Tarun Chordia

Emory University - Department of Finance

Associate Professor

Atlanta, GA 30322-2710

United States

SCHOLARLY PAPERS

68

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Rank 852

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Top 852

in Total Papers Citations

998

CROSSREF CITATIONS

301

Scholarly Papers (68)

1.
Downloads 5,570 ( 1,891)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, The University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,570 (1,963)

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non-standard errors, multi-analyst approach, liquidity

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 3,385 (4,632)
Citation 81

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An Empirical Analysis of Stock and Bond Market Liquidity

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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3.

Anomalies and False Rejections

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 66 Posted: 14 Aug 2017 Last Revised: 23 Jan 2020
Tarun Chordia, Amit Goyal and Alessio Saretto
Emory University - Department of Finance, University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 3,354 (4,816)
Citation 40

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Hypothesis testing, False discoveries, Trading strategies

4.
Downloads 2,993 ( 5,832)

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 2,993 (5,725)
Citation 11

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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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5.

Market Liquidity and Trading Activity

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 2,962 (5,943)
Citation 25

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Liquidity, spreads, depths, trading activity, transactions data

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 2,822 (6,315)
Citation 48

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

Asset Pricing Models and Financial Market Anomalies

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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7.

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 2,570 (7,449)
Citation 40

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

8.
Downloads 2,502 ( 7,757)

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 2,502 (7,636)
Citation 62

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Momentum, earnings momentum, post-earnings-announcement drift

Earnings and Price Momentum

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

9.

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 2,301 (8,847)
Citation 11

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10.
Downloads 2,123 ( 10,097)
Citation 67

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 2,123 (9,908)
Citation 67

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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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11.

Momentum, Business Cycle and Time Varying Expected Returns

Number of pages: 47 Posted: 24 Nov 2001
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 2,019 (10,992)
Citation 55

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12.

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 Shanghai LiLi Technology Co.,Ltd.
Downloads 1,981 (11,366)
Citation 76

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Anomalies, market efficiency, cross-section of returns

13.
Downloads 1,981 ( 11,366)
Citation 41

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 1,981 (11,142)
Citation 41

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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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14.
Downloads 1,876 ( 12,361)
Citation 44

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 1,488 (17,396)
Citation 47

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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 388 (105,833)

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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

15.
Downloads 1,790 ( 13,304)
Citation 50

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 1,790 (13,079)
Citation 50

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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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16.
Downloads 1,775 ( 13,491)
Citation 38

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 1,775 (13,273)
Citation 38

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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

17.

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 1,681 (14,728)
Citation 47

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Market efficiency, liquidity, order imbalance

18.
Downloads 1,545 ( 16,567)
Citation 47

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 1,521 (16,839)
Citation 2

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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 24 (683,645)
Citation 52

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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

19.

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 1,431 (18,795)
Citation 37

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credit risk effect, credit rating, asset-pricing anomalies

20.
Downloads 1,414 ( 19,041)
Citation 40

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 1,414 (18,758)
Citation 40

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Evidence on the Speed of Convergence to Market Efficiency

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

Abstract:

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Market efficiency, order imbalances, autocorrelations

21.

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 1,384 (19,746)
Citation 5

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

22.

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
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 1,275 (22,321)
Citation 9

Abstract:

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Strategic alliances, Return predictability, Limited attention

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 1,170 (25,346)
Citation 4

Abstract:

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Order Imbalance, Liquidity, Trading Volume, Transactions

24.

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 Shanghai LiLi Technology Co.,Ltd.
Downloads 1,166 (25,478)
Citation 10

Abstract:

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Asymmetric Correlations, Downside correlations, Retail Investors

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 1,134 (26,101)
Citation 34

Abstract:

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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: 13 Jan 2020
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

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

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 1,076 (28,164)
Citation 20

Abstract:

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Trading Volume and Cross-Autocorrelations in Stock Returns

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

Abstract:

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27.

Index Option Trading Activity and Market Returns

Management Science, Forthcoming
Number of pages: 59 Posted: 22 Jun 2016 Last Revised: 20 Oct 2019
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Michigan State University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,035 (30,258)
Citation 4

Abstract:

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index options, order flow, information, market efficiency

28.

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Management Science, Forthcoming
Number of pages: 69 Posted: 07 Nov 2013 Last Revised: 14 Oct 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 1,016 (31,073)
Citation 9

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

29.

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, University of Toronto, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 945 (34,421)
Citation 34

Abstract:

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30.

The Cross-Section of Daily Variation in Liquidity

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 930 (35,198)
Citation 6

Abstract:

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The Impact of Trades on Daily Volatility

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 912 (35,677)
Citation 21

Abstract:

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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

Abstract:

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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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32.

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 857 (39,489)

Abstract:

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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

33.

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 797 (43,551)
Citation 7

Abstract:

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

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 764 (46,046)
Citation 40

Abstract:

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Trading Volume, Market Quality, Trading Costs, Efficiency

35.

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 Shanghai LiLi Technology Co.,Ltd.
Downloads 758 (46,565)
Citation 13

Abstract:

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Liquidity, Kyle Lambda, Trading costs, Asset pricing

36.

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 725 (49,416)
Citation 6

Abstract:

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

37.
Downloads 675 ( 54,311)
Citation 2

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 651 (56,127)
Citation 3

Abstract:

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Order imbalance, disposition effect, tax-loss selling

Buyers versus Sellers: Who Initiates Trades and When?

Number of pages: 37 Posted: 10 Mar 2011
Tarun Chordia, Amit Goyal and Narasimhan Jegadeesh
Emory University - Department of Finance, University of Lausanne and Emory University - Department of Finance
Downloads 24 (683,645)
Citation 3

Abstract:

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Order imbalance, turnover, disposition effect, momentum, tax-loss selling, flight-to-quality

38.

Bonds, Stocks, and Sources of Mispricing

George Mason University School of Business Research Paper No. 18-5
Number of pages: 78 Posted: 02 Nov 2017 Last Revised: 29 Mar 2019
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 659 (56,011)
Citation 5

Abstract:

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

39.

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 647 (57,332)

Abstract:

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Microstructure, Order Imbalance, Individual Stock Returns

40.

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 640 (58,133)
Citation 31

Abstract:

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Volume, Market Efficiency, Liquidity

41.

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

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 87 Posted: 01 Oct 2018 Last Revised: 30 Mar 2020
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 579 (66,034)
Citation 2

Abstract:

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

42.
Downloads 577 ( 66,322)
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 577 (65,569)
Citation 24

Abstract:

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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

43.
Downloads 573 ( 66,901)
Citation 30

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 549 (69,794)

Abstract:

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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 24 (683,645)
Citation 2

Abstract:

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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

Abstract:

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

44.

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 Shanghai LiLi Technology Co.,Ltd.
Downloads 556 (69,482)
Citation 4

Abstract:

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Order flow, required returns, expected returns

45.

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
Marshall School of Business, USC, Emory University - Department of Finance and DePaul University - Department of Finance
Downloads 494 (80,416)
Citation 5

Abstract:

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46.

The Calendar Effects of the Idiosyncratic-Volatility Puzzle: A Tale of Two Days?

Management Science, Vol.67, 2021
Number of pages: 59 Posted: 14 Oct 2020 Last Revised: 31 Jan 2022
Jie Cao, Tarun Chordia and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and Department of Finance, School of Management, Fudan University
Downloads 455 (88,707)

Abstract:

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Idiosyncratic volatility, calendar effects, option expiration

47.

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 414 (99,021)
Citation 8

Abstract:

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48.
Downloads 414 ( 99,021)

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 414 (98,183)
Citation 1

Abstract:

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True Spreads and Equilibrium Prices

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

Abstract:

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

49.
Downloads 273 (155,345)
Citation 5

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 263 (160,732)
Citation 4

Abstract:

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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 10 (808,564)
Citation 1

Abstract:

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50.

Volatility-of-Volatility Risk in Asset Pricing

Review of Asset Pricing Studies, Forthcoming
Number of pages: 74 Posted: 27 Feb 2021 Last Revised: 12 Jul 2021
Te-Feng Chen, Tarun Chordia, San-Lin Chung and Ji-Chai Lin
Hong Kong Polytechnic University, Emory University - Department of Finance, National Taiwan University - Department of Finance and Hong Kong PolyU
Downloads 254 (167,060)

Abstract:

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Volatility-of-Volatility, Volatility Risk, Conditional Asset Pricing Model, Market Crashes

51.

The Distress Anomaly is Deeper than you Think: Evidence from Stocks and Bonds

Number of pages: 68 Posted: 17 Nov 2020 Last Revised: 30 Aug 2021
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 247 (171,564)

Abstract:

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Financial distress, anomalies, credit risk, distress puzzle, stocks, bonds

52.

True Liquidity and Fundamental Prices: US Tick Size Pilot

Number of pages: 85 Posted: 01 Apr 2021 Last Revised: 12 May 2022
Rohit Allena and Tarun Chordia
C.T. Bauer College of Business, University of Houston and Emory University - Department of Finance
Downloads 242 (174,941)

Abstract:

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True Liquidity, Fundamental Prices, True bid-ask spreads, US Tick Size Pilot, Machine Learning for Structural Estimation, Variational Inference, High-Frequency Data, Scalable Algorithms

53.

The Efficiency of Marketing and Stock Returns

Number of pages: 91 Posted: 07 Aug 2018 Last Revised: 02 Aug 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 237 (178,533)
Citation 1

Abstract:

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

54.

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 203 (206,510)
Citation 8

Abstract:

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HFT

55.

Idiosyncratic Bond Volatility and Funding Liquidity

Number of pages: 66 Posted: 25 Aug 2021 Last Revised: 31 Jan 2022
Jie Cao, Tarun Chordia and Linyu Zhou
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 162 (250,953)

Abstract:

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Corporate bonds, idiosyncratic volatility, financial intermediaries, Volcker Rule, COVID-19

56.

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

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 80 Posted: 26 Oct 2020 Last Revised: 28 Dec 2020
Tarun Chordia and Bin Miao
Emory University - Department of Finance and The Chinese University of Hong Kong, Shenzhen
Downloads 122 (313,125)
Citation 4

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

57.

The Marketing Capability Premium

The Review of Asset Pricing Studies, Forthcoming
Number of pages: 60 Posted: 13 May 2022
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 87 (394,228)

Abstract:

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Marketing capability, Underreaction, Return predictability, Limited attention, Valuation uncertainty.

58.

Sell-Side Liquidity and the Cross-Section of Expected Stock Returns

Number of pages: 40 Posted: 24 Jul 2009 Last Revised: 29 Dec 2020
University of California, Los Angeles (UCLA) - Finance Area, affiliation not provided to SSRN, Shanghai LiLi Technology Co.,Ltd. and Emory University - Department of Finance
Downloads 74 (429,755)
Citation 1

Abstract:

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liquidity, asset pricing, price impact

59.

Shocks to Order Flow Volatility and Stock Returns

Number of pages: 57 Posted: 01 Nov 2014
Emory University - Department of Finance, Singapore Management University - Lee Kong Chian School of Business, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 64 (463,577)

Abstract:

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60.

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

Number of pages: 38 Posted: 03 Jul 2004
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management
Downloads 35 (593,684)
Citation 2

Abstract:

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61.

Liquidity Dynamics Across Small and Large Firms

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 27 (642,650)
Citation 1

Abstract:

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62.

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

Number of pages: 52 Posted: 04 Aug 2015
Emory University - Department of Finance, University of Lausanne, University of Toronto, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 24 (663,716)
Citation 3

Abstract:

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63.

Order Imbalance and Individual Stock Returns

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

Abstract:

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

64.

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

65.

Momentum, Business Cycle and Time-Varying Expected Returns

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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67.

The Structure of Mutual Fund Charges

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

Abstract:

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68.

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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