 Mar 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 865 (24,944)
Citation 22

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asymmetric volatility, informed trades, liquidity based trades

The Impact of Trades on Daily Volatility

Review of Financial Studies, Forthcoming
Posted: 12 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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The Impact of Trades on Daily Volatility

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1241-1277, 2006
Posted: 29 Feb 2008
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

Abstract:

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28.

Recent Trends in Trading Activity

AFA 2010 Atlanta Meetings Paper
Number of pages: 58 Posted: 19 Mar 2009 Last Revised: 19 Jan 2010
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and Emory University - Department of Finance
Downloads 800 (28,346)
Citation 37

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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

29.

Hedging Against Liquidity Risk and Short Sale Constraints

Number of pages: 34 Posted: 26 Feb 2002
Doron Avramov, John C. Chao and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah, University of Maryland and Emory University - Department of Finance
Downloads 766 (30,072)
Citation 4

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Liquidity, Short Selling, Multifactor Efficiency, Intertemporal Asset Pricing Model, hedging

30.

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 09 Jun 2017
Emory University - Department of Finance, University of Lausanne, Hong Kong University of Science and Technology, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 688 (34,974)

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31.

Liquidity Dynamics and Cross-Autocorrelations

FRB of New York Staff Report No. 303
Number of pages: 50 Posted: 24 Sep 2007 Last Revised: 18 Feb 2011
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 687 (34,901)
Citation 7

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lead-lag, returns, small stocks, large stocks, microstructure, information

32.

Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 05 May 2009 Last Revised: 14 Nov 2013
University of California, Los Angeles (UCLA) - Finance Area, Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 680 (35,419)
Citation 7

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Liquidity, Kyle Lambda, Trading costs, Asset pricing

33.

The Revealed Preferences of Mutual Fund Managers

Number of pages: 51 Posted: 07 Nov 2013 Last Revised: 25 Jan 2019
Jeffrey A. Busse, Tarun Chordia, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 663 (36,618)

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Mutual funds, trading costs, portfolio characteristics, fund size, fund performance

34.

Recent Trends in Trading Activity and Market Quality

UCLA Working Paper, Emory Law and Economics Research Paper No. 10-88
Number of pages: 57 Posted: 31 Oct 2010 Last Revised: 29 May 2012
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 655 (37,225)
Citation 29

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Trading Volume, Market Quality, Trading Costs, Efficiency

35.

The Cross-Section of Expected Trading Activity

Number of pages: 47 Posted: 02 Jul 2004
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 606 (41,219)
Citation 55

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Volume, Market Efficiency, Liquidity

36.

Buyers Versus Sellers: Who Initiates Trades and When?

Swiss Finance Institute Research Paper No. 11-43
Number of pages: 45 Posted: 23 Aug 2011 Last Revised: 10 Mar 2015
Tarun Chordia, Amit Goyal and Narasimhan Jegadeesh
Emory University - Department of Finance, University of Lausanne and Emory University - Department of Finance
Downloads 588 (42,862)
Citation 2

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Order imbalance, disposition effect, tax-loss selling

37.

Price Formation with Autocorrelated Order Flow: Theory and Evidence

Number of pages: 55 Posted: 25 Oct 2002
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 588 (42,862)
Citation 1

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Microstructure, Order Imbalance, Individual Stock Returns

38.

Index Option Trading Activity and Market Returns

Number of pages: 67 Posted: 22 Jun 2016 Last Revised: 20 May 2018
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Boston College - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 574 (44,267)
Citation 216

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index options, order flow, information, market efficiency

39.
Downloads 545 ( 47,278)
Citation 24

Theory-Based Illiquidity and Asset Pricing

Number of pages: 59 Posted: 21 Nov 2008
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 545 (46,698)
Citation 24

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illiquidity, Kyle lambda, theory-based illiquidity, asset pricing

Theory-Based Illiquidity and Asset Pricing

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3629-3668, 2009
Posted: 08 Sep 2009
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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G12, G14

40.
Downloads 529 ( 49,136)
Citation 45

Inflation Illusion and Post-Earnings-Announcement Drift

Number of pages: 49 Posted: 07 Jan 2005
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 508 (51,117)
Citation 45

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inflation illusion, money illusion, post-earnings-announcement drift, earnings momentum, market efficiency

Inflation Illusion and Post-Earnings-Announcement Drift

Journal of Accounting Research, Vol. 43, pp. 521-556, September 2005
Number of pages: 36 Posted: 08 May 2006
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 21 (511,445)
Citation 45
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Inflation Illusion and Post-Earnings-Announcement Drift

Journal of Accounting Research, Forthcoming
Posted: 15 Apr 2005
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School

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Inflation illusion, earnings momentum, post-earnings-announcement drift, market efficiency

41.

Order Flow Volatility and Equity Costs of Capital

Management Science, Forthcoming
Number of pages: 69 Posted: 23 Apr 2014 Last Revised: 13 May 2017
Emory University - Department of Finance, Singapore Management University - Lee Kong Chian School of Business, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 464 (57,960)

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Order flow, required returns, expected returns

42.

Firm and Managerial Incentives to Manipulate the Timing of Project Resolution

Dice Center Working Paper No. 2001-4
Number of pages: 40 Posted: 25 Apr 2001
David A. Hirshleifer, Tarun Chordia and Sonya S. Lim
University of California, Irvine - Paul Merage School of Business, Emory University - Department of Finance and DePaul University - Department of Finance
Downloads 452 (59,918)
Citation 4

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43.
Downloads 403 ( 68,821)
Citation 19

True Spreads and Equilibrium Prices

Vanderbilt Working Paper No. 99-12
Number of pages: 49 Posted: 08 Aug 1999
Tarun Chordia and Clifford A. Ball
Emory University - Department of Finance and Vanderbilt University - Finance
Downloads 403 (68,193)
Citation 19

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True Spreads and Equilibrium Prices

Forthcoming in Journal of Finance
Posted: 19 Jun 2001
Clifford A. Ball and Tarun Chordia
Vanderbilt University - Finance and Emory University - Department of Finance

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Tick size, Rounding, Discretization, Monte Carlo Markov Chain, Gibbs sampler, Market Microstructure

44.

Characteristic Scaled Betas

Number of pages: 29 Posted: 16 Jul 2001
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 400 (69,452)
Citation 4

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45.

Bonds, Stocks, and Sources of Mispricing

George Mason University School of Business Research Paper No. 18-5
Number of pages: 62 Posted: 02 Nov 2017
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 293 (98,906)

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sentiment, mispricing, anomalies, bonds, stocks, financial distress

46.
Downloads 246 (118,848)
Citation 3

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 239 (121,887)
Citation 3

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sovereign credit risk, credit rating, emerging markets, international asset-pricing, market efficiency

The World Price of Credit Risk

Number of pages: 48 Posted: 17 Mar 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 7 (599,027)
Citation 3

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47.

Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements

The Review of Financial Studies, Volume 31, Issue 12, 2018, Pages 4650–4687
Number of pages: 64 Posted: 01 Nov 2017 Last Revised: 25 Nov 2018
Emory University - Department of Finance, Emory University - Department of Finance and George Washington University
Downloads 137 (201,601)

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HFT

48.

The Efficiency of Marketing and Stock Returns

Number of pages: 96 Posted: 07 Aug 2018 Last Revised: 12 Feb 2019
Deakin University - Department of Finance, Emory University - Department of Finance, Deakin University - Faculty of Business and Law and Deakin University - School of Accounting, Economics and Finance
Downloads 130 (210,262)

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Marketing efficiency, underreaction, return predictability, limited attention, fluency

49.

Risk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns

Number of pages: 72 Posted: 01 Oct 2018 Last Revised: 13 Feb 2019
Tarun Chordia, Tse-Chun Lin and Vincent Xiang
Emory University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and Deakin University-Department of Finance
Downloads 105 (247,608)

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Risk-Neutral Skewness, Options Markets, Informed Trading, Earnings Announcements, Non-scheduled News Release

50.

Market Efficiency in Real Time: Evidence from Low Latency Activity Around Earnings Announcements

Number of pages: 52 Posted: 31 Jul 2018
Tarun Chordia and Bin Miao
Emory University - Department of Finance and Hong Kong Polytechnic University
Downloads 102 (252,660)

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low-latency trading, market efficiency, earnings announcement, post-earnings announcement drift

51.

Incomplete Information, Trading Costs and Cross-Autocorrelations in Stock Returns

Economic Notes, Vol. 33, No. 1, pp. 145-181, February 2004
Number of pages: 38 Posted: 03 Jul 2004
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management
Downloads 35 (427,014)
Citation 83
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52.

Liquidity Dynamics Across Small and Large Firms

Economic Notes, Vol. 33, No. 1, pp. 111-143, February 2004
Number of pages: 34 Posted: 03 Jul 2004
Emory University - Department of Finance, London Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 26 (467,852)
Citation 6
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53.

Order Imbalance and Individual Stock Returns

Journal of Financial Economics, Forthcoming
Posted: 01 Dec 2002
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

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Order Imbalance, Inventory Models, Market Makers, Autocorrelation in Order Flow

54.

Order Imbalance, Liquidity, and Market Returns

Posted: 13 Nov 2001
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

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Market Order Imbalance, Liquidity, Trading Volume, Contrarian

55.

Momentum, Business Cycle and Time-Varying Expected Returns

Journal of Finance, Forthcoming April 2002
Posted: 20 Aug 2001
Lakshmanan Shivakumar and Tarun Chordia
London Business School and Emory University - Department of Finance

Abstract:

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Momentum, business cycle, time-varying expected returns

Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence

JOURNAL OF BUSINESS, Vol 68 No 4, October 1995
Posted: 25 Aug 1998
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Market Making, the Tick Size and Payment-for-Order-Flow: Theory and Evidence

Posted: 06 Sep 1999
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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57.

The Structure of Mutual Fund Charges

94-20
Posted: 13 Jul 1998
Tarun Chordia
Emory University - Department of Finance

Abstract:

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58.

Cross-Sectional Determinants of Expected Returns

Posted: 11 May 1998
University of California, Los Angeles (UCLA) - Finance Area, Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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