Weimin Liu

Nottingham University Business School

Jubilee Campus

Wollaton Road

Nottingham, NG8 1BB

United Kingdom

SCHOLARLY PAPERS

10

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Top 29,517

in Total Papers Citations

10

CROSSREF CITATIONS

28

Scholarly Papers (10)

1.

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 1,514 (23,647)
Citation 1

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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 1,402 (26,512)
Citation 6

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

3.
Downloads 938 (47,172)
Citation 2

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 619 (80,677)

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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 319 (176,220)
Citation 3

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Trading continuity, liquidity risk, liquidity premium

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 476 (111,853)
Citation 6

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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

Abstract:

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5.

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 469 (115,072)
Citation 6

Abstract:

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Liquidy, risk, premium, CAPM

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 Dundee School of Business and Loughborough University - School of Business and Economics
Downloads 227 (250,137)

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Transaction costs; Liquidity risk; Consumption-based asset pricing

7.

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

Number of pages: 51 Posted: 04 Feb 2019 Last Revised: 26 May 2019
Weimin Liu, Di Luo, Seyoung Park and Huainan Zhao
Nottingham University Business School, University of Dundee School of Business, Nottingham University Business School and Loughborough University - School of Business and Economics
Downloads 131 (401,972)

Abstract:

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Employment growth premium; Liquidity risk; Labor hiring

8.

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 Dundee School of Business and Loughborough University - School of Business and Economics
Downloads 118 (434,889)

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Liquidity risk; Consumption-based asset pricing; Model performance

9.

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 Dundee School of Business and Loughborough University - School of Business and Economics

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Labor productivity; Cross-sectional returns; Asset pricing

10.

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 Dundee School of Business and Loughborough University - School of Business and Economics

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Asset turnover; Cross-sectional returns; Asset pricing