Information uncertainty and the pricing of liquidity

Acharya, 2005, Asset pricing with liquidity risk, J. Financ. Econ., 77, 375, 10.1016/j.jfineco.2004.06.007 Amihud, 2002, Illiquidity and stock returns: Cross-section and time-series effects, J. Financial Mark., 5, 31, 10.1016/S1386-4181(01)00024-6 Amihud, 2015, The illiquidity premium: International evidence, J. Financ. Econ., 117, 350, 10.1016/j.jfineco.2015.04.005 Amihud, 1986, Asset pricing and the bid–ask spread, J. Financ. Econ., 17, 223, 10.1016/0304-405X(86)90065-6 Ang, 2006, The cross-Section of volatility and expected returns, J. Finance, 51, 259, 10.1111/j.1540-6261.2006.00836.x Ang, 2009, High idiosyncratic volatility and low returns: International and further U.S. evidence, J. Financ. Econ., 91, 1, 10.1016/j.jfineco.2007.12.005 Atkins, 1997, Market structure and reported trading volume: Nasdaq versus the NYSE, J. Financ. Res., 20, 291, 10.1111/j.1475-6803.1997.tb00250.x Avramov, 2006, The impact of trades on daily volatility, Rev. Financ. Stud., 19, 1241, 10.1093/rfs/hhj027 Badrinath, 1996, Characteristics of common stock holdings of insurance companies, J. Risk Insurance, 63, 49, 10.2307/253516 Ben-Rephael, 2015, The diminishing liquidity premium, J. Financ. Quant. Anal., 50, 197, 10.1017/S0022109015000071 Berkman, 2009, Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements, J. Financ. Econ., 92, 376, 10.1016/j.jfineco.2008.04.009 Boehme, 2006, Short-sale constraints, dispersion of opinion and overvaluation, J. Financ. Quant. Anal., 41, 455, 10.1017/S0022109000002143 Brennan, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, J. Financ. Econ., 49, 345, 10.1016/S0304-405X(98)00028-2 Brennan, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, J. Financ. Econ., 41, 441, 10.1016/0304-405X(95)00870-K Chordia, 2011, Recent trends in trading activity and market quality, J. Financ. Econ., 101, 243, 10.1016/j.jfineco.2011.03.008 Chordia, 2014, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?, J. Account. Econ., 58, 41, 10.1016/j.jacceco.2014.06.001 Constantinides, 1986, Capital market equilibrium with transaction costs, J. Political Econ., 94, 842, 10.1086/261410 Corwin, 2012, A simple way to estimate bid–ask spreads from daily high and low prices, J. Finance, 67, 719, 10.1111/j.1540-6261.2012.01729.x D’Avolio, 2002, The market for borrowing stock, J. Financ. Econ., 66, 271, 10.1016/S0304-405X(02)00206-4 Diether, 2002, Difference of opinion and the cross-section of stock returns, J. Finance, 57, 2113, 10.1111/0022-1082.00490 Fama, 1993, Common risk factors in the returns on stocks and bonds, J. Financ. Econ., 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 1973, Risk, return and equilibrium: Empirical tests, J. Political Econ., 81, 607, 10.1086/260061 Fong, 2017, What are the best liquidity proxies for global research?, Rev. Finance, 21, 1355, 10.1093/rof/rfx003 Frazzini, Andrea, Israel, Ronen, Moskowitz, Tobias J., 2018. Trading costs, Working paper. Goyenko, 2009, Do liquidity measures measure liquidity?, J. Financ. Econ., 92, 153, 10.1016/j.jfineco.2008.06.002 Han, 2011, Liquidity biases and the pricing of cross-sectional idiosyncratic volatility, Rev. Financ. Stud., 24, 1590, 10.1093/rfs/hhq140 Hansen, 2010, Fragile beliefs and the price of model uncertainty, Quant. Econ., 1, 129, 10.3982/QE9 Hasbrouck, 2009, Trading costs and returns for US equities: Estimating effective costs from daily data, J. Finance, 64, 1445, 10.1111/j.1540-6261.2009.01469.x Huang, 2009, The cross section of cashflow volatility and expected stock returns, J. Empir. Financ., 16, 409, 10.1016/j.jempfin.2009.01.001 Jayaraman, 2008, Earnings volatility, cash flow volatility, and informed trading, J. Account. Res., 46, 809, 10.1111/j.1475-679X.2008.00293.x Jiang, 2005, Information uncertainty and expected returns, Rev. Account. Stud., 10, 185, 10.1007/s11142-005-1528-2 Johnson, 2004, Forecast dispersion and the cross-section of expected returns, J. Finance, 59, 1957, 10.1111/j.1540-6261.2004.00688.x Lesmond, 1999, A new estimate of transaction costs, Rev. Financ. Stud., 12, 1113, 10.1093/rfs/12.5.1113 Liang, 2003, Post-earnings announcement drift and market participants’ information processing biases, Rev. Account. Stud., 8, 321, 10.1023/A:1024477831740 Lynch, 2011, Explaining the magnitude of liquidity premia: The roles of return predictability, wealth shocks, and state-dependent transaction costs, J. Finance, 66, 1329, 10.1111/j.1540-6261.2011.01662.x McLean, 2016, Does academic research destroy stock return predictability?, J. Finance, 71, 5, 10.1111/jofi.12365 Miller, 1977, Risk, uncertainty and divergence of opinion, J. Finance, 32, 1151, 10.1111/j.1540-6261.1977.tb03317.x Nagel, 2005, Short sales, institutional investors and the cross-section of stock returns, J. Financ. Econ., 78, 277, 10.1016/j.jfineco.2004.08.008 Nissim, 2002, Discussion of the role of volatility in forecasting, Rev. Account. Stud., 7, 217, 10.1023/A:1020278103044 Novy-Marx, 2013, The other side of value: The gross profitability premium, J. Financ. Econ., 108, 1, 10.1016/j.jfineco.2013.01.003 Pastor, 2003, Liquidity risk and expected stock returns, J. Political Econ., 111, 642, 10.1086/374184 Scholes, 1977, Estimating betas from non-synchronous trading, J. Financ. Econ., 5, 309, 10.1016/0304-405X(77)90041-1 Zhang, 2006, Information uncertainty and stock returns, J. Finance, 61, 105, 10.1111/j.1540-6261.2006.00831.x