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

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

102

DOWNLOADS
Rank 195

SSRN RANKINGS

Top 195

in Total Papers Downloads

61,065

CITATIONS
Rank 173

SSRN RANKINGS

Top 173

in Total Papers Citations

1,912

Scholarly Papers (102)

Actions:
Email selected abstracts
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 6,955 (780)
Citation 71

Abstract:

Loading...

2.

An Empirical Analysis of Stock and Bond Market Liquidity

Downloads 3,261 ( 2,945)

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 3,261 (2,883)
Citation 135

Abstract:

Loading...

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

Abstract:

Loading...

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 2,772 (3,867)
Citation 229

Abstract:

Loading...

Liquidity, spreads, depths, trading activity, transactions data

4.

Sentiment and Momentum

Number of pages: 54 Posted: 27 Sep 2009 Last Revised: 09 Mar 2014
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 2,499 (4,602)
Citation 8

Abstract:

Loading...

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 2,288 ( 5,365)
Citation 20

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 2,286 (5,252)
Citation 20

Abstract:

Loading...

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 (632,084)
Citation 20
  • Add to Cart

Abstract:

Loading...

6.

Commonality in Liquidity

Downloads 1,925 ( 7,196)
Citation 306

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 1,925 (7,033)
Citation 306

Abstract:

Loading...

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

Abstract:

Loading...

7.

Trading Activity and Expected Stock Returns

Downloads 1,776 ( 8,245)

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 1,776 (8,082)
Citation 124

Abstract:

Loading...

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

Abstract:

Loading...

8.

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 1,647 (9,333)
Citation 1

Abstract:

Loading...

Anomalies, market efficiency, cross-section of returns

9.

A Protocol for Factor Identification

Downloads 677 ( 10,374)

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 411 (65,984)

Abstract:

Loading...

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 266 (108,506)

Abstract:

Loading...

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

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 1,473 (11,170)
Citation 57

Abstract:

Loading...

Market efficiency, liquidity, order imbalance

11.

Evidence on the Speed of Convergence to Market Efficiency

Downloads 1,348 ( 12,847)

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 1,348 (12,639)
Citation 64

Abstract:

Loading...

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

Abstract:

Loading...

Market efficiency, order imbalances, autocorrelations

12.

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 1,151 (16,492)

Abstract:

Loading...

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

13.

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 1,147 (16,560)
Citation 1

Abstract:

Loading...

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

14.

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 1,107 (17,433)
Citation 50

Abstract:

Loading...

Institutional holdings, market efficiency

15.

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 1,084 (18,034)
Citation 164

Abstract:

Loading...

Order Imbalance, Liquidity, Trading Volume, Transactions

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 1,066 (18,431)
Citation 5

Abstract:

Loading...

17.

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 1,045 (18,991)
Citation 23

Abstract:

Loading...

Market efficiency, liquidity, arbitrage

18.

Stock Return Predictability: New Evidence from Moving Averages of Prices and Firm Fundamentals

Number of pages: 77 Posted: 16 Feb 2018 Last Revised: 08 Oct 2018
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 913 (23,221)

Abstract:

Loading...

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

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 907 (23,443)
Citation 7

Abstract:

Loading...

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 893 (23,980)
Citation 3

Abstract:

Loading...

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

21.

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

Downloads 883 ( 24,388)
Citation 13

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 827 (26,394)
Citation 13

Abstract:

Loading...

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 56 (356,009)
Citation 13

Abstract:

Loading...

22.

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
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 876 (24,662)
Citation 22

Abstract:

Loading...

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 870 (24,909)
Citation 10

Abstract:

Loading...

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

24.

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 799 (28,168)
Citation 37

Abstract:

Loading...

Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

25.

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 780 (29,051)
Citation 23

Abstract:

Loading...

Analysts, return reactions, stock recommendations

26.

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 743 (31,095)
Citation 20

Abstract:

Loading...

microstructure, market efficiency, behavioral finance

27.

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 734 (31,601)

Abstract:

Loading...

Mutual funds, Hedge funds, Sock return anomalies

28.

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 696 (33,949)

Abstract:

Loading...

High Frequency Trading; Limit Order Book; Market Quality

29.

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 687 (34,567)
Citation 7

Abstract:

Loading...

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

30.

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

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 09 Jun 2017
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 682 (34,945)

Abstract:

Loading...

31.

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 674 (35,502)
Citation 7

Abstract:

Loading...

Liquidity, Kyle Lambda, Trading costs, Asset pricing

32.

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 670 (35,784)
Citation 28

Abstract:

Loading...

derivatives volume, stock volume, market efficiency

33.

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 650 (37,265)
Citation 29

Abstract:

Loading...

Trading Volume, Market Quality, Trading Costs, Efficiency

34.

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 627 (39,210)

Abstract:

Loading...

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

35.

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 605 (40,959)
Citation 55

Abstract:

Loading...

Volume, Market Efficiency, Liquidity

36.

Investor Sentiment, Beta, and the Cost of Equity Capital

Management Science, Forthcoming
Number of pages: 49 Posted: 07 Jul 2012 Last Revised: 24 Mar 2015
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 601 (41,410)
Citation 1

Abstract:

Loading...

CAPM, Sentiment, Overconfidence.

37.

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 599 (41,506)
Citation 16

Abstract:

Loading...

38.

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 585 (42,822)
Citation 1

Abstract:

Loading...

Microstructure, Order Imbalance, Individual Stock Returns

39.

Index Option Trading Activity and Market Returns

Number of pages: 67 Posted: 22 Jun 2016 Last Revised: 20 May 2018
Tarun Chordia, Alexander Kurov, Dmitriy Muravyev and Avanidhar Subrahmanyam
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Boston College - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 565 (44,789)
Citation 216

Abstract:

Loading...

index options, order flow, information, market efficiency

40.

Theory-Based Illiquidity and Asset Pricing

Downloads 544 ( 47,000)

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 544 (46,415)
Citation 24

Abstract:

Loading...

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:

Loading...

G12, G14

41.

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 529 (48,677)
Citation 4

Abstract:

Loading...

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

42.

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

Downloads 503 ( 51,891)
Citation 5

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 477 (54,837)
Citation 5

Abstract:

Loading...

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 (477,268)
Citation 5
  • Add to Cart

Abstract:

Loading...

43.

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 491 (53,563)

Abstract:

Loading...

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

44.

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 471 (56,372)

Abstract:

Loading...

editing, refereeing

45.

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 466 (57,125)

Abstract:

Loading...

monthly reversals, market efficiency, liquidity

46.

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 465 (57,426)

Abstract:

Loading...

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

47.

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 462 (57,872)

Abstract:

Loading...

Order flow, required returns, expected returns

48.

A Cognitive Theory of Corporate Disclosures

Downloads 431 ( 62,859)
Citation 5

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 417 (64,809)
Citation 5

Abstract:

Loading...

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 14 (550,458)
Citation 5
  • Add to Cart

Abstract:

Loading...

49.

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 426 (63,769)

Abstract:

Loading...

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

50.

Long-Term Contrarian Strategies in the Corporate Bond Market

Number of pages: 66 Posted: 03 Jun 2017 Last Revised: 14 Dec 2018
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 425 (63,951)

Abstract:

Loading...

Corporate bonds, long-term reversal

51.

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 416 (65,809)

Abstract:

Loading...

option pricing, leverage effect, compound option

52.

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

Downloads 397 ( 69,418)
Citation 1

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 216 (133,637)
Citation 1

Abstract:

Loading...

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 181 (157,881)
Citation 1

Abstract:

Loading...

Lockup expiration, Illiquidity

53.

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 356 (78,788)
Citation 2

Abstract:

Loading...

Board of directors, bank loans, cost of capital

54.

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 340 (83,105)
Citation 17

Abstract:

Loading...

55.

Economic Uncertainty Premium in the Corporate Bond Market

Number of pages: 69 Posted: 01 Jun 2017 Last Revised: 11 Jan 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 329 (86,273)

Abstract:

Loading...

Economic uncertainty, risk premia, corporate bond returns

56.

Winners, Losers, and Regulators in a Nascent Derivatives Market: Evidence from Chinese Brokerage Data

Number of pages: 85 Posted: 07 Feb 2018 Last Revised: 09 Oct 2018
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 323 (88,076)

Abstract:

Loading...

Warrants; Financial sophistication; Trading performance; Individuals/institutions; Lotteries

57.

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 314 (90,880)
Citation 1

Abstract:

Loading...

Information, portfolio choice

58.

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 307 (93,195)
Citation 18

Abstract:

Loading...

Price discovery, intermediaries

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 305 (94,220)
Citation 2

Abstract:

Loading...

disclosure, informational efficiency, noisy rational expectations

60.

Stock Price Dynamics With Overconfident Investors

Number of pages: 82 Posted: 07 Jul 2017 Last Revised: 08 Dec 2018
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 292 (98,425)

Abstract:

Loading...

momentum, reversal, cursedness, information trading

61.

Financial Market Shocks and the Macroeconomy

Downloads 290 ( 99,521)

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 269 (107,264)

Abstract:

Loading...

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 21 (507,229)

Abstract:

Loading...

62.

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 276 (104,441)
Citation 3

Abstract:

Loading...

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

63.

ETF Ownership and Corporate Investment

Number of pages: 57 Posted: 11 Jun 2018 Last Revised: 08 Nov 2018
Constantinos Antoniou, Avanidhar Subrahmanyam and Onur Tosun
University of Warwick - Warwick Business School, University of California, Los Angeles (UCLA) - Finance Area and University of Warwick - Finance Group
Downloads 243 (119,808)

Abstract:

Loading...

ETF Ownership, Corporate Investment

64.

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 232 (125,001)

Abstract:

Loading...

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

65.

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 231 (125,539)
Citation 1

Abstract:

Loading...

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

66.

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 226 (128,230)

Abstract:

Loading...

Consumer sentiment, behavioural finance, stock market

67.

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 213 (135,736)
Citation 20

Abstract:

Loading...

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

68.

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 173 (164,336)
Citation 1

Abstract:

Loading...

executive compensation, corporate governance

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 172 (165,158)

Abstract:

Loading...

volume, market efficiency

70.

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 164 (172,239)
Citation 4

Abstract:

Loading...

Investor Sentiment, Stock Market Returns, Market Efficiency

71.

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 159 (176,814)

Abstract:

Loading...

Trading, Volume, Gambling, Covariance Risk

72.

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 151 (184,584)

Abstract:

Loading...

Global Financial Stability, Liquidity Risk and Liquidity Management

73.

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 149 (187,678)

Abstract:

Loading...

individual investors, trading behavior, trading performance

74.

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

Downloads 131 (207,094)

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 82 (288,546)

Abstract:

Loading...

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 49 (378,988)

Abstract:

Loading...

75.

How Are Investor Trading Activity and Performance Affected by Major Lifecycle Events? The Case of Divorce

FIRN Research Paper
Number of pages: 47 Posted: 04 Jun 2014 Last Revised: 03 Feb 2017
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 127 (212,190)

Abstract:

Loading...

divorce, stressors, individual investor performance

76.

(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 101 (250,441)

Abstract:

Loading...

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

77.

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 (439,902)
Citation 1
  • Add to Cart

Abstract:

Loading...

78.

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 (449,137)
Citation 27
  • Add to Cart

Abstract:

Loading...

79.

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 (449,137)
Citation 1
  • Add to Cart

Abstract:

Loading...

80.

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 (453,973)
Citation 5
  • Add to Cart

Abstract:

Loading...

81.

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 (453,973)
Citation 2
  • Add to Cart

Abstract:

Loading...

82.

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 (463,921)
Citation 6
  • Add to Cart

Abstract:

Loading...

83.

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 (586,583)
Citation 6
  • Add to Cart

Abstract:

Loading...

84.

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:

Loading...

momentum, market efficiency, cross-section of returns

85.

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:

Loading...

86.

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 Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

87.

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:

Loading...

88.

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:

Loading...

Market efficiency, order imbalance, trading activity

89.

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:

Loading...

Portfolio Management: Equity Strategies

90.

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:

Loading...

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

91.

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:

Loading...

92.

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:

Loading...

Market Order Imbalance, Liquidity, Trading Volume, Contrarian

93.

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:

Loading...

94.

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

Downloads 0 (631,056)

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

Abstract:

Loading...

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

Abstract:

Loading...

95.

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:

Loading...

96.

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:

Loading...

97.

Circuit Breakers and Market Volatility: A Theoretical Perspective

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

Abstract:

Loading...

98.

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

Downloads 0 (631,056)

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:

Loading...

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:

Loading...

99.

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:

Loading...

100.

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:

Loading...

101.

Transaction Taxes and Financial Market Equilibrium

Downloads 0 (631,056)

Transaction Taxes and Financial Market Equilibrium

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

Abstract:

Loading...

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:

Loading...

102.

Risk Aversion, Liquidity, and Endogenous Short Horizons

Downloads 0 (631,056)

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

Abstract:

Loading...

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:

Loading...