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Are capital market anomalies common to equity and corporate bond markets? Alliances and return predictability. Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? Anomalies and financial distress. Sell-order liquidity and the cross-section of expected stock returns. The world market liquidity and trading activity chordia of credit risk. Liquidity dynamics and cross-autocorrelations.
Recent trends in trading activity and market quality. Theory-based illiquidity and asset pricing. Credit ratings and the cross-section of stock returns.
Liquidity and the post-earnings-announcement drift. Dispersion in analysts' earnings forecasts and credit rating. Liquidity and market efficiency. Momentum and credit rating. The cross-section of expected trading activity. The impact of trades on daily volatility. Earnings and price momentum. Asset pricing models and financial market anomalies. Liquidity and autocorrelations in individual stock returns. An empirical analysis of stock and bond market liquidity.
Evidence on the speed of convergence to market efficiency. Inflation illusion and post-earnings-announcement drift.
Order imbalance and individual stock returns: Momentum, business cycle, and time-varying expected returns. Order imbalance, liquidity, and market returns. Trading activity and expected stock returns.
Market liquidity and trading activity. True spreads and equilibrium prices. Co-movements in bid-ask spreads and market market liquidity and trading activity chordia. Trading volume and cross-autocorrelations in stock returns. Undergraduate applications Postgraduate by coursework applications Research degree applications International student applications Who can apply? Course types Preparing your market liquidity and trading activity chordia Your offer and enrolment options Apply for readmission.
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