Mochtar Riady Building
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National University of Singapore (NUS) - Department of Finance
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Liquidity, Market decline, Liquidity commonality, Price reversal
Momentum, Reversals, Behavioral Theories
Asian stock markets, momentum investment strategy, price predictability
Analysts; Return comovement; Information spillover; Earnings forecasts; Bellwether firms
Momentum, Informed Trading, Liquidity, Uncertainty
Liquidity, Price Synchronicity, adverse information risk
Price Synchronicity, Security Analyst, Emerging Markets
CDS, options,default probabilities, recovery
cross-autocorrelations, market conditions, return predictability, delay
Illiquidity Premium, International Markets, Commonality in Illiquidity Premium
monthly reversals, market efficiency, liquidity
Overpricing, mutual funds, managerial skill, sentiment, fund flows
Dividend Clientele, Return Comovement, Style Investing
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP11498.
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carry, daily, data, deviation, interest, nominal, parity, Trade, uncovered, volatility
Price Pressure, Put-Call Parity, Return Predictability, Informed Trading
institutional trading, liquidity, return predictability, size premium
Price Synchronicity, Liquidity
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