Avanidhar Subrahmanyam : Citation Profile


Are you Avanidhar Subrahmanyam?

University of California-Los Angeles (UCLA)

27

H index

50

i10 index

3805

Citations

RESEARCH PRODUCTION:

80

Articles

32

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   25 years (1990 - 2015). See details.
   Cites by year: 152
   Journals where Avanidhar Subrahmanyam has often published
   Relations with other researchers
   Recent citing documents: 479.    Total self citations: 51 (1.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psu270
   Updated: 2017-11-18    RAS profile: 2016-03-03    
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Relations with other researchers


Works with:

faff, robert (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Avanidhar Subrahmanyam.

Is cited by:

Hirshleifer, David (27)

Vayanos, Dimitri (22)

Nyborg, Kjell (20)

Schmukler, Sergio (19)

Hong, Harrison (17)

Foucault, Thierry (16)

faff, robert (16)

Theissen, Erik (16)

Weber, Martin (15)

Stein, Jeremy (15)

Xiong, Wei (15)

Cites to:

Fama, Eugene (61)

Shleifer, Andrei (57)

Stoll, Hans (53)

French, Kenneth (48)

Roll, Richard (48)

Kyle, Albert (38)

Titman, Sheridan (34)

Amihud, Yakov (33)

Brennan, Michael (33)

Lee, Charles (32)

Grossman, Sanford (30)

Main data


Where Avanidhar Subrahmanyam has published?


Journals with more than one article published# docs
Journal of Financial Economics15
Journal of Finance8
Journal of Financial and Quantitative Analysis8
Review of Financial Studies7
Journal of Banking & Finance7
The Journal of Business5
European Financial Management4
Review of Financial Economics3
International Review of Finance2
Economic Notes2
Journal of Economics and Business2
The Financial Review2

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA18
Staff Reports / Federal Reserve Bank of New York4
Working Papers / Warwick Business School, Finance Group2
Working Paper Series / Ohio State University, Charles A. Dice Center for Research in Financial Economics2

Recent works citing Avanidhar Subrahmanyam (2017 and 2016)


YearTitle of citing document
2016Asymmetric Information and Intermediation Chains. (2016). OPP, CHRISTIAN ; Glode, Vincent. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:9:p:2699-2721.

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2016The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage. (2016). Nick, Sebastian. In: The Energy Journal. RePEc:aen:journl:ej37-2-nick.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2016Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles. (2016). Siddiqi, Hammad . In: Risk and Sustainable Management Group Working Papers. RePEc:ags:uqsers:229607.

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2017International Asset Allocations and Capital Flows: The Benchmark Effect. (2017). Williams, Tomas ; Schmukler, Sergio ; Raddatz, Claudio. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:141.

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2016Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems. (2016). Danilova, Albina ; cCetin, Umut . In: Papers. RePEc:arx:papers:1407.2420.

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2017Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making. (2017). Katz, Daniel Martin ; Chen, James Ming ; Soellinger, Tyler ; Bommarito, Michael J. In: Papers. RePEc:arx:papers:1508.05751.

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2016A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks. (2016). Fern, M ; McKelvey, Bill ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1601.04188.

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2016Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03590.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016Equity Market Impact Modeling: an Empirical Analysis for Chinese Market. (2016). Han, Shiyu ; Cheng, Yuan ; Wu, Lan . In: Papers. RePEc:arx:papers:1610.08767.

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2017An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong . In: Papers. RePEc:arx:papers:1704.04354.

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2017Power-law tails in the distribution of order imbalance. (2017). Zhang, T ; Chen, W ; Xiong, X. In: Papers. RePEc:arx:papers:1707.05550.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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2017Equilibrium Liquidity Premia. (2017). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1707.08464.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . In: Papers. RePEc:arx:papers:1708.00644.

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2017Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2017). Hayashi, Takaki ; Koike, Yuta . In: Papers. RePEc:arx:papers:1708.03992.

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2016Disclosure of Corporate Tax Reports, Tax Enforcement, and Insider Trading. (2016). Dumitrescu, Ariadna ; Caballe, Jordi. In: Working Papers. RePEc:bge:wpaper:911.

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2016The Impact of Cross-Listing on the Home Markets Information Environment and Stock Price Efficiency. (2016). Dodd, Olga ; Gilbert, Aaron . In: The Financial Review. RePEc:bla:finrev:v:51:y:2016:i:3:p:299-328.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017Behavioral Biases in Firms Growth Expectations. (2017). Koga, Maiko ; Kato, Haruko . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e09.

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2017Information Acquisition in the Era of Fair Disclosure: An Application of Asymmetric Awareness. (2017). Zhen, Liu . In: The B.E. Journal of Theoretical Economics. RePEc:bpj:bejtec:v:17:y:2017:i:2:p:16:n:4.

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2016Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes. (2016). Pesaran, M ; Ida, Johnsson . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1679.

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2016SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles. (2016). Bialkowski, Jedrzej ; Starks, Laura T. In: Working Papers in Economics. RePEc:cbt:econwp:16/11.

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2016Do Better Informed Investors Always Do Better?. (2016). boyle, glenn ; Ward, Gerald . In: Working Papers in Economics. RePEc:cbt:econwp:16/29.

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2016Cash Flow Duration and the Term Structure of Equity Returns. (2016). Weber, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6043.

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2016Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes. (2016). Pesaran, M ; Johnsson, Ida. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6272.

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2017Monetary Momentum. (2017). Neuhierl, Andreas ; Weber, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6648.

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2016What Makes a Good Trader? On the Role of Intuition and Reflection on Trader Performance. (2016). Porter, David ; Corgnet, Brice ; Desantis, Mark . In: Working Papers. RePEc:chu:wpaper:16-20.

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2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2016). Garcia, René ; Fontaine, Jean-Sebastien ; Gungor, Sermin . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-21.

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2016Trust, ambiguity, and financial decision-making. (2016). Engle-Warnick, Jim ; de Montaignac, Marine ; Pulido, Diego . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-44.

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2017CONFIDENCE AND OVERCONFIDENCE IN BANKING. (2017). Silipo, Damiano Bruno ; Hlebik, Sviatlana ; Verga, Giovanni . In: Working Papers. RePEc:clb:wpaper:201703.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: DOCUMENTOS CEDE. RePEc:col:000089:015606.

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2017Measuring the effectiveness of volatility call auctions. (2017). Castro, Carlos ; Preciado, Sergio ; Agudelo, Diego. In: DOCUMENTOS DE TRABAJO. RePEc:col:000092:015498.

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2016Corporate Strategy, Conformism, and the Stock Market. (2016). Foucault, Thierry ; Fresard, Laurent . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11073.

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2016Innovation Waves, Investor Sentiment, and Mergers. (2016). Dicks, David ; Fulghieri, Paolo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11082.

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2016Blockholders: A Survey of Theory and Evidence. (2016). Edmans, Alex ; Holderness, Clifford . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11442.

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2016Expected skewness and momentum. (2016). Weber, Martin ; Jacobs, Heiko ; Regele, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11455.

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2016Non-Precautionary Cash Hoarding and the Evolution of Growth Firms. (2016). Boot, Arnoud ; Vladimirov, Vladimir . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11510.

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2017Choices in Equity Finance A Global Perspective. (2017). Groen-Xu, Moqi ; Vermaelen, Theo ; Mataigne, Virginie ; Massa, Massimo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11987.

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2016Price Momentum and Reversal: An Information Cascade Rationale. (2016). Deng, Kaihua . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:2:deng.

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2016Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks. (2016). Stefanescu, Razvan ; Dumitriu, Ramona . In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2016:p:378-384.

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2017Herding behaviour of Dutch pension funds in sovereign bond investments. (2017). Bikker, Jacob ; Koetsier, Ian . In: DNB Working Papers. RePEc:dnb:dnbwpp:569.

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2017Investor Relations Quality and Mispricing. (2017). Mama, Houdou Basse ; Kotchoni, Rachidi . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-33.

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2017The bigger, the better? An investigation of optimal volume of big data. (2017). Koo, Bonyoung ; Kim, Byung Cho ; Ho, Seung . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00552.

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2017Ambiguity-aversion in a Single Auction Market. (2017). Vitale, Paolo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00375.

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2016Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Working Paper Series. RePEc:ecb:ecbwps:20161901.

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2016The stock market effects of a securities transaction tax: quasi-experimental evidence from Italy. (2016). Tommasino, Pietro ; Guazzarotti, Giovanni ; Cappelletti, Giuseppe . In: Working Paper Series. RePEc:ecb:ecbwps:20161949.

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2016Market Efficiency of Commercial Bank in Financial Crisis. (2016). Huang, Han-Ching ; Lin, Tze-Yi ; Su, Yong-Chern . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-52.

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2017Estimation Error of Earnings Information: A Test of Representativeness and Anchoring-adjustment Heuristic. (2017). Habbe, Abdul Hamid . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-29.

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2017Overconfidence Bias, Over/Under-reaction of Financial Analysts on the Tunisian Stock Market, and Their Impacts on the Earnings Forecasts. (2017). Bouteska, Ahmed ; Regaieg, Boutheina . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-28.

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2016The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone. (2016). Sariannidis, Nikolaos ; Billias, Ioannis ; Zafeiriou, Eleni ; Giannarakis, Grigoris . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-23.

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2016Institutional investments in pure play stocks and implications for hedging decisions. (2016). Minton, Bernadette A ; Schrand, Catherine . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:132-151.

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2016Media-expressed negative tone and firm-level stock returns. (2016). Kearney, Colm ; Hutson, Elaine ; Liu, Sha ; Han, Jingguang ; Ahmad, Khurshid . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:152-172.

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2016Industry IPOs, growth opportunities, and private target acquisitions. (2016). Aktas, Nihat ; Zhang, Junyao ; Ozdakak, Ali . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:193-209.

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2016Are VC-backed IPOs delayed trade sales?. (2016). Gill, Andrej ; Walz, Uwe . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:356-374.

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2016Does stock price informativeness affect labor investment efficiency?. (2016). Ben-Nasr, Hamdi ; Alshwer, Abdullah A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:249-271.

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2016Governance and post-repurchase performance. (2016). Linn, Scott ; Lee, Yen Teik ; Goh, Jeremy ; Caton, Gary L. In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:155-173.

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2016Do investors learn from the past? Evidence from follow-on equity issues. (2016). Duca, Eric . In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:36-52.

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2016Executives horizon, internal governance and stock market liquidity. (2016). Jain, Pawan ; Mekhaimer, Mohamed ; Jiang, Christine . In: Journal of Corporate Finance. RePEc:eee:corfin:v:40:y:2016:i:c:p:1-23.

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2016Going public abroad. (2016). Caglio, Cecilia ; Marietta-Westberg, Jennifer ; Hanley, Kathleen Weiss . In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:103-122.

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2016Causal effect of analyst following on corporate social responsibility. (2016). Adhikari, Binay K. In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:201-216.

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2017State capitalisms global reach: Evidence from foreign acquisitions by state-owned companies. (2017). Karolyi, Andrew G ; Liao, Rose C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:367-391.

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2017Do busy directors influence the cost of debt? An examination through the lens of takeover vulnerability. (2017). Chakravarty, Sugato ; Rutherford, Leann G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:429-443.

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2017Managerial myopia, financial expertise, and executive-firm matching. (2017). Anjos, Fernando ; Kang, Chang-Mo . In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:464-479.

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2017Working on the weekend: Do analysts strategically time the release of their recommendation revisions?. (2017). Rees, Lynn ; Wong, Paul A ; Sharp, Nathan Y. In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:104-121.

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2017Can investors anticipate post-IPO mergers and acquisitions?. (2017). Anderson, Christopher W ; Torna, Gokhan ; Huang, Jian . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:496-521.

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2017Share buybacks and gender diversity. (2017). Evgeniou, Theodoros ; Vermaelen, Theo . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:669-686.

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2017The real effect of the initial enforcement of insider trading laws. (2017). Chen, Zhihong ; John, K C ; Kusnadi, Yuanto ; Huang, Yuan . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:687-709.

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2017What do stock price levels tell us about the firms?. (2017). Chan, Konan ; Li, Fengfei ; Lin, Tse-Chun . In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:34-50.

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2016Identification and inference in two-pass asset pricing models. (2016). Khalaf, Lynda ; Schaller, Huntley . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:165-177.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2016Generalized asset pricing: Expected Downside Risk-based equilibrium modeling. (2016). Ormos, Mihály ; Timotity, Dusan . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:967-980.

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2016Industry returns, market returns and economic fundamentals: Evidence for the United States. (2016). laopodis, nikiforos. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106.

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2016Strategic noise trading of later-informed traders in a multi-market framework. (2016). Hsu, Chih-Hsiang . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:235-243.

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2016Heterogeneous noisy beliefs and dynamic competition in financial markets. (2016). Rousseau, Fabrice ; Germain, Laurent ; Boco, Herve . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:347-363.

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2016On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. (2016). PETITJEAN, Mikael ; Mazza, Paolo . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:67-81.

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2016Stock market liquidity and economic cycles: A non-linear approach. (2016). Switzer, Lorne ; Picard, Alan . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:106-119.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Beauty contest, bounded rationality, and sentiment pricing dynamics. (2017). Liang, Hanchao ; Cai, Chuangqun ; Yang, Chunpeng . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:71-80.

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2017Competition in the stock market with asymmetric information. (2017). Wang, Wanbin Walter . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:40-49.

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2017Daily happiness and stock returns: The case of Chinese company listed in the United States. (2017). Li, Xiao ; Zhang, Wei ; Xue, Mei ; Shen, Dehua . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:496-501.

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2017Market maker competition and price efficiency: Evidence from China. (2017). Zhang, Wei ; Feng, XU ; Huang, Ke. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:121-131.

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2016Do foreign institutions outperform in the Taiwan options market?. (2016). Lin, William T ; Chiu, Peter ; Tsai, Shih-Chuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:101-115.

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2016The revision frequency of earnings forecasts and firm characteristics. (2016). Chan, Chia Ying ; Lo, Huai-Chun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:116-132.

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2016Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity. (2016). Lim, Kian-Ping ; Hooy, Chee-Wooi ; Brooks, Robert ; Chang, Kwok-Boon . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:1-28.

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2016Is corporate payout taxation a long run phenomenon? Evidence from international data. (2016). Ji, Philip Inyeob . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:84-100.

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2016Location of trade, return comovements, and diversification benefits: Evidence from Asian country ETFs. (2016). Lee, Hsiu-Chuan ; Hsu, Chih-Hsiang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:279-296.

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2017Informativeness of the market news sentiment in the Taiwan stock market. (2017). Hsu, Yen-Ju ; Chen, Jen-Nan ; Wei, Yu-Chen ; Lu, Yang-Cheng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:158-181.

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2017Does options trading convey information on futures prices?. (2017). Qiao, Shuai ; Tsai, Shih-Chuan ; Zheng, Zhenlong ; Lin, William T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:182-196.

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2017Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations. (2017). Filzen, Joshua J ; Schutte, Maria Gabriela . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:19-37.

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2017Do voluntary disclosures of bad news improve liquidity?. (2017). Dayanandan, Ajit ; Karahan, Gokhan ; Donker, Han . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:16-29.

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2017Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing. (2017). Liang, Hanchao ; Cai, Chuangqun ; Zhang, Rengui ; Yang, Chunpeng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:85-102.

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2017What drives the sensitivity of limit order books to company announcement arrivals?. (2017). Siikanen, Milla ; Luoma, Arto ; Kanniainen, Juho. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:65-68.

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2016Efficiency of thin and thick markets. (2016). Gan, Li ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:40-54.

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2016Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:345-354.

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2016The societal benefit of a financial transaction tax. (2016). Huber, Samuel ; Berentsen, Aleksander ; Marchesiani, Alessandro . In: European Economic Review. RePEc:eee:eecrev:v:89:y:2016:i:c:p:303-323.

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2016A data analytic approach to forecasting daily stock returns in an emerging marketAuthor-Name: Oztekin, Asil. (2016). Iseri, Ali ; Kizilaslan, Recep ; Freund, Steven . In: European Journal of Operational Research. RePEc:eee:ejores:v:253:y:2016:i:3:p:697-710.

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2016Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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2016The effect of listing switches from a growth market to a main board: An alternative perspective. (2016). Eom, Kyong Shik ; Beom, KI ; Park, Jong-Ho . In: Emerging Markets Review. RePEc:eee:ememar:v:29:y:2016:i:c:p:246-273.

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2016Conditional portfolio allocation: Does aggregate market liquidity matter?. (2016). Bazgour, Tarik ; Sougne, Danielle . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:110-135.

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More than 100 citations found, this list is not complete...

Avanidhar Subrahmanyam is editor of


Journal
Journal of Financial Markets

Works by Avanidhar Subrahmanyam:


YearTitleTypeCited
2013Comments and Perspectives on ‘The Capital Asset Pricing Model’ In: Abacus.
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article0
1999Price Limits, Information Acquisition, and Bid–ask Spreads: Theory and Evidence In: Economic Notes.
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article0
2004Liquidity Dynamics Across Small and Large Firms In: Economic Notes.
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article7
2000Liquidity Dynamics Across Small and Large Firms.(2000) In: University of California at Los Angeles, Anderson Graduate School of Management.
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This paper has another version. Agregated cites: 7
paper
2004Divergence of US and Local Returns in the After-market for Equity Issuing ADRs In: European Financial Management.
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article3
2005On the Stability of the Cross-Section of Expected Stock Returns in the Cross-Section: Understanding the Curious Role of Share Turnover In: European Financial Management.
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article3
2008Behavioural Finance: A Review and Synthesis In: European Financial Management.
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article11
2008Social Networks and Corporate Governance In: European Financial Management.
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article13
1996On Speculation, Index Futures Markets, and the Link between Market Volatility and Investor Welfare. In: The Financial Review.
[Citation analysis]
article2
2005Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns In: The Financial Review.
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article15
2002Foreign Firms Issuing Equity on US Exchanges: An Empirical Investigation of IPOs and SEOs In: International Review of Finance.
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article3
2005Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements-super- In: International Review of Finance.
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article3
1992 Long-Lived Private Information and Imperfect Competition. In: Journal of Finance.
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article132
1994 Circuit Breakers and Market Volatility: A Theoretical Perspective. In: Journal of Finance.
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article54
1994 Security Analysis and Trading Patterns When Some Investors Receive Information before Others. In: Journal of Finance.
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article154
1995 On Intraday Risk Premia. In: Journal of Finance.
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article21
1998Investor Psychology and Security Market Under- and Overreactions In: Journal of Finance.
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article773
1999The Going-Public Decision and the Development of Financial Markets In: Journal of Finance.
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article117
2001Feedback from Stock Prices to Cash Flows In: Journal of Finance.
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article30
2007Liquidity and the Law of One Price: The Case of the Futures-Cash Basis In: Journal of Finance.
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article26
2007Liquidity, Return and Order-Flow Linkages Between REITs and the Stock Market In: Real Estate Economics.
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article11
2013Algorithmic trading, the Flash Crash, and coordinated circuit breakers In: Borsa Istanbul Review.
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article4
2002Feedback and the Success of Irrational Investors In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper24
2004Feedback and the Success of Irrational Investors.(2004) In: Working Paper Series.
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This paper has another version. Agregated cites: 24
paper
2006Feedback and the success of irrational investors.(2006) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 24
article
1998Feedback from Stock Prices to Cash Flows†(formerly called “Real Effects of Financial Market Trading) In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2001Brand Perceptions and the Market for Common Stock, forthcoming, Journal of Financial and Quantitative In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2000Order Imbalance and Individual Stock Returns In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1998New Events, Information Acquisition, and Serial Correlation In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper14
2002News Events, Information Acquisition, and Serial Correlation.(2002) In: The Journal of Business.
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This paper has another version. Agregated cites: 14
article
2002Chicanery, Intelligence, and Financial Market Equilibrium In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2004Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper1
2005The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper3
2005The joint dynamics of liquidity, returns, and volatility across small and large firms.(2005) In: Staff Reports.
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This paper has another version. Agregated cites: 3
paper
2004The Value of Private Information In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2004The Cross-Section of Analyst Recommendations In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper17
2006The Cross Section of Analyst Recommendations.(2006) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 17
article
2000Order Imbalance, Liquidity, and Market Returns In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper151
2002Order imbalance, liquidity, and market returns.(2002) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 151
article
2000International IPOs, Market Segmentation, and Investor Recognition In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2001Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2001Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper1
2001Evidence on the Speed of Convergence to Market Efficiency, forthcoming: Journal of Financial Economics In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2001An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2004Liquidity and Arbitrage In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2004Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange In: Journal of Financial and Quantitative Analysis.
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article34
2005Brand Perceptions and the Market for Common Stock In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article27
2008Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? In: Journal of Financial and Quantitative Analysis.
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article17
2010Information, Expected Utility, and Portfolio Choice In: Journal of Financial and Quantitative Analysis.
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article2
2011The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns In: Journal of Financial and Quantitative Analysis.
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article33
2011Liquidity Dynamics and Cross-Autocorrelations In: Journal of Financial and Quantitative Analysis.
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article8
2013Cognitive Dissonance, Sentiment, and Momentum In: Journal of Financial and Quantitative Analysis.
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article30
1993Futures versus Share Contracting as Means of Diversifying Output Risk. In: Economic Journal.
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article4
1990FUTURES VERSUS SHARE CONTRACTING AS MEANS OF DIVERSIFING OUTPUT RISK..(1990) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2005Investor Psychology and Tests of Factor Pricing Models In: Working Paper Series.
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paper13
2007Dual-class premium, corporate governance, and the mandatory bid rule: Evidence from the Brazilian stock market In: Journal of Corporate Finance.
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article18
1994Risk aversion, imperfect competition, and long-lived information In: Economics Letters.
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article30
2014Trading activity in the equity market and its contingent claims: An empirical investigation In: Journal of Empirical Finance.
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article1
2014Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? In: Journal of Accounting and Economics.
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article11
2006Taxes and dividend clientele: Evidence from trading and ownership structure In: Journal of Banking & Finance.
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article9
2008Common liquidity shocks and market collapse: Lessons from the market for perps In: Journal of Banking & Finance.
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article1
2010Liquidity skewness In: Journal of Banking & Finance.
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article5
2011The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns In: Journal of Banking & Finance.
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article7
2012Stock salience and the asymmetric market effect of consumer sentiment news In: Journal of Banking & Finance.
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article8
2012Board quality and the cost of debt capital: The case of bank loans In: Journal of Banking & Finance.
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article11
2013Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news In: Journal of Banking & Finance.
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article0
1995On rules versus discretion in procedures to halt trade In: Journal of Economics and Business.
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article10
1997Multi-market trading and the informativeness of stock trades: An empirical intraday analysis In: Journal of Economics and Business.
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article6
2011Recent trends in trading activity and market quality In: Journal of Financial Economics.
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article53
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
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article9
2015Smart money, dumb money, and capital market anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article7
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article115
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article323
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
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article197
2000Commonality in liquidity In: Journal of Financial Economics.
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article300
2001Trading activity and expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article129
2004Order imbalance and individual stock returns: Theory and evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article97
2005Evidence on the speed of convergence to market efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article66
2008Liquidity and market efficiency In: Journal of Financial Economics.
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article118
2009Options trading activity and firm valuation In: Journal of Financial Economics.
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article22
2010O/S: The relative trading activity in options and stock In: Journal of Financial Economics.
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article27
2000Asymmetric Information and News Disclosure Rules In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article12
2009The implications of liquidity and order flows for neoclassical finance In: Pacific-Basin Finance Journal.
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article3
2008Lagged order flows and returns: A longer-term perspective In: The Quarterly Review of Economics and Finance.
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article2
2008Learning from experience and trading volume In: Review of Financial Economics.
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article0
2009Optimal financial education In: Review of Financial Economics.
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article3
1997The ex ante effects of trade halting rules on informed trading strategies and market liquidity In: Review of Financial Economics.
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article4
2001Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows In: Staff Reports.
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paper4
2003An empirical analysis of stock and bond market liquidity In: Staff Reports.
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paper67
2007The microstructure of cross-autocorrelations In: Staff Reports.
[Full Text][Citation analysis]
paper0
2005A Cognitive Theory of Corporate Disclosures In: Financial Management.
[Citation analysis]
article2
1992Decimal Stock Trading and Off-Floor Market Making. In: Columbia - Graduate School of Business.
[Citation analysis]
paper0
2003Determinants of Daily Fluctuations in Liquidity and Trading Activity In: Latin American Journal of Economics-formerly Cuadernos de Economía.
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article1
2013Financial Market Shocks and the Macroeconomy In: NBER Working Papers.
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paper2
2013Financial Market Shocks and the Macroeconomy.(2013) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 2
article
2000Covariance Risk, Mispricing, and the Cross Section of Security Returns In: NBER Working Papers.
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paper3
2014The Empirical Analysis of Liquidity In: Foundations and Trends(R) in Finance.
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article8
1998Errata: Risk Aversion, Liquidity, and Endogenous Short Horizons. In: Review of Financial Studies.
[Citation analysis]
article0
2009Theory-Based Illiquidity and Asset Pricing In: Review of Financial Studies.
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article14
1991A Theory of Trading in Stock Index Futures. In: Review of Financial Studies.
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article89
1991Risk Aversion, Market Liquidity, and Price Efficiency. In: Review of Financial Studies.
[Full Text][Citation analysis]
article54
1992Informed Speculation and Hedging in a Noncompetitive Securities Market. In: Review of Financial Studies.
[Full Text][Citation analysis]
article65
1996Risk Aversion, Liquidity, and Endogenous Short Horizons. In: Review of Financial Studies.
[Full Text][Citation analysis]
article15
1995The Efficacy of Insider Trading Regulation. In: Research Program in Finance Working Papers.
[Citation analysis]
paper1
1993Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks. In: The Journal of Business.
[Full Text][Citation analysis]
article13
1995Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence. In: The Journal of Business.
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article27
1998The Determinants of Average Trade Size. In: The Journal of Business.
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article11
1998Transaction Taxes and Financial Market Equilibrium. In: The Journal of Business.
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article35
2011Sentiment and Momentum In: Working Papers.
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paper0
2013Investor Sentiment and Beta Pricing In: Working Papers.
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paper1
1994Using intraday data to test for effects of index futures on the underlying stock markets In: Journal of Futures Markets.
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article3
2004A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions In: Finance.
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