Weimin Liu

Nottingham University Business School

Jubilee Campus

Wollaton Road

Nottingham, NG8 1BB

United Kingdom

SCHOLARLY PAPERS

12

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CITATIONS
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41

Scholarly Papers (12)

1.
Downloads 1,351 ( 13,323)
Citation 11

Post-Earnings-Announcement Drift in the UK

LUMS Working Paper No. 2000/010
Number of pages: 48 Posted: 25 Jan 2001
Weimin Liu, Norman C. Strong and Xinzhong Xu
Nottingham University Business School, University of Manchester - Alliance Manchester Business School and Peking University - Guanghua School of Management
Downloads 1,329 (13,365)
Citation 11

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Post-earnings-announcement drift, market efficiency, earnings surprises

Post-Earnings-Announcement Drift in the UK

European Financial Management, Vol. 9, pp. 89-116, 2003
Number of pages: 28 Posted: 18 Mar 2003
Weimin Liu, Norman C. Strong and Xinzhong Xu
Nottingham University Business School, University of Manchester - Alliance Manchester Business School and Peking University - Guanghua School of Management
Downloads 22 (514,711)
Citation 11
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Post-earnings-announcement Drift, Market Efficiency, Earnings Surprises

2.

Liquidity Premium and a Two-Factor Model

EFA 2004 Maastricht Meetings Paper No. 2678
Number of pages: 53 Posted: 30 Jun 2004
Weimin Liu
Nottingham University Business School
Downloads 1,276 (14,526)
Citation 2

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Liquidity risk, spread, turnover, momentum, liquidity factor, anomalies

3.
Downloads 791 ( 29,458)
Citation 1

The Liquidity-Augmented CAPM over 1926 to 1963

Number of pages: 41 Posted: 04 Mar 2007 Last Revised: 16 Jul 2008
Weimin Liu
Nottingham University Business School
Downloads 571 (45,047)
Citation 1

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Trading continuity, liquidity risk, liquidity premium

The Liquidity-Augmented CAPM Over 1926 to 1963

Number of pages: 41 Posted: 06 Mar 2008
Weimin Liu
Nottingham University Business School
Downloads 220 (135,264)
Citation 1

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Trading continuity, liquidity risk, liquidity premium

4.

Liquidity and Asset Pricing: Evidence from Daily Data over 1926 to 2005

Nottingham University Business School Research Paper No. 2009-03
Number of pages: 50 Posted: 19 Feb 2009
Weimin Liu
Nottingham University Business School
Downloads 414 (68,146)
Citation 3

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Liquidy, risk, premium, CAPM

Biases in Decomposing Holding Period Portfolio Returns

Number of pages: 32 Posted: 20 Mar 2006
Weimin Liu and Norman C. Strong
Nottingham University Business School and University of Manchester - Alliance Manchester Business School
Downloads 353 (81,539)
Citation 17

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Decomposed buy-and-hold portfolio returns, rebalanced portfolio returns

Biases in Decomposing Holding-Period Portfolio Returns

The Review of Financial Studies, Vol. 21, No. 5, pp. 2243-2274, 2008
Posted: 19 Sep 2008
Weimin Liu and Norman C. Strong
Nottingham University Business School and University of Manchester - Alliance Manchester Business School

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6.

Transaction Costs, Liquidity Risk, and the CCAPM

Number of pages: 54 Posted: 28 Jun 2014 Last Revised: 15 Sep 2015
Weimin Liu, Di Luo and Huainan Zhao
Nottingham University Business School, University of Southampton and Loughborough University - School of Business and Economics
Downloads 181 (163,397)
Citation 1

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Transaction costs; Liquidity risk; Consumption-based asset pricing

7.

The Liquidity Risk Adjusted Epstein-Zin Model

Number of pages: 53 Posted: 07 May 2014 Last Revised: 16 Apr 2015
Weimin Liu, Di Luo and Huainan Zhao
Nottingham University Business School, University of Southampton and Loughborough University - School of Business and Economics
Downloads 85 (287,787)

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Liquidity risk; Consumption-based asset pricing; Model performance

8.

UK Evidence on the Characteristics versus Covariance Debate

European Financial Management, Vol. 13, No. 4, pp. 742-756, September 2007
Number of pages: 15 Posted: 15 Aug 2007
Weimin Liu, Edward Lee and Norman C. Strong
Nottingham University Business School, University of Manchester - Alliance Manchester Business School and University of Manchester - Alliance Manchester Business School
Downloads 18 (521,280)
Citation 6
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9.

Employment Growth, Liquidity Risk, and the Cross-section of Stock Returns

Number of pages: 51 Posted: 04 Feb 2019
Weimin Liu, Di Luo, Seyoung Park and Huainan Zhao
Nottingham University Business School, University of Southampton, Loughborough University - School of Business and Economics and Loughborough University - School of Business and Economics
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Employment growth premium; Liquidity risk; Labor hiring

10.

Labor Productivity and the Cross-Section of Stock Returns

Posted: 19 Apr 2017
Weimin Liu, Di Luo and Huainan Zhao
Nottingham University Business School, University of Southampton and Loughborough University - School of Business and Economics

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Labor productivity; Cross-sectional returns; Asset pricing

11.

Inside Out: Decomposing Profitability and the Cross-Section of Stock Returns

Posted: 19 Apr 2017
Weimin Liu, Di Luo and Huainan Zhao
Nottingham University Business School, University of Southampton and Loughborough University - School of Business and Economics

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Asset turnover; Cross-sectional returns; Asset pricing

12.

The Epstein–Zin Model with Liquidity Extension

Financial Review, Vol. 51, Issue 1, pp. 113-146, 2016
Number of pages: 34 Posted: 14 Jan 2016
Weimin Liu, Di Luo and Huainan Zhao
Nottingham University Business School, University of Southampton and Loughborough University - School of Business and Economics
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liquidity risk, consumption‐based asset pricing, model performance