Tarun Chordia

Emory University - Department of Finance

Associate Professor

Atlanta, GA 30322-2710

United States

SCHOLARLY PAPERS

52

DOWNLOADS
Rank 218

SSRN RANKINGS

Top 218

in Total Papers Downloads

49,310

CITATIONS
Rank 151

SSRN RANKINGS

Top 151

in Total Papers Citations

2,065

Scholarly Papers (52)

1.
Downloads 3,168 ( 2,434)
Citation 134

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 3,168 (2,373)
Citation 134

Abstract:

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

Abstract:

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

Abstract:

2.
Downloads 2,737 ( 3,166)
Citation 21

Predicting Stock Returns

Number of pages: 58 Posted: 27 Jul 2003
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance
Downloads 2,737 (3,096)
Citation 21

Abstract:

Predicting Stock Returns

Journal of Financial Economics, Forthcoming
Posted: 01 Aug 2005
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance

Abstract:

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 2,501 (3,332)
Citation 229

Abstract:

Liquidity, spreads, depths, trading activity, transactions data

4.
Downloads 2,359 ( 4,077)
Citation 75

Asset Pricing Models and Financial Market Anomalies

Number of pages: 56 Posted: 08 Dec 2003
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance
Downloads 2,359 (3,994)
Citation 75

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance

Abstract:

5.
Downloads 2,066 ( 5,135)
Citation 49

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 2,066 (5,032)
Citation 49

Abstract:

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

Abstract:

Momentum, post-earnings-announcement-drift, factors

6.
Downloads 1,867 ( 6,081)
Citation 302

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 1,867 (5,946)
Citation 302

Abstract:

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

Abstract:

7.
Downloads 1,708 ( 7,151)
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 1,379 (9,958)
Citation 56

Abstract:

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 329 (72,848)
Citation 56

Abstract:

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

Abstract:

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

8.
Downloads 1,694 ( 7,262)
Citation 124

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 1,694 (7,106)
Citation 124

Abstract:

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

Abstract:

Liquidity and Autocorrelations in Individual Stock Returns

Number of pages: 41 Posted: 13 Jun 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Downloads 1,614 (7,733)
Citation 61

Abstract:

Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

10.
Downloads 1,613 ( 7,904)
Citation 51

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,613 (7,741)
Citation 51

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

Momentum, asset-pricing anomalies, credit risk

11.

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 1,542 (7,207)
Citation 154

Abstract:

12.

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 1,329 (10,009)
Citation 57

Abstract:

Market efficiency, liquidity, order imbalance

13.
Downloads 1,329 ( 10,676)
Citation 17

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,321 (10,701)
Citation 17

Abstract:

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

Anomalies and Financial Distress

Number of pages: 53 Posted: 15 Mar 2010
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 8 (521,448)
Citation 17

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

Anomalies and Financial Distress

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jul 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

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

14.
Downloads 1,316 ( 10,942)
Citation 63

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 1,316 (10,769)
Citation 63

Abstract:

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

Abstract:

Market efficiency, order imbalances, autocorrelations

15.

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 1,278 (11,161)
Citation 4

Abstract:

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

16.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,200 (11,861)
Citation 32

Abstract:

credit risk effect, credit rating, asset-pricing anomalies

17.

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 Singapore Management University - Lee Kong Chian School of Business
Downloads 1,111 (9,572)
Citation 1

Abstract:

Anomalies, market efficiency, cross-section of returns

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,071 (14,881)
Citation 12

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

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

19.

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 1,007 (15,865)
Citation 163

Abstract:

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 955 (17,704)
Citation 90

Abstract:

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

Abstract:

21.

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 877 (19,891)
Citation 7

Abstract:

22.
Downloads 840 ( 21,789)
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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Downloads 840 (21,430)
Citation 22

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

23.

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 769 (12,335)
Citation 2

Abstract:

24.

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 756 (24,376)
Citation 37

Abstract:

Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

25.

Hedging Against Liquidity Risk and Short Sale Constraints

Number of pages: 34 Posted: 26 Feb 2002
Doron Avramov, John C. Chao and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of Maryland and Emory University - Department of Finance
Downloads 732 (25,548)
Citation 4

Abstract:

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

26.

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 672 (29,972)
Citation 7

Abstract:

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

27.

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 650 (18,013)

Abstract:

Strategic alliances, Return predictability, Limited attention

28.

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 566 (36,947)
Citation 1

Abstract:

Microstructure, Order Imbalance, Individual Stock Returns

29.

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 Singapore Management University - Lee Kong Chian School of Business
Downloads 559 (22,306)

Abstract:

Asymmetric Correlations, Downside correlations, Retail Investors

30.

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 538 (35,218)
Citation 29

Abstract:

Trading Volume, Market Quality, Trading Costs, Efficiency

31.

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 533 (37,278)
Citation 54

Abstract:

Volume, Market Efficiency, Liquidity

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 Singapore Management University - Lee Kong Chian School of Business
Downloads 518 (33,926)
Citation 7

Abstract:

Liquidity, Kyle Lambda, Trading costs, Asset pricing

33.
Downloads 504 ( 43,779)
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 504 (43,241)
Citation 24

Abstract:

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:

G12, G14

34.
Downloads 486 ( 45,817)
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 465 (47,925)
Citation 45

Abstract:

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 (447,648)
Citation 45

Abstract:

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:

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

35.

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 428 (51,467)
Citation 4

Abstract:

36.

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

Number of pages: 50 Posted: 15 Jan 2015
Tarun Chordia, Amit Goyal and Jay A. Shanken
Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School
Downloads 419 (15,647)
Citation 1

Abstract:

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

37.
Downloads 395 ( 59,198)
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 395 (58,626)
Citation 19

Abstract:

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

Abstract:

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

38.

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 392 (38,187)
Citation 2

Abstract:

Order imbalance, disposition effect, tax-loss selling

39.

Characteristic Scaled Betas

Number of pages: 29 Posted: 16 Jul 2001
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance
Downloads 386 (59,005)
Citation 4

Abstract:

40.

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 Singapore Management University - Lee Kong Chian School of Business
Downloads 366 (64,787)

Abstract:

Order flow, required returns, expected returns

41.
Downloads 223 (111,504)
Citation 3

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 216 (114,626)
Citation 3

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 7 (526,675)
Citation 3

Abstract:

42.

Mutual Fund Trading Costs

Number of pages: 90 Posted: 07 Nov 2013 Last Revised: 04 Apr 2017
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 137 (58,162)
Citation 1

Abstract:

Mutual funds, transaction costs, trading cost algorithm, liquidity, fund size, fund performance

43.

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

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 07 Aug 2016
Emory University - Department of Finance, University of Lausanne, Federal Reserve Board of Governors, University of California, Los Angeles (UCLA) - Finance Area and Singapore Management University - Lee Kong Chian School of Business
Downloads 121 (43,899)

Abstract:

44.

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 (370,752)
Citation 83

Abstract:

45.

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 (408,304)
Citation 6

Abstract:

46.

The Informational Role of Index Option Trading

Number of pages: 65 Posted: 22 Jun 2016 Last Revised: 17 Jan 2017
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Boston College and University of California, Los Angeles (UCLA) - Finance Area
Downloads 0 (72,070)

Abstract:

index options, order flow, information, market efficiency

47.

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

Abstract:

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

48.

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:

Market Order Imbalance, Liquidity, Trading Volume, Contrarian

49.

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:

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:

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:

51.

The Structure of Mutual Fund Charges

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

Abstract:

52.

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: