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

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

116

DOWNLOADS

97,514

SSRN CITATIONS

2,381

CROSSREF CITATIONS

999

Scholarly Papers (116)

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 Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 8,663 (1,410)
Citation 110

Abstract:

Loading...

2.

Moving Average Distance as a Predictor of Equity Returns

Review of Financial Economics, Forthcoming
Number of pages: 40 Posted: 16 Feb 2018 Last Revised: 08 Dec 2023
Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 5,734 (2,823)
Citation 16

Abstract:

Loading...

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

3.

An Empirical Analysis of Stock and Bond Market Liquidity

Downloads 3,548 ( 6,369)

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 3,548 (6,253)
Citation 129

Abstract:

Loading...

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

Abstract:

Loading...

4.

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 3,165 (7,638)
Citation 25

Abstract:

Loading...

Liquidity, spreads, depths, trading activity, transactions data

5.

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 3,095 (7,925)
Citation 5

Abstract:

Loading...

behavioral finance, investor sentiment, momentum, market efficiency

6.

A Protocol for Factor Identification

Downloads 1,858 ( 8,605)
Citation 46

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 1,124 (37,029)
Citation 24

Abstract:

Loading...

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 734 (66,781)
Citation 6

Abstract:

Loading...

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

7.

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 2,656 (10,101)
Citation 5

Abstract:

Loading...

market efficiency, cross-section of stock returns

8.

Trading Activity and Expected Stock Returns

Downloads 2,465 (11,344)

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 2,465 (11,133)
Citation 106

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...

9.

Commonality in Liquidity

Downloads 2,450 (11,465)
Citation 143

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 2,450 (11,257)
Citation 143

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...

10.

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 2,322 (12,487)
Citation 76

Abstract:

Loading...

Anomalies, market efficiency, cross-section of returns

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 2,168 (13,928)
Citation 17

Abstract:

Loading...

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

12.

Leverage is a Double-Edged Sword

Journal of Finance, forthcoming
Number of pages: 88 Posted: 28 May 2021 Last Revised: 24 Jun 2023
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 1,921 (16,817)
Citation 4

Abstract:

Loading...

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

13.

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 1,901 (17,145)
Citation 47

Abstract:

Loading...

Market efficiency, liquidity, order imbalance

14.

Empirical Determinants of Momentum: A Perspective From International Data


, Review of Finance, forthcoming 
Number of pages: 65 Posted: 20 Jan 2022 Last Revised: 07 Sep 2024
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 1,518 (24,287)
Citation 2

Abstract:

Loading...

momentum; information diffusion, market efficiency

15.

Evidence on the Speed of Convergence to Market Efficiency

Downloads 1,473 (25,297)
Citation 71

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 1,473 (24,960)
Citation 71

Abstract:

Loading...

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

Abstract:

Loading...

Market efficiency, order imbalances, autocorrelations

16.

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 1,376 (28,091)
Citation 4

Abstract:

Loading...

Order Imbalance, Liquidity, Trading Volume, Transactions

17.

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, University of Illinois at Urbana-Champaign - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,357 (28,608)
Citation 4

Abstract:

Loading...

index options, order flow, information, market efficiency

18.

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,354 (28,709)
Citation 30

Abstract:

Loading...

19.

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 - College of Business Administration, Texas Tech University - Area of Finance, Texas A&M University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,324 (29,706)
Citation 4

Abstract:

Loading...

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

20.

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 1,228 (33,172)
Citation 81

Abstract:

Loading...

CAPM, Sentiment, Overconfidence.

21.

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 1,208 (33,966)
Citation 43

Abstract:

Loading...

Institutional holdings, market efficiency

22.

Exchange-Traded Funds and Real Investment

Review of Financial Studies, forthcoming
Number of pages: 91 Posted: 24 Feb 2018 Last Revised: 16 May 2022
Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam and Chengzhu (Lisa) Sun
University of Warwick - Warwick Business School, Singapore Management University - Lee Kong Chian School of Business, University of Hong Kong (HKU), HKU Business School, University of California, Los Angeles (UCLA) - Finance Area and The Hong Kong Polytechnic University
Downloads 1,201 (34,218)
Citation 27

Abstract:

Loading...

ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

23.

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, Eduardo S. Schwartz, Richard Roll and Avanidhar Subrahmanyam
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 1,196 (34,410)
Citation 36

Abstract:

Loading...

Market efficiency, liquidity, arbitrage

24.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,141 (36,776)

Abstract:

Loading...

25.

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 1,141 (36,776)
Citation 34

Abstract:

Loading...

26.

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 - College of Business Administration, Texas Tech University - Area of Finance, Texas A&M University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,116 (38,005)
Citation 74

Abstract:

Loading...

Mutual funds, Hedge funds, Sock return anomalies

27.

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, Eduardo S. Schwartz and Avanidhar Subrahmanyam
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 1,092 (39,285)
Citation 12

Abstract:

Loading...

derivatives volume, stock volume, market efficiency

28.

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 1,090 (39,435)
Citation 103

Abstract:

Loading...

Corporate bonds, long-term reversal

29.

Short-Term Reversals and Longer-Term Momentum Around the World: Theory and Evidence

Nanyang Business School Research Paper No. 22-13
Number of pages: 78 Posted: 30 Mar 2022 Last Revised: 27 Nov 2023
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 1,057 (41,151)
Citation 5

Abstract:

Loading...

momentum, reversals, noise traders, liquidity, GameStop

30.

Investor Psychology and Tests of Factor Pricing Models

Number of pages: 40 Posted: 26 Nov 2005
Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,043 (41,920)
Citation 9

Abstract:

Loading...

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

31.

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 1,029 (42,714)
Citation 5

Abstract:

Loading...

Economic uncertainty, risk premia, corporate bond returns

32.

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 1,028 (42,776)
Citation 21

Abstract:

Loading...

momentum, reversal, cursedness, information trading

33.

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 1,020 (43,283)
Citation 6

Abstract:

Loading...

34.

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 Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 1,014 (43,634)
Citation 24

Abstract:

Loading...

35.

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

Downloads 1,014 (43,634)
Citation 2

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 Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 902 (50,575)

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: 24 Apr 2022
Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 112 (469,236)
Citation 2

Abstract:

Loading...

36.

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 943 (48,265)
Citation 1

Abstract:

Loading...

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

37.

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 941 (48,493)
Citation 7

Abstract:

Loading...

High Frequency Trading; Limit Order Book; Market Quality

38.

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 912 (50,574)

Abstract:

Loading...

Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

39.

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
Downloads 907 (50,917)
Citation 22

Abstract:

Loading...

Analysts, return reactions, stock recommendations

40.

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 898 (51,632)

Abstract:

Loading...

microstructure, market efficiency, behavioral finance

41.

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 876 (53,423)
Citation 24

Abstract:

Loading...

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

42.

Nominal Prices, Retail Investor Participation, and Return Momentum

Number of pages: 80 Posted: 29 Jul 2022 Last Revised: 11 Aug 2024
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 University of Edinburgh Business School
Downloads 857 (55,075)
Citation 5

Abstract:

Loading...

Momentum, Retail investors, Nominal stock prices

43.

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 857 (55,075)
Citation 12

Abstract:

Loading...

Liquidity, Kyle Lambda, Trading costs, Asset pricing

44.

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 847 (55,920)
Citation 72

Abstract:

Loading...

Trading Volume, Market Quality, Trading Costs, Efficiency

45.

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 818 (58,698)
Citation 6

Abstract:

Loading...

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

46.

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 728 (68,440)

Abstract:

Loading...

Microstructure, Order Imbalance, Individual Stock Returns

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 719 (69,552)
Citation 1

Abstract:

Loading...

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

48.

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 710 (70,747)
Citation 13

Abstract:

Loading...

Order flow, required returns, expected returns

49.

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 706 (71,248)
Citation 43

Abstract:

Loading...

Volume, Market Efficiency, Liquidity

50.

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 704 (71,638)
Citation 1

Abstract:

Loading...

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

51.

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 685 (74,057)
Citation 11

Abstract:

Loading...

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

52.

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 685 (74,057)
Citation 1

Abstract:

Loading...

53.

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 Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 670 (76,142)
Citation 426

Abstract:

Loading...

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

54.

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 649 (79,260)
Citation 13

Abstract:

Loading...

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

55.

Theory-Based Illiquidity and Asset Pricing

Downloads 643 (80,170)

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 643 (79,129)
Citation 34

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

G12, G14

56.

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
Syracuse University - 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 627 (82,768)
Citation 25

Abstract:

Loading...

monthly reversals, market efficiency, liquidity

57.

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

Downloads 627 (82,768)

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 368 (155,344)

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 259 (225,356)

Abstract:

Loading...

Lockup expiration, Illiquidity

58.

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 619 (84,078)
Citation 3

Abstract:

Loading...

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

59.

Momentum, Reversals, and Investor Clientele

Downloads 597 (88,052)
Citation 11

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 560 (94,356)

Abstract:

Loading...

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 2023
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 37 (848,870)
Citation 11

Abstract:

Loading...

60.

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 557 (96,090)
Citation 3

Abstract:

Loading...

option pricing, leverage effect, compound option

61.

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 540 (99,986)
Citation 2

Abstract:

Loading...

editing, refereeing

62.

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
The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 537 (100,656)
Citation 2

Abstract:

Loading...

SEOs, order imbalance, market efficiency

63.

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

Number of pages: 82 Posted: 30 Mar 2022 Last Revised: 27 Oct 2023
Claire Yurong Hong, Frank Weikai Li, Jiang Luo and Avanidhar Subrahmanyam
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Singapore Management University - Lee Kong Chian School of Business, Nanyang Business School, Nanyang Technological University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 519 (104,839)

Abstract:

Loading...

ETFs, financial intermediaries, capital constraints

64.

A Cognitive Theory of Corporate Disclosures

Downloads 498 (110,372)
Citation 9

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 457 (120,873)

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 41 (816,868)

Abstract:

Loading...

65.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
Eduardo S. Schwartz, Eduardo S. Schwartz, Avanidhar Subrahmanyam and Richard Roll
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 479 (115,536)
Citation 45

Abstract:

Loading...

66.

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 448 (125,090)
Citation 15

Abstract:

Loading...

Board of directors, bank loans, cost of capital

67.

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 397 (143,895)
Citation 5

Abstract:

Loading...

disclosure, informational efficiency, noisy rational expectations

68.

Financial Market Shocks and the Macroeconomy

Downloads 394 (145,131)
Citation 7

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 333 (173,308)
Citation 1

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 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 61 (684,421)

Abstract:

Loading...

69.

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 386 (148,484)

Abstract:

Loading...

Information, portfolio choice

70.

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 370 (155,659)
Citation 12

Abstract:

Loading...

Price discovery, intermediaries

71.

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Downloads 337 (172,303)

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Number of pages: 62 Posted: 18 Aug 2021 Last Revised: 15 Aug 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 177 (323,000)

Abstract:

Loading...

Efficient Markets, Serial Correlation, Spurious Results

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 160 (353,062)

Abstract:

Loading...

Efficient Markets, Serial Correlation, Spurious Results

72.

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, Review of Financial Economics, Forthcoming
Number of pages: 56 Posted: 18 Aug 2021 Last Revised: 21 Feb 2023
Amit Goyal, Avanidhar Subrahmanyam and Bhaskaran Swaminathan
University of Lausanne, University of California, Los Angeles (UCLA) - Finance Area and LSV Asset Management
Downloads 324 (179,752)
Citation 3

Abstract:

Loading...

Trading Costs, Determinants of Equity Returns, Liquidity Premia

73.

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, University of New South Wales (UNSW), University of California, Los Angeles (UCLA) - Finance Area and University of New South Wales (UNSW)
Downloads 310 (188,201)

Abstract:

Loading...

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

74.

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 305 (191,537)
Citation 5

Abstract:

Loading...

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

75.

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, RoZetta Institute, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 304 (192,278)

Abstract:

Loading...

Individual Investors, Divorce Performance, Trading Behavior

76.

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 284 (206,402)

Abstract:

Loading...

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

77.

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 278 (210,929)

Abstract:

Loading...

Consumer sentiment, behavioural finance, stock market

78.

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 - College of Business Administration, Texas Tech University - Area of Finance, Texas A&M University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 275 (213,373)

Abstract:

Loading...

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

79.

Securities Markets Where Some Investors Receive Information About Cash Flow Betas

Management Science, forthcoming
Number of pages: 123 Posted: 01 Oct 2020 Last Revised: 24 Apr 2024
Shiyang Huang, Jan Schneemeier, Avanidhar Subrahmanyam and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, Michigan State University - Eli Broad College of Business, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto - Rotman School of Management
Downloads 273 (214,935)

Abstract:

Loading...

Beta information, price impact, asset prices

80.

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 270 (217,278)
Citation 12

Abstract:

Loading...

Investor Sentiment, Stock Market Returns, Market Efficiency

81.

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, Eduardo S. Schwartz and Avanidhar Subrahmanyam
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 265 (221,406)
Citation 19

Abstract:

Loading...

volume, market efficiency

82.

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

Number of pages: 60 Posted: 21 Aug 2018
Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 260 (225,620)
Citation 8

Abstract:

Loading...

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

83.

Does FinTech Innovation Improve Traditional Banks' Operating Efficiency and Risk? New Evidence from Patent Filings *

Number of pages: 55 Posted: 07 Feb 2023 Last Revised: 18 Aug 2024
Libing Fang, Xindan Li, Avanidhar Subrahmanyam and Ke Zhang
Nanjing University - School of Management and Engineering, Nanjing University, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University - School of Management and Engineering
Downloads 259 (226,514)
Citation 1

Abstract:

Loading...

FinTech, Bank Efficiency, Operational Risk, Text Analysis JEL Classification: G21, G22, G23, M15, O32, O33 FinTech, Bank Efficiency, Operational Risk, Text Analysis JEL Classification: G21, G22, G23, M15, O32, O33

84.

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 254 (230,949)
Citation 3

Abstract:

Loading...

individual investors, trading behavior, trading performance

85.

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

Downloads 251 (233,633)
Citation 4

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 135 (405,751)

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 Business School, Nanyang Technological University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 116 (456,686)
Citation 4

Abstract:

Loading...

86.

Keeping it Simple: The Disappearance of Premia for Standard Non-Market Factors

Number of pages: 6 Posted: 25 Oct 2023 Last Revised: 27 Jan 2024
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 243 (241,172)

Abstract:

Loading...

Factors, risk premia, stock returns

87.

Finance Research: Some Concerns

Number of pages: 8 Posted: 06 May 2024 Last Revised: 13 May 2024
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area
Downloads 240 (244,169)

Abstract:

Loading...

market efficiency, corporate finance

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, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 237 (247,178)

Abstract:

Loading...

liquidity, asset pricing, spinoffs

89.

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 234 (250,173)
Citation 6

Abstract:

Loading...

Trading, Volume, Gambling, Covariance Risk

90.

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 228 (256,573)
Citation 3

Abstract:

Loading...

executive compensation, corporate governance

91.

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 227 (257,628)
Citation 2

Abstract:

Loading...

Global Financial Stability, Liquidity Risk and Liquidity Management

92.

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 226 (258,724)

Abstract:

Loading...

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

93.

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 121 (440,206)

Abstract:

Loading...

94.

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 79 (585,641)
Citation 14

Abstract:

Loading...

95.

The Capital Market Implications of Climate Risk Disclosure

Number of pages: 60 Posted: 12 Jul 2024
Jiang Luo, Konstantinos Stathopoulos, Avanidhar Subrahmanyam, Xiaoxia Ye and Ran Zhao
Nanyang Business School, Nanyang Technological University, The University of Manchester - Alliance Manchester Business School, University of California, Los Angeles (UCLA) - Finance Area, University of Exeter Business School - Department of Finance and San Diego State University
Downloads 57 (699,253)

Abstract:

Loading...

Climate risk, Disclosure, Breadth of ownership, Stock liquidity, Price efficiency JEL: G14, G20, G30, Q54 Climate risk, Disclosure, Breadth of ownership, Stock liquidity, Price efficiency JEL: G14, G20, G30, Q54

96.

Asset Pricing with Affect Investing, Gambling, and Overconfidence: Theory and Evidence

Nanyang Business School Research Paper No. 24-16
Number of pages: 87 Posted: 11 Jul 2024
Jiang Luo, Shuoge Qian, Zheng Qiao and Avanidhar Subrahmanyam
Nanyang Business School, Nanyang Technological University, Nanyang Business School, Nanyang Technological University, School of Management, Xi'an Jiaotong University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 51 (729,021)

Abstract:

Loading...

97.

Understanding the Valuation Gap between State-Owned and Non-State-Owned Enterprises

Number of pages: 80
Yuanlan Cao, Avanidhar Subrahmanyam, Xuewei Yang and Peng Zhu
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area, Nanjing University - School of Management and Engineering and Nanjing University
Downloads 6

Abstract:

Loading...

Chinese stock market, State-owned enterprises, Valuation

98.

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

99.

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 Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

100.

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 Hirshleifer and Avanidhar Subrahmanyam
Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

101.

Futures Versus Share Contracting as Alternatives for Diversifying Output Risk

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

Abstract:

Loading...

102.

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:

Loading...

Market efficiency, order imbalance, trading activity

103.

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:

Loading...

Portfolio Management: Equity Strategies

104.

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:

Loading...

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

105.

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:

Loading...

106.

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

107.

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:

Loading...

108.

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

Downloads 0 (1,197,264)

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

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 Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance

Abstract:

Loading...

109.

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...

110.

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...

111.

Circuit Breakers and Market Volatility: A Theoretical Perspective

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

Abstract:

Loading...

112.

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

Downloads 0 (1,197,264)

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...

113.

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...

114.

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...

115.

Transaction Taxes and Financial Market Equilibrium

Downloads 0 (1,197,264)

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...

116.

Risk Aversion, Liquidity, and Endogenous Short Horizons

Downloads 0 (1,197,264)

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...