Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area

Goldyne and Irwin Hearsh Distinguished Professor of Money and Banking

Los Angeles, CA 90095-1481

United States

Institute of Global Finance, UNSW Business School

Sydney, NSW 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

  • University of California, Los Angeles (UCLA) - Finance Area

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    • Tel: 310-825-5355
    • Fax: 310-206-5455
SCHOLARLY PAPERS

105

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66,333

SSRN CITATIONS

680

CROSSREF CITATIONS

1,114

Scholarly Papers (105)

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1.

A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-Reactions

Number of pages: 59 Posted: 01 May 1997 Last Revised: 21 May 2018
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7,354 (855)
Citation 65

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2.

An Empirical Analysis of Stock and Bond Market Liquidity

Downloads 3,309 ( 3,445)
Citation 72

An Empirical Analysis of Stock and Bond Market Liquidity

FRB NY Staff Report No. 164
Number of pages: 61 Posted: 01 Nov 2001
Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 3,309 (3,375)
Citation 72

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An Empirical Analysis of Stock and Bond Market Liquidity

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

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3.

Market Liquidity and Trading Activity

Eleventh Annual Utah Winter Conference
Number of pages: 45 Posted: 24 Aug 2000
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,847 (4,469)
Citation 49

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Liquidity, spreads, depths, trading activity, transactions data

4.

Sentiment and Momentum

WBS Finance Group Research Paper No. 130
Number of pages: 54 Posted: 27 Sep 2009 Last Revised: 23 Dec 2019
John A. Doukas, Constantinos Antoniou and Avanidhar Subrahmanyam
Old Dominion University - Strome College of Business, University of Warwick - Warwick Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 2,659 (4,990)
Citation 5

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behavioral finance, investor sentiment, momentum, market efficiency

5.

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?

Downloads 2,415 ( 5,877)
Citation 49

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?

European Financial Management, Forthcoming
Number of pages: 47 Posted: 26 Aug 2009 Last Revised: 30 Sep 2009
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 2,413 (5,763)
Citation 5

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market efficiency, cross-section of stock returns

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?

European Financial Management, Vol. 16, Issue 1, pp. 27-42, January 2010
Number of pages: 16 Posted: 28 Dec 2009
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 2 (721,728)
Citation 27
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6.

Commonality in Liquidity

Downloads 1,971 ( 8,292)
Citation 44

Commonality in Liquidity

Number of pages: 43 Posted: 16 Mar 1999
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,971 (8,128)
Citation 44

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Commonality in Liquidity

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

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7.

A Protocol for Factor Identification

Downloads 1,034 ( 8,516)
Citation 15

A Protocol for Factor Identification

Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 24 Jul 2017 Last Revised: 17 Jun 2018
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 608 (46,684)
Citation 5

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Factors, Factor Identification, Principle Components, Cross-Sectional Regression, Return Variation, Error-In-Variable Problem

A Protocol for Factor Identification

Forthcoming, Review of Financial Studies
Number of pages: 64 Posted: 14 Jul 2018
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 426 (73,110)
Citation 2

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factor, risk factor, risk premium, protocol, select factors

8.

Trading Activity and Expected Stock Returns

Downloads 1,852 ( 9,201)

Trading Activity and Expected Stock Returns

Number of pages: 43 Posted: 05 Jul 2000
Tarun Chordia, Avanidhar Subrahmanyam and V. Ravi Anshuman
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Indian Institute of Management Bangalore
Downloads 1,852 (9,014)
Citation 27

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Trading Activity and Expected Stock Returns

Journal of Financial Economics
Posted: 05 Jul 2000
Tarun Chordia, Avanidhar Subrahmanyam and V. Ravi Anshuman
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Indian Institute of Management Bangalore

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9.

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 1,790 (9,699)
Citation 60

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Anomalies, market efficiency, cross-section of returns

10.

Liquidity and Market Efficiency

Number of pages: 46 Posted: 04 Sep 2005
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,557 (12,099)
Citation 38

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Market efficiency, liquidity, order imbalance

11.

Evidence on the Speed of Convergence to Market Efficiency

Downloads 1,364 ( 14,883)
Citation 32

Evidence on the Speed of Convergence to Market Efficiency

UCLA Working Paper
Number of pages: 48 Posted: 09 Sep 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,364 (14,639)
Citation 32

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Evidence on the Speed of Convergence to Market Efficiency

Journal of Financial Economics, Forthcoming
Posted: 06 Oct 2004
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
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

12.

Moving Average Distance as a Predictor of Equity Returns

Number of pages: 40 Posted: 16 Feb 2018 Last Revised: 03 Apr 2020
Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,340 (15,369)
Citation 8

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market efficiency, technical analysis, moving averages, crossing rules,anchoring bias

13.

The Empirical Analysis of Liquidity

Foundations and Trends in Finance 8, No 4, 263-365, 2015
Number of pages: 102 Posted: 28 Feb 2014 Last Revised: 18 Sep 2017
Craig W. Holden, Stacey E. Jacobsen and Avanidhar Subrahmanyam
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,285 (16,401)
Citation 15

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liquidity, empirical, review, patterns, corporate finance, asset pricing

14.

Capital Market Efficiency and Arbitrage Efficacy

AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 15 Mar 2012 Last Revised: 20 Mar 2015
Ferhat Akbas, Will J. Armstrong, Sorin M. Sorescu and Avanidhar Subrahmanyam
University of Illinois at Chicago, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,195 (18,281)
Citation 4

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cross-section of stock returns; limits to arbitrage; market efficiency; anomalies; funding constraints; fund flows; mutual funds

15.

Brand Perceptions and the Market for Common Stock

Number of pages: 58 Posted: 10 Apr 2002
Laura Frieder and Avanidhar Subrahmanyam
Purdue University - Krannert School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,129 (19,884)
Citation 43

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Institutional holdings, market efficiency

16.

An Analysis of the Amihud Illiquidity Premium

Number of pages: 63 Posted: 08 Jun 2011 Last Revised: 04 Apr 2012
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,122 (20,072)
Citation 8

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17.

Orderimbalance, Liquidity and Market Returns

Number of pages: 35 Posted: 08 May 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,115 (20,262)
Citation 3

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Order Imbalance, Liquidity, Trading Volume, Transactions

18.

Liquidity and the Law of One Price: The Case of the Cash/Futures Basis

Number of pages: 50 Posted: 09 Nov 2004
Eduardo S. Schwartz, Richard Roll and Avanidhar Subrahmanyam
Simon Fraser University (SFU), California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,061 (21,818)
Citation 16

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Market efficiency, liquidity, arbitrage

19.

The Cross-Section of Daily Variation in Liquidity

London Business School Accounting Subject Area No. 012
Number of pages: 47 Posted: 12 Mar 2001
Tarun Chordia, Lakshmanan Shivakumar and Avanidhar Subrahmanyam
Emory University - Department of Finance, London Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 918 (26,956)
Citation 6

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20.

Common Liquidity Risk and Market Collapse: Lessons from the Market for Perps

AFA 2002 Atlanta Meetings, Forthcoming
Number of pages: 50 Posted: 03 Dec 2004
Chitru S. Fernando, Richard J. Herring and Avanidhar Subrahmanyam
University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 898 (27,797)

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ownership structure, monitoring, market liquidity, common liquidity risk, market collapse

21.

Feedback and the Success of Irrational Investors

Dice Center Working Paper No. 2003-22
Number of pages: 40 Posted: 28 Jul 2003 Last Revised: 13 Dec 2008
David A. Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman
University of California, Irvine - Paul Merage School of Business, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 898 (27,797)
Citation 23

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22.

Covariance Risk, Mispricing, and the Cross Section of Security Returns

Downloads 896 ( 27,894)

Covariance Risk, Mispricing, and the Cross Section of Security Returns

Ohio State University Working Paper No. 2000-6
Number of pages: 51 Posted: 29 Dec 2000
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 837 (30,257)

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Covariance Risk, Mispricing, and the Cross Section of Security Returns

NBER Working Paper No. w7615
Number of pages: 47 Posted: 16 May 2000 Last Revised: 01 Apr 2001
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 59 (393,934)

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23.

Investor Psychology and Tests of Factor Pricing Models

Number of pages: 40 Posted: 26 Nov 2005
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 895 (27,937)
Citation 9

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factor models, overconfidence, Fama-French factors, covariance risk

24.

On Distinguishing between Rationales for Short-Horizon Predictability of Stock Returns

Number of pages: 54 Posted: 28 Sep 2003
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 824 (31,408)
Citation 1

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microstructure, market efficiency, behavioral finance

25.

Smart Money, Dumb Money, and Capital Market Anomalies

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 75 Posted: 16 Mar 2014 Last Revised: 20 Mar 2015
Ferhat Akbas, Will J. Armstrong, Sorin M. Sorescu and Avanidhar Subrahmanyam
University of Illinois at Chicago, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 817 (31,781)
Citation 20

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Mutual funds, Hedge funds, Sock return anomalies

26.

Recent Trends in Trading Activity

AFA 2010 Atlanta Meetings Paper
Number of pages: 58 Posted: 19 Mar 2009 Last Revised: 19 Jan 2010
Richard Roll, Avanidhar Subrahmanyam and Tarun Chordia
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and Emory University - Department of Finance
Downloads 814 (31,933)

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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

27.

The Cross-Section of Analyst Recommendations

Number of pages: 39 Posted: 15 Sep 2004
Avanidhar Subrahmanyam and Sorin M. Sorescu
University of California, Los Angeles (UCLA) - Finance Area and Texas A&M University - Department of Finance
Downloads 802 (32,591)
Citation 14

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Analysts, return reactions, stock recommendations

28.

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

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 09 Jun 2017
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
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 788 (33,364)
Citation 24

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29.

Index Option Trading Activity and Market Returns

Management Science, Forthcoming
Number of pages: 59 Posted: 22 Jun 2016 Last Revised: 20 Oct 2019
Tarun Chordia, Alexander Kurov, Dmitriy Muravyev and Avanidhar Subrahmanyam
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 752 (35,613)
Citation 3

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index options, order flow, information, market efficiency

30.

Limit Order Placement by High-Frequency Traders

Borsa Istanbul Review, Forthcoming
Number of pages: 67 Posted: 10 Nov 2015 Last Revised: 22 Dec 2016
Avanidhar Subrahmanyam and Hui Zheng
University of California, Los Angeles (UCLA) - Finance Area and Discipline of Finance, The University of Sydney
Downloads 737 (36,576)
Citation 3

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High Frequency Trading; Limit Order Book; Market Quality

31.

O/S: The Relative Trading Activity in Options and Stock

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 28 May 2009 Last Revised: 02 Oct 2009
Richard Roll, Eduardo S. Schwartz and Avanidhar Subrahmanyam
California Institute of Technology, Simon Fraser University (SFU) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 737 (36,576)
Citation 12

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derivatives volume, stock volume, market efficiency

32.

Investor Sentiment, Beta, and the Cost of Equity Capital

Management Science, Forthcoming
Number of pages: 49 Posted: 07 Jul 2012 Last Revised: 26 Dec 2019
Constantinos Antoniou, John A. Doukas and Avanidhar Subrahmanyam
University of Warwick - Warwick Business School, Old Dominion University - Strome College of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 714 (38,155)
Citation 10

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CAPM, Sentiment, Overconfidence.

33.

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
Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong
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 705 (38,848)
Citation 12

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Liquidity, Kyle Lambda, Trading costs, Asset pricing

34.

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
Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 701 (39,147)
Citation 3

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

35.

Recent Trends in Trading Activity and Market Quality

UCLA Working Paper
Number of pages: 57 Posted: 31 Oct 2010 Last Revised: 29 May 2012
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 686 (40,318)
Citation 25

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Trading Volume, Market Quality, Trading Costs, Efficiency

36.

High-Frequency Measures of Informed Trading and Corporate Announcements

Review of Financial Studies, Forthcoming
Number of pages: 73 Posted: 15 Mar 2015 Last Revised: 25 Dec 2017
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 679 (40,937)
Citation 8

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High-Frequency Measures of Information Asymmetry; Daily Conditional Probability of Informed Trading; Good- and Bad-News Components; Earnings Surprises; CAR; SUE

37.

Long-Term Reversals in the Corporate Bond Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 17 Mar 2019 Last Revised: 24 Dec 2019
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - Robert Emmett McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and Georgetown University - Department of Finance
Downloads 663 (42,180)
Citation 7

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Corporate bonds, long-term reversal

38.

The Term Structure of Bond Market Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 39 Posted: 03 Mar 2008
Ruslan Goyenko, Avanidhar Subrahmanyam and Andrey Ukhov
McGill University - Desautels Faculty of Management, University of California, Los Angeles (UCLA) - Finance Area and Cornell University
Downloads 617 (46,405)
Citation 1

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39.

The Cross-Section of Expected Trading Activity

Number of pages: 47 Posted: 02 Jul 2004
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 615 (46,609)
Citation 28

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Volume, Market Efficiency, Liquidity

40.

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 605 (47,634)

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Microstructure, Order Imbalance, Individual Stock Returns

41.

The Term Structure of Credit Spreads and the Cross-Section of Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 06 Feb 2015 Last Revised: 27 Apr 2016
Bing Han, Avanidhar Subrahmanyam and Yi Zhou
University of Toronto, Rotman School of Management, University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University
Downloads 559 (52,657)
Citation 1

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cross-section of stock return, credit spreads, term structure, slow information diffusion, limited attention, default risk premium

42.

Theory-Based Illiquidity and Asset Pricing

Downloads 556 ( 53,010)

Theory-Based Illiquidity and Asset Pricing

Number of pages: 59 Posted: 21 Nov 2008
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 556 (52,391)
Citation 21

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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
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

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G12, G14

43.

Momentum and Reversals when Overconfident Investors Underestimate Their Competition

Review of Financial Studies, Forthcoming
Number of pages: 63 Posted: 07 Jul 2017 Last Revised: 22 Dec 2019
Jiang Luo, Avanidhar Subrahmanyam and Sheridan Titman
Nanyang Technological University (NTU) - Division of Banking & Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 550 (53,728)
Citation 3

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momentum, reversal, cursedness, information trading

44.

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

Management Science, Forthcoming
Number of pages: 59 Posted: 12 Jan 2013 Last Revised: 12 May 2015
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 520 (57,751)
Citation 3

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Information Asymmetry; Decomposition of PIN; Good-News PIN; Bad-News PIN; Earnings Announcements; Earnings Surprises; CAR; SUE; Cost of Equity Capital

45.

Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements

Downloads 506 ( 59,715)
Citation 7

Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements

Number of pages: 52 Posted: 04 Jan 2005
Sahn-Wook Huh and Avanidhar Subrahmanyam
State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 480 (63,152)
Citation 2

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SEOs, order imbalance, market efficiency

Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements

International Review of Finance, Vol. 5, No. 1-2, pp. 75-111, March/June 2005
Number of pages: 37 Posted: 25 May 2006
Sahn-Wook Huh and Avanidhar Subrahmanyam
State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 26 (541,657)
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46.

Order Flow Volatility and Equity Costs of Capital

Management Science, Forthcoming
Number of pages: 69 Posted: 23 Apr 2014 Last Revised: 13 May 2017
Tarun Chordia, Jianfeng Hu, Avanidhar Subrahmanyam and Qing Tong
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 500 (60,621)
Citation 2

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Order flow, required returns, expected returns

47.

The Dynamics of Market Efficiency

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 21 May 2012 Last Revised: 30 Jun 2016
Dominik Rösch, Avanidhar Subrahmanyam and Mathijs A. Van Dijk
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 499 (60,777)
Citation 10

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market efficiency, co-movement, funding liquidity, hedge funds, algorithmic trading

48.

Short-Term Reversals: The Effects of Institutional Exits and Past Returns

Journal of Financial and Quantitative Analysis (JFQA), 2016
Number of pages: 56 Posted: 03 Feb 2014 Last Revised: 02 Jun 2015
Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam and Sheridan Titman
Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 495 (61,411)
Citation 8

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monthly reversals, market efficiency, liquidity

49.

How to Make Finance Scholarship More Creative and Equitable: An Author’s Suggestions to Editors and Referees

China Accounting and Finance Review, Forthcoming
Number of pages: 14 Posted: 26 Feb 2013 Last Revised: 13 May 2017
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 491 (62,049)
Citation 1

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editing, refereeing

50.

Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 23 Jan 2014 Last Revised: 10 Mar 2017
Xindan Li, Avanidhar Subrahmanyam and Xuewei Yang
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University - School of Management and Engineering
Downloads 469 (65,853)
Citation 4

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Lotteries; Gambling; Financial Innovation; Cumulative Prospect Theory; Callable Bull/Bear Contract (CBBC); Turbo Warrant

51.

The Macroeconomic Uncertainty Premium in the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 54 Posted: 01 Jun 2017 Last Revised: 06 Apr 2020
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - Robert Emmett McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and Georgetown University - Department of Finance
Downloads 467 (65,992)

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Economic uncertainty, risk premia, corporate bond returns

52.

Post-Fundamentals Drift in Stock Prices: A Machine-Learning Approach

Number of pages: 71 Posted: 27 Jan 2020 Last Revised: 29 Jun 2020
Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 462 (67,792)

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53.

Winners, Losers, and Regulators in a Derivatives Market Bubble

The Review of Financial Studies, Forthcoming
Number of pages: 78 Posted: 07 Feb 2018 Last Revised: 31 Mar 2020
Xindan Li, Avanidhar Subrahmanyam and Xuewei Yang
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University - School of Management and Engineering
Downloads 441 (70,946)

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Warrants; Smart/naive investors, Financial sophistication; Trading performance; Individuals/institutions; Lotteries

54.

A Cognitive Theory of Corporate Disclosures

Downloads 435 ( 71,948)
Citation 8

A Cognitive Theory of Corporate Disclosures

Number of pages: 51 Posted: 22 Jan 2003
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 420 (74,355)

Abstract:

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Disclosure, liquidity, information asymmetry

A Cognitive Theory of Corporate Disclosures

Financial Management, Vol. 34, No. 2, Summer 2005
Number of pages: 30 Posted: 29 Sep 2005
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 15 (617,515)
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55.

Capital Structure Effects on the Prices of Individual Equity Call Options

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 18 Sep 2014 Last Revised: 22 Jul 2015
Robert L. Geske, Avanidhar Subrahmanyam and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University
Downloads 428 (73,379)
Citation 2

Abstract:

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option pricing, leverage effect, compound option

56.

Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?

Downloads 419 ( 75,281)

Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?

EFA 2009 Bergen Meetings Paper
Number of pages: 38 Posted: 12 Feb 2009 Last Revised: 14 Nov 2013
Chandrasekhar Krishnamurti, Avanidhar Subrahmanyam and Tiong Yang Thong
University of South Australia, University of California, Los Angeles (UCLA) - Finance Area and Singapore Management University - Lee Kong Chian School of Business
Downloads 229 (144,587)

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Lockup expiration, Illiquidity

Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?

Number of pages: 40 Posted: 08 Jan 2010 Last Revised: 18 Jan 2014
Chandrasekhar Krishnamurti, Avanidhar Subrahmanyam and Tiong Yang Thong
University of South Australia, University of California, Los Angeles (UCLA) - Finance Area and Singapore Management University - Lee Kong Chian School of Business
Downloads 190 (172,687)

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Lockup expiration, Illiquidity

57.

Board Quality and the Cost of Debt Capital: The Case of Bank Loans

Mays Business School Research Paper No. 2011-3
Number of pages: 41 Posted: 17 Apr 2010 Last Revised: 16 Nov 2011
Paige Fields, Donald R. Fraser and Avanidhar Subrahmanyam
University of Kansas, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 368 (87,557)
Citation 13

Abstract:

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Board of directors, bank loans, cost of capital

58.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
Eduardo S. Schwartz, Avanidhar Subrahmanyam and Richard Roll
Simon Fraser University (SFU), University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 350 (92,738)
Citation 7

Abstract:

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59.

Dynamic Information Disclosure

Contemporary Accounting Research, Forthcoming
Number of pages: 51 Posted: 22 Jan 2013 Last Revised: 31 Jan 2016
Martin Dierker and Avanidhar Subrahmanyam
Korea Advanced Institute of Science and Technology (KAIST) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 327 (100,024)
Citation 3

Abstract:

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disclosure, informational efficiency, noisy rational expectations

60.

The Value of Private Information

Number of pages: 46 Posted: 02 Jan 2005
Jun Liu, Ehud Peleg and Avanidhar Subrahmanyam
University of California, San Diego (UCSD) - Rady School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 320 (102,518)

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Information, portfolio choice

61.

Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets?

Number of pages: 41 Posted: 18 Apr 2005
Amber Anand and Avanidhar Subrahmanyam
Syracuse University - Whitman School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 317 (103,601)
Citation 9

Abstract:

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Price discovery, intermediaries

62.

Financial Market Shocks and the Macroeconomy

Downloads 300 (109,927)
Citation 5

Financial Market Shocks and the Macroeconomy

Number of pages: 56 Posted: 01 Jan 2013 Last Revised: 25 May 2013
Avanidhar Subrahmanyam and Sheridan Titman
University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 275 (119,969)
Citation 1

Abstract:

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information, financial markets, feedback

Financial Market Shocks and the Macroeconomy

NBER Working Paper No. w19383
Number of pages: 55 Posted: 30 Aug 2013
Avanidhar Subrahmanyam and Sheridan Titman
University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 25 (548,143)

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63.

Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'

Journal of Finance, Vol. 53, No. 6, 1998
Number of pages: 42 Posted: 31 May 2018
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 289 (114,370)
Citation 85

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investor psychology, overconfidence, behavioral finance, overreactions, underreactions, asset pricing, anomalies, return predictability

64.

The Real Effects of Exchange-Traded Funds

Number of pages: 70 Posted: 24 Feb 2018 Last Revised: 26 Jan 2020
Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam and Chengzhu Sun
University of Warwick - Warwick Business School, Singapore Management University - Lee Kong Chian School of Business, University of Hong Kong (HKU) - Finance Area, Faculty of Business and Economics, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science & Technology (HKUST)
Downloads 287 (115,247)
Citation 3

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

65.

Common Liquidity Shocks and Market Collapse: Lessons from the Market for Perps

Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 13 Mar 2008
Chitru S. Fernando, Richard J. Herring and Avanidhar Subrahmanyam
University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 279 (118,778)

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ownership concentration, intermediation, market liquidity, common liquidity shocks, market collapse

66.

Global Financial Crisis, Liquidity Shocks and Global Financial Stability

CIFR Paper No. 014/2014
Number of pages: 56 Posted: 30 May 2014
Tung Lam Dang, Fariborz Moshirian, Avanidhar Subrahmanyam and Bohui Zhang
The University of Danang, Institute of Global Finance, UNSW Business School, University of California, Los Angeles (UCLA) - Finance Area and The Chinese University of Hong Kong, Shenzhen
Downloads 243 (136,893)
Citation 4

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Institutional investor, liquidity shock, financial crisis, global financial market

67.

Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets

Number of pages: 40 Posted: 07 Feb 2011 Last Revised: 10 Feb 2011
Shumi M. Akhtar, Robert W. Faff, Barry R. Oliver and Avanidhar Subrahmanyam
The University of Sydney, University of Queensland, University of Queensland - Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 236 (140,866)

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Consumer sentiment, behavioural finance, stock market

68.

Funding Constraints and Market Efficiency

Mays Business School Research Paper No. 2012-75
Number of pages: 51 Posted: 30 Nov 2010 Last Revised: 23 Oct 2012
Ferhat Akbas, Will J. Armstrong, Sorin M. Sorescu and Avanidhar Subrahmanyam
University of Illinois at Chicago, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 235 (141,457)

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market efficiency, anomalies, arbitrage, funding constraints, momentum, reversal, value, profitability

69.

Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation

Number of pages: 55 Posted: 10 Dec 2010 Last Revised: 31 Mar 2012
Richard Roll, Eduardo S. Schwartz and Avanidhar Subrahmanyam
California Institute of Technology, Simon Fraser University (SFU) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 184 (177,887)
Citation 18

Abstract:

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volume, market efficiency

70.

Asset Pricing When Trading Is for Entertainment

Review of Behavioral Finance, Forthcoming
Number of pages: 67 Posted: 23 May 2016 Last Revised: 30 Apr 2018
Jiang Luo and Avanidhar Subrahmanyam
Nanyang Technological University (NTU) - Division of Banking & Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 178 (183,207)
Citation 3

Abstract:

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Trading, Volume, Gambling, Covariance Risk

71.

Do Wealthy Investors Have an Informational Advantage? Evidence Based on Account Classifications of Individual Investors

Journal of Empirical Finance, Forthcoming
Number of pages: 45 Posted: 20 May 2015 Last Revised: 18 Dec 2017
Xindan Li, Chris Geng, Avanidhar Subrahmanyam and Honghai Yu
Nanjing University, Shanghai Development Bank, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University
Downloads 177 (185,016)
Citation 3

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individual investors, trading behavior, trading performance

72.

Executive Compensation and Investor Clientele

Number of pages: 47 Posted: 13 Oct 2006
Laura Frieder and Avanidhar Subrahmanyam
Purdue University - Krannert School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 175 (185,958)
Citation 2

Abstract:

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executive compensation, corporate governance

73.

The Power of Bad: The Negativity Bias in Consumer Sentiment Announcements on Stock Returns

Number of pages: 35 Posted: 15 Jun 2010
Shumi M. Akhtar, Robert W. Faff, Barry R. Oliver and Avanidhar Subrahmanyam
The University of Sydney, University of Queensland, University of Queensland - Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 174 (186,857)
Citation 2

Abstract:

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Investor Sentiment, Stock Market Returns, Market Efficiency

74.

Global Commonality in Liquidity

CIFR Paper No. 045/2014
Number of pages: 33 Posted: 05 Nov 2014 Last Revised: 24 May 2015
Fariborz Moshirian, Avanidhar Subrahmanyam, Claudia Koon Ghee Wee and Bohui Zhang
Institute of Global Finance, UNSW Business School, University of California, Los Angeles (UCLA) - Finance Area, University of New South Wales (UNSW) - Australian School of Business, Banking & Finance and The Chinese University of Hong Kong, Shenzhen
Downloads 158 (202,888)
Citation 2

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Global Financial Stability, Liquidity Risk and Liquidity Management

75.

The Implications of Stock Ownership as a Consumption Good: A Theoretical Perspective

Downloads 153 (208,500)
Citation 1

The Implications of Stock Ownership as a Consumption Good: A Theoretical Perspective

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 65 Posted: 27 Mar 2016 Last Revised: 17 Sep 2017
Jiang Luo and Avanidhar Subrahmanyam
Nanyang Technological University (NTU) - Division of Banking & Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 88 (313,763)

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behavioral finance, market efficiency, value effect

The Affect Heuristic and Stock Ownership: A Theoretical Perspective

Review of Financial Economics, Forthcoming
Number of pages: 59 Posted: 15 Jan 2017 Last Revised: 20 Apr 2018
Jiang Luo and Avanidhar Subrahmanyam
Nanyang Technological University (NTU) - Division of Banking & Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 65 (374,616)
Citation 1

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76.

Individual Investors' Trading Activity and Major Lifecycle Events: The Case of Divorce

FIRN Research Paper Forthcoming
Number of pages: 41 Posted: 04 Jun 2014 Last Revised: 15 Jun 2020
Andrew R. Grant, Petko S. Kalev, Avanidhar Subrahmanyam and P. Joakim Westerholm
University of Sydney - Discipline of Finance, Faculty of Economics and Business, La Trobe Business School, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 149 (213,153)

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Decision Making, Divorce, Individual Investors, Performance, Trading Behavior

77.

(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns

Number of pages: 60 Posted: 21 Aug 2018
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 136 (229,237)
Citation 8

Abstract:

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investor psychology, asset pricing, arbitrage, overconfidence, behavioral finance, misvaluation, risk, expected returns

78.

Financial Market Frictions and Learning from the Stock Price

Number of pages: 53 Posted: 13 Dec 2019
Dominik Rösch, Avanidhar Subrahmanyam and Mathijs A. Van Dijk
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 89 (308,927)

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financial market frictions, illiquidity, corporate investment, learning from the stock price, short-termism

79.

The Equity Volatility-Volume Ratio and Treasury Bond Returns

Number of pages: 70 Posted: 18 Oct 2019 Last Revised: 10 Feb 2020
Stefanie Schraeder, Elvira Sojli, Avanidhar Subrahmanyam and Wing Wah Tham
University of New South Wales, UNSW Australia Business School, School of Banking and Finance, University of California, Los Angeles (UCLA) - Finance Area and University of New South Wales (UNSW)
Downloads 77 (337,229)

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Stock market volatility-to-volume ratio; Amihud ratio; Bond risk premia; Difference of opinion; Monetary policy uncertainty

80.

On the Stability of the Cross-Section of Expected Stock Returns in the Cross-Section: Understanding the Curious Role of Share Turnover

European Financial Management, Vol. 11, No. 5, pp. 661-678, November 2005
Number of pages: 18 Posted: 08 Dec 2005
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 31 (499,140)
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81.

Behavioral Finance: A Review and Synthesis

European Financial Management, Vol. 14, No. 1, pp. 12-29, January 2008
Number of pages: 18 Posted: 29 Dec 2007
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 29 (509,570)
Citation 6
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82.

Divergence of Us and Local Returns in the After-Market for Equity Issuing Adrs

European Financial Management, Vol. 10, No. 3, pp. 389-411, September 2004
Number of pages: 24 Posted: 06 Sep 2004
Padma Kadiyala and Avanidhar Subrahmanyam
Pace University - Lubin School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 29 (509,570)
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83.

Liquidity, Return and Order-Flow Linkages between REITs and the Stock Market

Real Estate Economics, Vol. 35, No. 3, pp. 383-408, Fall 2007
Number of pages: 26 Posted: 24 Aug 2007
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 28 (514,964)
Citation 1
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84.

Foreign Firms Issuing Equity on Us Exchanges: An Empirical Investigation of Ipos and Seos

International Review of Finance, Vol. 3, pp. 27-51, March 2002
Number of pages: 25 Posted: 29 Sep 2003
Padma Kadiyala and Avanidhar Subrahmanyam
Pace University - Lubin School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 28 (514,964)
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85.

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
Tarun Chordia, Lakshmanan Shivakumar and Avanidhar Subrahmanyam
Emory University - Department of Finance, London Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 26 (526,191)
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86.

Social Networks and Corporate Governance

European Financial Management, Vol. 14, Issue 4, pp. 633-662, September 2008
Posted: 14 Aug 2008
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 4 (671,609)
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87.

Equity Market Momentum: A Synthesis of the Literature and Suggestions for Future Work

Pacific-Basin Finance Journal, Forthcoming
Posted: 08 Aug 2018
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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momentum, market efficiency, cross-section of returns

88.

Overconfidence, Arbitrage, and Equilibrium Asset Pricing

Journal of Finance, Vol. 56, No. 3, pp. 921-965, June 2001
Posted: 01 Dec 2008
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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89.

Investor Psychology and Security Market Under- and Over-Reactions

Journal of Finance, Vol. 53, No. 6, pp. 1839-1885, December 1998
Posted: 01 Dec 2008 Last Revised: 15 Aug 2014
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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90.

Futures Versus Share Contracting as Alternatives for Diversifying Output Risk

Economic Journal, Vol. 103, pp. 620-639, May 1993
Posted: 01 Dec 2008
David A. Hirshleifer and Avanidhar Subrahmanyam
University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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91.

Distinguishing between Rationales for Short-Horizon Predictability of Stock Returns

Financial Review, Vol. 40, No. 1, February 2005
Posted: 24 Nov 2004
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Market efficiency, order imbalance, trading activity

92.

Perspectives: Nonsecular Regularities in Returns and Volume

Financial Analysts Journal, Vol. 60, No. 4, pp. 29-34, July/August 2004
Posted: 10 Aug 2004
Laura Frieder and Avanidhar Subrahmanyam
Purdue University - Krannert School of Management and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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Portfolio Management: Equity Strategies

93.

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:

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

94.

News Events, Information Acquisition, and Serial Correlation

The Journal of Business, Vol. 75, No. 1, January 2002
Posted: 19 Jan 2002
Avanidhar Subrahmanyam and Craig W. Holden
University of California, Los Angeles (UCLA) - Finance Area and Indiana University - Kelley School of Business - Department of Finance

Abstract:

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95.

Order Imbalance, Liquidity, and Market Returns

Posted: 13 Nov 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
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

96.

Asymmetric Information and News Disclosure Rules

Journal of Financial Intermediation, Vol. 9, No. 4
Posted: 12 Oct 2000
Matthew I. Spiegel and Avanidhar Subrahmanyam
Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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97.

Security Analysis and Trading Patterns When Some Investors Receive Information Before Others

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Security Analysis and Trading Patterns When Some Investors Receive Information Before Others

Journal of Finance, Vol. 49, No. 5, pp. 1665-1698, December 1994
Posted: 01 Dec 2008
Avanidhar Subrahmanyam, Sheridan Titman and David A. Hirshleifer
University of California, Los Angeles (UCLA) - Finance Area, University of Texas at Austin - Department of Finance and University of California, Irvine - Paul Merage School of Business

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Security Analysis and Trading Patterns When Some Investors Receive Information Before Others

Anderson Graduate School of Management Working Paper at UCLA Number 7-93
Posted: 14 Sep 1999
David A. Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman
University of California, Irvine - Paul Merage School of Business, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance

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98.

Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns

London Business School Institute of Finance and Accounting Working Paper 190
Posted: 06 Sep 1999
Michael J. Brennan and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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99.

Investment Analysis and Price Formation in Securities Markets

London Business School Institute of Finance and Accounting Working Paper 188
Posted: 02 Sep 1999
Michael J. Brennan and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

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100.

Circuit Breakers and Market Volatility: A Theoretical Perspective

Posted: 01 Sep 1999
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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101.

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

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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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102.

Cross-Sectional Determinants of Expected Returns

Posted: 11 May 1998
Michael J. Brennan, Tarun Chordia and Avanidhar Subrahmanyam
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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103.

Information, Resource Allocation, and the Development of Financial Markets

Posted: 10 May 1998
Avanidhar Subrahmanyam and Sheridan Titman
University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance

Abstract:

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104.

Transaction Taxes and Financial Market Equilibrium

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Transaction Taxes and Financial Market Equilibrium

Posted: 30 Nov 1995
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area

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Transaction Taxes and Financial Market Equilibrium

Journal of Business, Vol. 71 No. 1, January 1998
Posted: 18 Apr 1998
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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105.

Risk Aversion, Liquidity, and Endogenous Short Horizons

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Risk Aversion, Liquidity, and Endogenous Short Horizons

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 24 Jul 1996
Avanidhar Subrahmanyam and Craig W. Holden
University of California, Los Angeles (UCLA) - Finance Area and Indiana University - Kelley School of Business - Department of Finance

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Risk Aversion, Liquidity, and Endogenous Short Horizons

Posted: 13 Jun 1994
Avanidhar Subrahmanyam and Craig W. Holden
University of California, Los Angeles (UCLA) - Finance Area and Indiana University - Kelley School of Business - Department of Finance

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