What happened to the quants in August 2007? Evidence from factors and transactions data
Top Cited Papers
Open Access
- 4 August 2010
- journal article
- Published by Elsevier in Journal of Financial Markets
- Vol. 14 (1) , 1-46
- https://doi.org/10.1016/j.finmar.2010.07.005
Abstract
No abstract availableKeywords
This publication has 47 references indexed in Scilit:
- Liquidity and LeverageSSRN Electronic Journal, 2009
- The Role of Liquidity in Financial CrisesSSRN Electronic Journal, 2008
- Trading Volume: Implications of an Intertemporal Capital Asset Pricing ModelThe Journal of Finance, 2006
- The Value Premium and the CAPMThe Journal of Finance, 2006
- Market force, ecology and evolutionIndustrial and Corporate Change, 2002
- Time and the Price Impact of a TradeThe Journal of Finance, 2000
- A Direct Test of Methods for Inferring Trade Direction from Intra-Day DataJournal of Financial and Quantitative Analysis, 2000
- Alternative factor specifications, security characteristics, and the cross-section of expected stock returnsPublished by Elsevier ,2000
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 1996
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993