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

SCHOLARLY PAPERS

117

DOWNLOADS

79,289

SSRN CITATIONS

937

CROSSREF CITATIONS

1,120

Scholarly Papers (117)

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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7,980 (1,100)
Citation 71

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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 3,385 (4,703)
Citation 81

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An Empirical Analysis of Stock and Bond Market Liquidity

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

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 2,969 (6,005)
Citation 25

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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 2,893 (6,255)
Citation 5

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behavioral finance, investor sentiment, momentum, market efficiency

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 2,522 (7,650)
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 5 (872,742)
Citation 29

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6.
Downloads 1,415 ( 8,321)
Citation 18

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 731 (48,730)
Citation 5

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

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 684 (53,248)
Citation 6

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

7.
Downloads 2,124 ( 10,222)
Citation 67

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 2,124 (10,034)
Citation 67

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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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8.
Downloads 1,997 ( 11,367)
Citation 41

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 1,997 (11,138)
Citation 41

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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 Shanghai LiLi Technology Co.,Ltd.
Downloads 1,987 (11,430)
Citation 76

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Anomalies, market efficiency, cross-section of returns

10.

Moving Average Distance as a Predictor of Equity Returns

Review of Financial Economics, Forthcoming
Number of pages: 40 Posted: 16 Feb 2018 Last Revised: 01 Sep 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 1,967 (11,617)
Citation 13

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

11.

The Empirical Analysis of Liquidity

Foundations and Trends in Finance 8, No 4, 263-365, 2015, Kelley School of Business Research Paper No. 2014-09
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 1,927 (11,989)
Citation 17

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

12.

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 1,686 (14,828)
Citation 47

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Market efficiency, liquidity, order imbalance

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 1,418 (18,887)
Citation 40

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Evidence on the Speed of Convergence to Market Efficiency

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

14.

Capital Market Efficiency and Arbitrage Efficacy

AFA 2013 San Diego Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
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 1,250 (23,282)
Citation 4

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

15.

Leverage is a Double-Edged Sword

Number of pages: 83 Posted: 28 May 2021 Last Revised: 08 Dec 2021
Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang
University of California, Los Angeles (UCLA) - Finance Area, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Nanjing University - School of Management and Engineering
Downloads 1,247 (23,336)

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Leverage, Futures, Margin call, Smart investors, Trading performance

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 1,223 (24,055)
Citation 9

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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 1,177 (25,399)
Citation 4

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Order Imbalance, Liquidity, Trading Volume, Transactions

18.

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 1,158 (26,030)
Citation 43

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Institutional holdings, market efficiency

19.

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

Number of pages: 50 Posted: 09 Nov 2004
Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,118 (27,387)
Citation 21

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Market efficiency, liquidity, arbitrage

20.

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 1,043 (30,271)
Citation 4

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index options, order flow, information, market efficiency

21.

Determinants of Momentum: A Perspective From International Data

Number of pages: 73 Posted: 20 Jan 2022 Last Revised: 01 Aug 2022
Amit Goyal, Narasimhan Jegadeesh and Avanidhar Subrahmanyam
University of Lausanne, Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 986 (32,812)

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momentum; information diffusion, market efficiency

22.

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 973 (33,413)
Citation 29

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Mutual funds, Hedge funds, Sock return anomalies

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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 961 (33,969)
Citation 9

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

24.

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
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
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 956 (34,239)
Citation 34

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25.

Feedback and the Success of Irrational Investors

Journal of Financial Economics, Vol. 81, No. 2, pp. 311-338, August 2006, 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
Marshall School of Business, USC, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 954 (34,351)
Citation 24

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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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 867 (38,719)

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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: 24 Apr 2022
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 82 (413,147)

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27.

Investor Sentiment, Beta, and the Cost of Equity Capital

Management Science, Forthcoming , WBS Finance Group Research Paper No. 185
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 938 (35,157)
Citation 26

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CAPM, Sentiment, Overconfidence.

28.

The Cross-Section of Daily Variation in Liquidity

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 931 (35,515)
Citation 6

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29.

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 905 (36,980)
Citation 1

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

30.

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
California Institute of Technology, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 899 (37,332)
Citation 12

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derivatives volume, stock volume, market efficiency

31.

Post-Fundamentals Price Drift in Capital Markets: A Regression Regularization Perspective

Management Science, forthcoming
Number of pages: 80 Posted: 27 Jan 2020 Last Revised: 19 May 2021
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 874 (38,863)

Abstract:

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32.

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 - McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and McDonough School of Business, Georgetown University
Downloads 863 (39,549)
Citation 15

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Corporate bonds, long-term reversal

33.

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 858 (39,878)

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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

34.

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 856 (39,989)

Abstract:

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microstructure, market efficiency, behavioral finance

35.

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 Business School, Nanyang Technological University, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 847 (40,531)
Citation 7

Abstract:

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momentum, reversal, cursedness, information trading

36.

Exchange-Traded Funds and Real Investment

Review of Financial Studies, forthcoming
Number of pages: 91 Posted: 24 Feb 2018 Last Revised: 16 May 2022
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 The Hong Kong Polytechnic University
Downloads 838 (41,158)
Citation 3

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

37.

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 832 (41,532)
Citation 16

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Analysts, return reactions, stock recommendations

38.

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 - McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and McDonough School of Business, Georgetown University
Downloads 801 (43,802)
Citation 5

Abstract:

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Economic uncertainty, risk premia, corporate bond returns

39.

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 793 (44,306)
Citation 3

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High Frequency Trading; Limit Order Book; Market Quality

40.

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
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 766 (46,359)
Citation 40

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Trading Volume, Market Quality, Trading Costs, Efficiency

41.

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 Shanghai LiLi Technology Co.,Ltd.
Downloads 759 (46,982)
Citation 13

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Liquidity, Kyle Lambda, Trading costs, Asset pricing

42.

High-Frequency Measures of Informed Trading and Corporate Announcements

Review of Financial Studies, Forthcoming, Institute of Global Finance Working Paper No. 2
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 752 (47,559)
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

43.

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 726 (49,823)
Citation 6

Abstract:

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

44.

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 648 (57,796)

Abstract:

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Microstructure, Order Imbalance, Individual Stock Returns

45.

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 641 (58,615)
Citation 31

Abstract:

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Volume, Market Efficiency, Liquidity

46.

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 634 (59,437)
Citation 1

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47.

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 622 (61,170)
Citation 1

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

48.

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

Journal of Financial Economics (JFE), Forthcoming, Rotman School of Management Working Paper No. 2560693
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 593 (64,677)
Citation 1

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

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 578 (66,076)
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
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

Abstract:

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G12, G14

50.

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 (EUR)
Downloads 575 (67,304)
Citation 11

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

51.

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 573 (67,612)
Citation 4

Abstract:

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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

52.

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 560 (69,559)
Citation 10

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monthly reversals, market efficiency, liquidity

53.

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 Shanghai LiLi Technology Co.,Ltd.
Downloads 557 (70,045)
Citation 4

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Order flow, required returns, expected returns

54.

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 542 (72,468)
Citation 3

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

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 487 (81,860)
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 (674,598)

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56.

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 504 (79,294)
Citation 1

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editing, refereeing

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 269 (158,512)

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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 208 (203,665)

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Lockup expiration, Illiquidity

58.

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 470 (86,239)
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option pricing, leverage effect, compound option

Momentum, Reversals, and Investor Clientele

Review of Finance, forthcoming
Number of pages: 70 Posted: 01 Oct 2020 Last Revised: 07 Feb 2022
Andy C.W. Chui, Avanidhar Subrahmanyam and Sheridan Titman
Hong Kong Polytechnic University, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 457 (88,377)

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Chinese stock market, stock market anomalies, momentum, reversals

Momentum, Reversals, and Investor Clientele

NBER Working Paper No. w29453
Number of pages: 63 Posted: 08 Nov 2021 Last Revised: 24 Jun 2022
Andy C.W. Chui, Avanidhar Subrahmanyam and Sheridan titman
Hong Kong Polytechnic University, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin
Downloads 7 (850,543)
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60.
Downloads 438 ( 93,625)
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 423 (96,733)

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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 (768,579)

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61.

Momentum and Short-Term Reversals: Theory and Evidence

Nanyang Business School Research Paper No. 22-13
Number of pages: 74 Posted: 30 Mar 2022 Last Revised: 09 May 2022
Narasimhan Jegadeesh, Jiang Luo, Avanidhar Subrahmanyam and Sheridan Titman
Emory University - Department of Finance, Nanyang Business School, Nanyang Technological University, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 427 (97,028)

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momentum, reversals, noise traders, liquidity, GameStop

62.

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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 427 (96,517)
Citation 153

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

63.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 421 (98,083)
Citation 17

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64.

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 383 (109,370)
Citation 15

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Board of directors, bank loans, cost of capital

65.

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 348 (121,648)
Citation 5

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disclosure, informational efficiency, noisy rational expectations

66.
Downloads 335 (126,833)
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 294 (144,679)
Citation 1

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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 Last Revised: 19 Jun 2022
Avanidhar Subrahmanyam and Sheridan Titman
University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 41 (578,754)

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67.

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 333 (127,667)
Citation 10

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Price discovery, intermediaries

68.

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 332 (128,102)

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Information, portfolio choice

69.

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 281 (152,334)

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

70.

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 259 (165,399)
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Institutional investor, liquidity shock, financial crisis, global financial market

71.

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 245 (174,567)

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

72.

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 242 (176,589)

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Consumer sentiment, behavioural finance, stock market

Changing Expected Returns Can Induce Spurious Serial Correlation

Number of pages: 59 Posted: 14 Nov 2021 Last Revised: 06 Jul 2022
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 120 (321,319)

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Efficient Markets, Serial Correlation, Spurious Results

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Number of pages: 60 Posted: 18 Aug 2021 Last Revised: 25 Jul 2022
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 114 (333,315)

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Efficient Markets, Serial Correlation, Spurious Results

74.

Retail Trading Activity and Major Lifecycle Events: The Case of Divorce

FIRN Research Paper Forthcoming, Journal of Banking and Finance, Forthcoming
Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 21 Dec 2021
Andrew R. Grant, Petko S. Kalev, Avanidhar Subrahmanyam and P. Joakim Westerholm
University of Sydney Business School - Discipline of Finance, La Trobe Business School, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 231 (184,640)

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Individual Investors, Divorce Performance, Trading Behavior

75.

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
California Institute of Technology, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 224 (190,071)
Citation 19

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volume, market efficiency

76.

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 208 (203,860)
Citation 3

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Investor Sentiment, Stock Market Returns, Market Efficiency

77.

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 207 (204,783)
Citation 3

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individual investors, trading behavior, trading performance

78.

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 Business School, Nanyang Technological University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 199 (212,259)
Citation 3

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Trading, Volume, Gambling, Covariance Risk

79.

Equity Trading Activity and Treasury Bond Risk Premia

Forthcoming Journal of Financial and Quantitative Analysis
Number of pages: 70 Posted: 18 Oct 2019 Last Revised: 12 Aug 2021
Stefanie Schraeder, Elvira Sojli, Avanidhar Subrahmanyam and Wing Wah Tham
Department of Finance, University of Vienna, 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 197 (214,175)

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Equity market volume; Volatility; Bond risk premia; Difference of opinion; Monetary policy uncertainty

80.

(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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 193 (218,148)
Citation 8

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

81.

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 186 (225,239)
Citation 3

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executive compensation, corporate governance

82.

Financial Intermediaries and Contagion in Market Efficiency: The Case of ETFs

Number of pages: 65 Posted: 30 Mar 2022 Last Revised: 14 Jul 2022
Claire Yurong Hong, Frank Weikai Li and Avanidhar Subrahmanyam
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Singapore Management University - Lee Kong Chian School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 179 (232,766)

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ETFs, financial intermediaries, capital constraints

83.

Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data

Swiss Finance Institute Research Paper No. 21-87
Number of pages: 76 Posted: 18 Aug 2021 Last Revised: 29 Apr 2022
Amit Goyal, Avanidhar Subrahmanyam and Bhaskaran Swaminathan
University of Lausanne, University of California, Los Angeles (UCLA) - Finance Area and LSV Asset Management
Downloads 178 (235,082)

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Trading Costs, Determinants of Equity Returns, Liquidity Premia

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 Business School, Nanyang Technological University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 95 (376,977)

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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 Business School, Nanyang Technological University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 82 (413,147)
Citation 3

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85.

Securities Markets Where Some Investors Receive Information About Cash Flow Betas

Number of pages: 103 Posted: 01 Oct 2020 Last Revised: 11 May 2022
Shiyang Huang, Jan Schneemeier, Avanidhar Subrahmanyam and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, Indiana University - Kelley School of Business - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto - Rotman School of Management
Downloads 175 (237,338)

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Beta information, price impact, asset prices

86.

Global Commonality in Liquidity

CIFR Paper No. 045/2014
Number of pages: 33 Posted: 05 Nov 2014 Last Revised: 24 May 2015
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 167 (246,852)
Citation 2

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Global Financial Stability, Liquidity Risk and Liquidity Management

87.

Investor short-termism and real investment

Journal of Financial Markets, Forthcoming
Number of pages: 56 Posted: 13 Dec 2019 Last Revised: 09 Apr 2021
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 (EUR)
Downloads 156 (261,430)

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investor short-termism, market liquidity; real investment; investment-to-price sensitivity

88.

Liquidity Spillovers: Evidence from Two-Step Spinoffs

Number of pages: 59 Posted: 11 Feb 2021 Last Revised: 15 Mar 2022
Yakov Amihud, Sahn-Wook Huh and Avanidhar Subrahmanyam
New York University - Stern School of Business, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 119 (321,627)

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liquidity, asset pricing, spinoffs

89.

Shocks to Order Flow Volatility and Stock Returns

Number of pages: 57 Posted: 01 Nov 2014
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 Shanghai LiLi Technology Co.,Ltd.
Downloads 65 (463,972)

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90.

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 33 (610,641)
Citation 9

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91.

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 (622,704)

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92.

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 29 (635,375)
Citation 1

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93.

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

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 (635,375)

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94.

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

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 29 (635,375)

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95.

Liquidity Dynamics Across Small and Large Firms

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 27 (648,742)
Citation 1

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96.

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

Number of pages: 52 Posted: 04 Aug 2015
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
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 (670,324)
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97.

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 5 (839,123)

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98.

Retail Investors and Momentum

Number of pages: 66 Posted: 29 Jul 2022
Jun Du, Dashan Huang, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam and Huacheng Zhang
Peking University - Guanghua School of Management, Singapore Management University - Lee Kong Chian School of Business, Peking University - Guanghua School of Management, Monash University - Department of Banking and Finance, University of California, Los Angeles (UCLA) - Finance Area and Nottingham University Business School
Downloads 57

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Momentum, Retail investors, Nominal stock prices

99.

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

100.

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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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101.

Investor Psychology and Security Market Under- and Over-Reactions

Journal of Finance, Vol. 53, No. 6, pp. 1839-1885, December 1998 , THE INTERNATIONAL LIBRARY OF CRITICAL WRITINGS IN FINANCIAL ECONOMICS, Hersh Shefrin, ed., Edward Elgar Publishers, 2002, ADVANCES IN BEHAVIORAL FINANCE II, Richard Thaler, ed., Princeton, 2002
Posted: 01 Dec 2008 Last Revised: 15 Aug 2014
Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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102.

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
Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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103.

Distinguishing between Rationales for Short-Horizon Predictability of Stock Returns

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

104.

Perspectives: Nonsecular Regularities in Returns and Volume

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

105.

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

106.

News Events, Information Acquisition, and Serial Correlation

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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107.

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

108.

Asymmetric Information and News Disclosure Rules

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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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 Marshall School of Business, USC

Abstract:

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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
Marshall School of Business, USC, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance

Abstract:

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110.

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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111.

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

Abstract:

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112.

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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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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114.

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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115.

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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Transaction Taxes and Financial Market Equilibrium

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

Abstract:

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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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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

Abstract:

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