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1

Asset Pricing Models and Financial Market Anomalies

Doron Avramov and Tarun Chordia

Journal:

Review of Financial Studies

Year:

2006

Language:

english

File:

PDF, 2.75 MB

english, 2006

2

Market Liquidity and Trading Activity

Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 1.01 MB

english, 2001

3

Order imbalance and individual stock returns: Theory and evidence

Tarun Chordia, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

2004

Language:

english

File:

PDF, 265 KB

english, 2004

4

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

1998

Language:

english

File:

PDF, 170 KB

english, 1998

5

Commonality in liquidity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

2000

Language:

english

File:

PDF, 171 KB

english, 2000

6

Liquidity and Autocorrelations in Individual Stock Returns

Doron Avramov, Tarun Chordia and Amit Goyal

Journal:

The Journal of Finance

Year:

2006

Language:

english

File:

PDF, 3.59 MB

english, 2006

7

p-Hacking: Evidence from Two Million Trading Strategies

Chordia, Tarun, Goyal, Amit, Saretto, Alessio

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 514 KB

english, 2017

8

Liquidity and market efficiency

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

2008

Language:

english

File:

PDF, 271 KB

english, 2008

9

Risk-Neutral Skewness, Informed Trading, and the Cross-Section of Stock Returns

Chordia, Tarun, Lin, Tse-Chun, Xiang, Vincent

Journal:

Journal of Financial and Quantitative Analysis

Year:

2020

File:

PDF, 915 KB

2020

10

Order imbalance, liquidity, and market returns

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

2002

Language:

english

File:

PDF, 158 KB

english, 2002

11

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Chordia, Tarun, Goyal, Amit, Nozawa, Yoshio, Subrahmanyam, Avanidhar, Tong, Qing

Journal:

Journal of Financial and Quantitative Analysis

Year:

2017

Language:

english

File:

PDF, 470 KB

english, 2017

12

Momentum, Business Cycle, and Time-varying Expected Returns

Tarun Chordia, Lakshmanan Shivakumar

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 179 KB

english, 2002

13

Sell-order liquidity and the cross-section of expected stock returns

Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam, Qing Tong

Journal:

Journal of Financial Economics

Year:

2012

Language:

english

File:

PDF, 843 KB

english, 2012

14

Trading activity and expected stock returns

Tarun Chordia, Avanidhar Subrahmanyam, V.Ravi Anshuman

Journal:

Journal of Financial Economics

Year:

2001

Language:

english

File:

PDF, 175 KB

english, 2001

15

Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence

Tarun Chordia and Avanidhar Subrahmanyam

Journal:

The Journal of Business

Year:

1995

Language:

english

File:

PDF, 3.27 MB

english, 1995

16

Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?

Chordia, Tarun, Subrahmanyam, Avanidhar, Tong, Qing

Journal:

Journal of Accounting and Economics

Year:

2014

Language:

english

File:

PDF, 1.00 MB

english, 2014

17

Market Efficiency in Real Time: Evidence from Low Latency Activity Around Earnings Announcements

Chordia, Tarun, Miao, Bin

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 496 KB

english, 2018

18

Anomalies and financial distress

Avramov, Doron, Chordia, Tarun, Jostova, Gergana, Philipov, Alexander

Journal:

Journal of Financial Economics

Year:

2013

Language:

english

File:

PDF, 682 KB

english, 2013

19

Trends in the Cross-Section of Expected Stock Returns

Chordia, Tarun, Subrahmanyam, Avanidhar, Tong, Qing

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 436 KB

english, 2012

20

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Busse, Jeffrey A., Chordia, Tarun, Jiang, Lei, Tang, Yuehua

Journal:

Management Science

Year:

2020

File:

PDF, 910 KB

2020

21

Trading Volume and Cross-Autocorrelations in Stock Returns

Tarun Chordia, Bhaskaran Swaminathan

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 122 KB

english, 2000

22

Market Liquidity and Trading Activity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 1.75 MB

english, 2001

23

Evidence on the speed of convergence to market efficiency

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

2005

Language:

english

File:

PDF, 261 KB

english, 2005

24

Asset Pricing Models and Financial Market Anomalies

Avramov, Doron, Chordia, Tarun

Journal:

Review of Financial Studies

Year:

2006

Language:

english

File:

PDF, 260 KB

english, 2006

25

An Empirical Analysis of Stock and Bond Market Liquidity

Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam

Journal:

Review of Financial Studies

Year:

2005

Language:

english

File:

PDF, 1.40 MB

english, 2005

26

High-frequency trading

Chordia, Tarun, Goyal, Amit, Lehmann, Bruce N., Saar, Gideon

Journal:

Journal of Financial Markets

Year:

2013

Language:

english

File:

PDF, 171 KB

english, 2013

27

Liquidity Dynamics and Cross-Autocorrelations

Chordia, Tarun, Sarkar, Asani, Subrahmanyam, Avanidhar

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 496 KB

english, 2010

28

Momentum, Business Cycle, and Time-Varying Expected Returns

Tarun Chordia and Lakshmanan Shivakumar

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 771 KB

english, 2002

29

Buyers versus Sellers: Who Initiates Trades, and When?

Chordia, Tarun, Goyal, Amit, Jegadeesh, Narasimhan

Journal:

Journal of Financial and Quantitative Analysis

Year:

2016

Language:

english

File:

PDF, 311 KB

english, 2016

30

Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns

Brennan, Michael J., Chordia, Tarun, Subrahmanyam, Avanidhar, Tong, Qing

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 379 KB

english, 2012

31

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Chordia, Tarun, Goyal, Amit, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 290 KB

english, 2015

32

How Does Size Affect Mutual Fund Performance? Evidence from Mutual Fund Trades

Busse, Jeffrey A., Chordia, Tarun, Jiang, Lei, Tang, Yuehua

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.10 MB

english, 2013

33

Index Option Trading Activity and Market Returns

Chordia, Tarun, Kurov, Alexander, Muravyev, Dmitriy, Subrahmanyam, Avanidhar

Journal:

Management Science

Year:

2020

File:

PDF, 1.16 MB

2020

34

True Spreads and Equilibrium Prices

Clifford A. Ball, Tarun Chordia

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 170 KB

english, 2001

35

Liquidity Dynamics Across Small and Large Firms

Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam

Journal:

Year:

2004

Language:

english

File:

PDF, 186 KB

english, 2004

36

Liquidity and Autocorrelations in Individual Stock Returns

DORON AVRAMOV, TARUN CHORDIA, AMIT GOYAL

Journal:

The Journal of Finance

Year:

2006

Language:

english

File:

PDF, 233 KB

english, 2006

37

Momentum and Credit Rating

DORON AVRAMOV, TARUN CHORDIA, GERGANA JOSTOVA, ALEXANDER PHILIPOV

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 95 KB

english, 2007

38

Inflation Illusion and Post-Earnings-Announcement Drift

TARUN CHORDIA, LAKSHMANAN SHIVAKUMAR

Journal:

Journal of Accounting Research

Year:

2005

Language:

english

File:

PDF, 206 KB

english, 2005

39

The Impact of Trades on Daily Volatility

Doron Avramov, Tarun Chordia and Amit Goyal

Journal:

Review of Financial Studies

Year:

2006

Language:

english

File:

PDF, 3.41 MB

english, 2006

40

The structure of mutual fund charges

Journal:

Journal of Financial Economics

Year:

1996

Language:

english

File:

PDF, 2.18 MB

english, 1996

41

Predicting stock returns

Doron Avramov, Tarun Chordia

Journal:

Journal of Financial Economics

Year:

2006

Language:

english

File:

PDF, 343 KB

english, 2006

42

Earnings and price momentum

Tarun Chordia, Lakshmanan Shivakumar

Journal:

Journal of Financial Economics

Year:

2006

Language:

english

File:

PDF, 296 KB

english, 2006

43

Dispersion in analysts’ earnings forecasts and credit rating

Doron Avramov, Tarun Chordia, Gergana Jostova, Alexander Philipov

Journal:

Journal of Financial Economics

Year:

2009

Language:

english

File:

PDF, 377 KB

english, 2009

44

Recent trends in trading activity and market quality

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 922 KB

english, 2011

45

Credit ratings and the cross-section of stock returns

Doron Avramov, Tarun Chordia, Gergana Jostova, Alexander Philipov

Journal:

Journal of Financial Markets

Year:

2009

Language:

english

File:

PDF, 296 KB

english, 2009

46

Trading Volume and Cross-Autocorrelations in Stock Returns

Tarun Chordia and Bhaskaran Swaminathan

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 453 KB

english, 2000

47

Co-Movements in Bid-Ask Spreads and Market Depth

Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam

Journal:

Financial Analysts Journal

Year:

2000

Language:

english

File:

PDF, 779 KB

english, 2000

48

Liquidity Dynamics and Cross-Autocorrelations

Chordia, Tarun, Sarkar, Asani, Subrahmanyam, Avanidhar

Journal:

Journal of Financial and Quantitative Analysis

Year:

2011

Language:

english

File:

PDF, 221 KB

english, 2011

49

True Spreads and Equilibrium Prices

Clifford A. Ball and Tarun Chordia

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 865 KB

english, 2001

50

Brokerage Commission Schedules

Michael J. Brennan and Tarun Chordia

Journal:

The Journal of Finance

Year:

1993

Language:

english

File:

PDF, 2.53 MB

english, 1993