Given the key role of liquidity in finance research, identifying high quality proxies based on
daily (as opposed to intraday) data would permit liquidity to be studied over relatively long …

Abstract Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic
volatility during the 1962–1997 period. We show that by 2003 volatility falls back to pre …

In this article, we consider how different dimensions of liquidity have been measured in
financial markets and for various forms of real estate investment. The purpose of this …

I develop new spread proxies that pick up on three attributes of the low-frequency (daily)
data:(1) price clustering,(2) serial price covariance accounting for midpoint prices on no …

We hypothesize that managers use stock splits to attract more uninformed trading so that
market makers can provide liquidity services at lower costs, thereby increasing investors' …

We investigate the pricing implication of liquidity risks in the liquidity-adjusted capital asset
pricing model of Acharya and Pedersen (2005), using multiple liquidity measures and their …

Prior research shows that splitting firms earn positive abnormal returns and that they
experience an increase in stock return volatility. By examining option-implied volatility, we …

This paper reviews various studies of forward and reverse stock splits in the areas of motives
for splits, split practices, split effects on firm value, and changes in market activities around …

Pleasing Wall Street used to be easy for executives. Not anymore. The stock market is an
uncertain place, and every day executives have to figure out what investors really want …

We offer new evidence on the economic value of investor relations (IR) activity using the
results of a 2012 global survey of IR officers and their activities at over 800 firms from 59 …