The following references are relevant to how these characteristics relate to expected stock returns


Cash Flow and Stock Returns

Ali, Ashiq. The incremental information content of earnings, working capital from operations, and cash flows. Journal of Accounting Research, 32 (1994), 61-73. 

Bernard, V.L., and J.K. Thomas, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305-340. 

Bernard, Victor L., and Jacob K. Thomas. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics, 13 (1990), 305-340.   

Bowen, Robert M., David Burgstahler, and Lane A. Daley. The incremental information content of accruals versus cash flows. Accounting Review, 61 (1987), 723-747. 

Cheng, C. S. Agnes, Chao-Shin Liu, and Thomas F. Schaefer. Earnings permanence and the incremental information content of cash flows from operations. Journal of Accounting Research, 34 (1996), 173-181. 

Cohen, Randolph B., Paul A. Gompers, and Tuomo Vuolteenaho, 2002, Who underreacts to cash-flow news? Evidence from trading between individuals and institutions, Journal of Financial Economics, 66, 409-462.   

Collins, Daniel, and Paul Hribar. Earnings-based and accrual-based market anomalies: One effect or two? Journal of Accounting and Economics, 29 (2000), 101-123. 

Dechow, Patricia M. Accounting earnings and cash flows as measures of firm performance: The role of accounting accruals. Journal of Accounting and Economics, 18 (1994), 3-42. 

Haugen, Robert A., and Nardin L. Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics, 41, 401-439.   

Haugen, Robert. 1995. "The New Finance" The Case Against Efficient Markets.  Englewood Cliffs, NJ: Prentice Hall.    

Houge, Todd and Tim Loughran, 2000, Cash Flow is King? Cognitive Errors by Investors.  The Journal of Psychology and Financial Markets, Vol. 1, No. 3&4, Pages 161-175.   

Jaffe, Jeffrey, Donald B. Keim, and Randolph Westerfield. Earnings yields, market values, and stock returns. Journal of Finance, 44 (1989), 135-148. 

Liu, Jing, Thomas, Jacob K. Kandathil and Nissim, Doron, Cash Flow is King? Comparing Valuations Based on Cash Flow Versus Earnings Multiples (August 25, 2006). Available at SSRN: http://ssrn.com/abstract=926428

Drake, Michael S., Myers, James N. and Myers, Linda A., Disclosure Quality and the Mispricing of Accruals and Cash Flow (April 2007). Available at SSRN: http://ssrn.com/abstract=985949

Sloan, Richard G. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review, 71 (1996), 289-315.

Accruals and Stock Returns

Antle, Rick, Gordon, Elizabeth A., Narayanamoorthy, Ganapathi and Zhou, Ling, The Joint Determination of Audit Fees, Non-Audit Fees, and Abnormal Accruals (March 31, 2004). Yale ICF Working Paper No. 02-21 Available at SSRN: http://ssrn.com/abstract=318943

Barth, Mary E., Beaver, William H., Hand, John R.M. and Landsman, Wayne R., Accruals, Cash Flow and Equity Values (July 1999). Available at SSRN: http://ssrn.com/abstract=149768

Chan, Chen, Jegadeesh and Lakonishok.  The Accrual Effect in Stock Returns, American Finance Association Meetings, New Orleans, 2001. 

Core, John E. , Wayne R. Guay and Rodrigo S. Verdi , 2007, Is Accruals Quality a Priced Risk Factor?  Journal of Accounting & Economics (JAE), Forthcoming

Dichev, Ilia D. and Dechow, Patricia M., The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (July 2001). Available at SSRN: http://ssrn.com/abstract=277231

Gradient Analytics.  Earnings Quality Analytics.  April 2005.  http://www.gradientanalytics.com/whitepapers/EQRS%20White%20Paper.pdf.  Criterion Reseach Group, LLC.  What is Earnings Quality?  http://www.criterionllc.com/eq.pdf

Fairfield, P. M., J. S. Whisenant and T. L. Yohn, 2003a. Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing. Accounting Review 78, 353-371. 

Fairfield, P. M., J. S. Whisenant and T. L. Yohn, 2003b. The Differential Persistence of Accruals and Cash Flows for Future Operating Income versus Future Profitability. Review of Accounting Studies 8, 221-243. 

Kothari, S.P., Elena Loutskina and Valeri Nivolaev.  2005.  Agency Theory of Overvalued Equity as an Explanation for the Accrual Anomaly.  Working Paper. 

Penman, S. H., and X. J. Zhang, 2002. Accounting Conservatism, the Quality of Earnings and Stock Returns.  Accounting Review 77, 237-264. 

Pincus, Morton, Shivaram Rajgopal, and Mohan Venkatachalam.  2007.  The Accrual Anomaly: International Evidence.  The Accounting Review, v 82:1. 

Richardson, S. A., R. G. Sloan, M. T. Soliman and I Tuna, 2005.  Accrual Reliability, Earnings  Persistence and Stock Prices Journal of Accounting and Economics, 39(3), 437-485. 

Richardson, Scott A., Sloan, Richard G., Soliman, Mark T. and Tuna, A. Irem, Information in Accruals About the Quality of Earnings (July 2001). Available at SSRN: http://ssrn.com/abstract=278308

Sloan, Richard G., 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71, 289-315. 

Thomas, J. K. and H. Zhang, 2002. Inventory Changes and Future Returns. Review of Accounting Studies 7, 163-187. 

Titman, Sheridan, K.C. John Wei,and Feixue Xie, 2004, Capital investments and stock returns, Journal of Financial and Quantitative Analysis 39, 677-700. 

Core, John E. , Wayne R. Guay and Rodrigo S. Verdi , 2007, Is Accruals Quality a Priced Risk Factor?  Journal of Accounting & Economics (JAE), Forthcoming

Hirshleifer, David A., Teoh, Siew Hong and Yu, Jiewei, Do Short-Sellers Arbitrage Accruals-Based Return Anomalies? (June 14, 2007). Available at SSRN: http://ssrn.com/abstract=994408

Khan, Mozaffar, What Can We Conclude from Common Tests of Accrual Mispricing? (June 20, 2007). Available at SSRN: http://ssrn.com/abstract=995509
Doyle, Jeffrey T. , Weili Ge and Sarah E. McVay  2007.  Accruals Quality and Internal Control Over Financial Reporting.  Accounting Review, October

 

Capital Issuance and Stock Returns

Baker, M. and J. Wurgler 2002, Market timing and capital structure, Journal of Finance, vol. 57, pp. 1-32.   Brav, A., C. Gezy, and P.A. Gompers, 2000, Is the abnormal return following equity issuance anomalous? Journal of Financial Economics, vol. 56, pp. 209-249.  

Covitz, Daniel M. and Harrison, Paul, The Timing of Debt Issuance and Rating Migrations: Theory and Evidence (January 2000). FEDS Working Paper No. 2000-10. Available at SSRN: http://ssrn.com/abstract=221509

Daniel, Kent, and Sheridan Titman, 2005, Market reactions to tangible and intangible information, forthcoming in the Journal of Finance.  

Eckbo, B.E., R.W. Masulis, and O. Norli, 2000, Seasoned public offerings: Resolution of the new issues puzzle, Journal of Financial Economics, vol. 56, pp. 251-291.   

Gibson, Scott, Assem Safieddine, and Ramana Sonti, 2004, Smart Investments by Smart Money: Evidence from Seasoned Equity Offerings, Journal of Financial Economics. 

Jegadeesh, N., 2000, Long-term performance of seasoned equity offerings: Benchmark errors and biases in expectations, Financial Management, vol. 29, pp. 5-30.   

Li, Xianghong, and Xinlei Zhao Propensity Score Matching and Abnormal Performance After Seasoned Equity Offerings (Journal of Empirical Finance, Volume 3, Issue:3, June, 2006, pp. 351-370 

Loughran, Tim and Jay R. Ritter, 1995, The New Issues Puzzle, Journal of Finance 50, 23-51.   

Pastor-Llorca, Maria J. and Poveda Fuentes, Francisco, Earnings Management as an Explanation of the Equity Issue Puzzle in the Spanish Market (2005). http://ssrn.com/abstract=880768 

Pontiff, Jeffrey and Artemiza Woodgate   Share Issuance and Cross-Sectional Returns.  Forthcoming, Journal of Finance. 

Spiess, D.K, and J. Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics, vol. 38.  

McLean, R. David, Pontiff, Jeffrey E. and Watanabe, Akiko, Share Issuance and Cross-Sectional Returns: International Evidence (August 19, 2007). Available at SSRN: http://ssrn.com/abstract=1008312

 

Volatility and Cross Sectional Equity Returns

Ang, Adrew, Bob Hodrick, Yuhang Xing and Xiaoyan Zhang. 2007. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Finance, forthcoming.   

Ang, Andrew, Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, The Cross-Section of Volatility and Expected Returns, Journal of Finance, 61, 259-299.   

Blitz, David and van Vliet, Pim, 2007.  The Volatility Effect: Lower Risk without Lower Return (April 2007). Available at SSRN: http://ssrn.com/abstract=980865

Cain, Michael, David Law, and David Peel, 2000, The Favourite-Longshot Bias and Market Efficiency in UK Football betting,  Scottish Journal of Political Economy  47, 25-36.

Campbell, John Y., 2000. Asset Pricing at the Millennium, Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.  Falken Fund 1998 Letter to Investors.    

Chernoff, Joel.  2006.  Strategy claims equity returns, bond volatility.  Pensions & Investments. http://www.pionline.com/apps/pbcs.dll/article?AID=/20061225/PRINTSUB/612250726/1031/TOC

Clarke, Roger, Harindra de Silva, Steven Thorley.  Minimum-Variance Portfolio in the U.S. Equity Market.  Journal of Portfolio Management.  Fall 2006

Devany, Art,  2003,  Hollywood Economics,  Routledge. 

Diether, K., Malloy, C, and Scherbina, A., 2002, Differences of opinion and the cross-section of stock returns, Journal of Finance 57, 2113 2141.

Falkenstein, Eric G.  1994.  Mutual Funds, Idiosyncratic Variance, and Asset Returns.  Northwestern University PhD Thesis.   

Garrett, Thomas A. and Russell S. Sobel, 2004, State Lottery Revenue: The Importance of Game Characteristics, Public Finance Review 32, pp. 313-330.

Lehmann, Bruce N., 1990, Residual risk revisited, Journal of Econometrics 45, 71-97.

Miller, Edward.  2001.  Why the Low Returns to Beta and Other Forms of Risk.  Journal of Portfolio Management.  Fall.  V 27, no. 2

Ravi Jagannathan & Tongshu Ma, 2003. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08.

Schwartz, Tal.  2000.  How to Beat the S&P500 with Portfolio Optimization.  Unpublished Manuscript. Available at http://www.departments.bucknell.edu/management/apfa/Dundee%20Papers/27Schwartz.pdf

Distress Risk and Equity Returns

Agarwal, Vineet and Taffler, Richard J., The Distress Factor Effect in Equity Returns: Market Mispricing or Omitted Variable?  EFMA 2003 Helsinki Meetings.

Campbell, John Y,  Jens Hilscher and Jan Szilagyi, 2005. In Search of Distress Risk. Harvard Institute of Economic Research Working Papers 2081. 

Dichev, Ilya, 1998, Is the Risk of Bankruptcy a Systematic Risk?  Journal of Finance  53, 1131-1148. 

Griffin, John M. and Michael Lemmon, 2002, Book-to-Market Equity, Distress Risk, and Stock Returns, Journal of Finance 57, 2317 2336

Vassalou, Maria, and Yuhang Xing, 2004, Default Risk in Equity Returns, Journal of Finance  59, 831-68.

Momentum

Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov.  2007,  Momentum and Credit Rating Scheduled for publication: October

Badrinath, S.G., Sunil Wahal,  2002, Momentum Trading by Institutions.  Journal of Finance.    Volume: 57, Issue: 6, Published: December

Chordia , Tarun, Lakshmanan Shivakumar.  2002, Momentum, Business Cycle, and Time-varying Expected Returns.  Journal of Finance.  Volume: 57, Issue: 2, Published: April

Chordia, T. / Shivakumar, L. , .2006,  Earnings and price momentum, Journal of Financial Economics, 80 (3), p.627-656, Jun

Connolly, Robert, Chris Stivers.  2003, Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion.  Journal of Finance.  Volume: 58, Issue: 4, Published: August

Cooper, Michael J., Roberto C. Gutierrez , Allaudeen Hameed. 2004 Market States and Momentum.  Journal of Finance.  Volume: 59, Issue: 3, Published: June

Gebhardt, W.R. / Hvidkjaer, S. / Swaminathan, B. 2005, Stock and bond market interaction: Does momentum spill over?  Journal of Financial Economics, 75 (3), p.651-690, Mar

George, Thomas J., Chuan-Yang Hwang. 2004, The 52-Week High and Momentum Investing,  Journal of Finance.   Volume: 59, Issue: 5, Published: October

Griffin , John M., Xiuqing Ji , J. Spencer Martin, 2003, Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole Journal of Finance.  Volume: 58, Issue: 6, Published: December

Gutierrez, Roberto C. Jr. and Eric K. Kelley.  2008, The Long-Lasting Momentum in Weekly Returns Scheduled for publication: February

Hogan, S. / Jarrow, R. / Teo, M. / Warachka, M.  2004,  Testing market efficiency using statistical arbitrage with applications to momentum and value strategies, Journal of Financial Economics, 73 (3), p.525-565, Sep

Hong, Harrison, Jeremy C. Stein, 1999, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,  Journal of Finance.  Volume: 54, Issue: 6, Published: December

Hong, Harrison, Terence Lim , Jeremy C. Stein, 2000,  Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,  Journal of Finance.   Volume: 55, Issue: 1, Published: February

Jegadeesh, Narasimham, and Sheridan Titman, 1993, .Returns to buying winners and selling losers: Implications for stock market efficiency,. Journal of Finance, Vol. 48, No. 1, March, pp. 65.91.

Jegadeesh, Narasimhan and Titman, Sheridan , Momentum (October 23, 2001). University Of Illinois Working Paper. Available at SSRN: http://ssrn.com/abstract=299107

Jegadeesh, Narasimhan, Sheridan Titman. 2001, Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.  Journal of Finance.  Volume: 56, Issue: 2, Published: April

Johnson, Timothy C..  2002, Rational Momentum Effects.  Journal of Finance.  Volume: 57, Issue: 2, Published: April

Korajczyk , Robert A., Ronnie Sadka.  2004, Are Momentum Profits Robust to Trading Costs?,  Journal of Finance.  Volume: 59, Issue: 3, Published: June

Lakonishok, Josef, Louis K. C. Chan, Narasimhan Jegadeesh.  1996, Momentum Strategies.  Journal of Finance.  Volume: 51, Issue: 5, Published: December

Lee , Charles M.C., Bhaskaran Swaminathan.  2000, Price Momentum and Trading Volume, Journal of Finance.   Volume: 55, Issue: 5, Published: October

Lesmond, D.A. / Schill, M.J. / Zhou, C. 2004.   The illusory nature of momentum profits, Journal of Financial Economics, 71 (2), p.349-380, Feb

Moskowitz, Tobias J., Mark Grinblatt, 1999, Do Industries Explain Momentum?  Journal of Finance.  Volume: 54, Issue: 4, Published: August

Rouwenhorst, K. Geert 1998, International Momentum Strategies.  Journal of Finance.    Volume: 53, Issue: 1, Published: February

Sagi, J.S. / Seasholes, M.S. , Firm-specific attributes and the cross-section of momentum , Journal of Financial Economics, 84 (2), p.389-434, May

Sapp, Travis, Ashish Tiwari, 2004, Does Stock Return Momentum Explain the Smart Money Effect?,  Journal of Finance.  Volume: 59, Issue: 6, Published: December

 

Beta

Ang, A. / Liu, J. ,  Risk, return, and dividends  Journal of Financial Economics, 85 (1), p.1-38, Jul 2007

Breeden,  Douglas T. Breeden, Michael R. Gibbons, Robert H. Litzenberger, Empirical Test of the Consumption-Oriented CAPM Journal of Finance.  Volume: 44, Issue: 2, Published: June 1989

Campbell, John, and John Cochrane, Explaining the Poor Performance of Consumption-Based Asset Pricing Models , Journal of Finance, December 2000.

Campbell, John, and Tuomo Vuolteenaho, 2004, Good Beta, Bad Beta, American Economic Review, 2004, vol. 94, issue 5, pages 1249-1275

Campbell, John,. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (with Samuel Thompson), forthcoming Review of Financial Studies.

Daniel, Kent & Titman, Sheridan, 1997. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March

Daniel, Kent and Sheridan Titman, 1997,  Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,  Journal of Finance 52, 1-33.

Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, .Investor psychology and security market under- and overreactions,. Journal of Finance, Vol. 3, No. 6, December, pp. 1839.1885.

Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
Jaganathan, Ravi, Zhenyu Wang  Volume: 57, Issue: 5, Published: October 2002

Fama, Eugene, Kenneth R. French, The Value Premium and the CAPM,  Journal of Finance. Volume: 61, Issue: 5, Published: October 2006

Fama, Eugene, Kenneth R. French, Disagreement, tastes, and asset prices Journal of Financial Economics, 83 (3), p.667-689, Mar 2007.

Fama, Eugene, Kenneth R. French, The CAPM is Wanted, Dead or Alive, Journal of Finance.  Volume: 51, Issue: 5, Published: December 1996

Fama, Eugene, Kenneth R. French, 1989, .Business conditions and expected returns on stocks and bonds,. Journal of Financial Economics, Vol. 25, No. 1, November, pp. 23.49.

Fama, Eugene, Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.    Fama, Eugene F., and Kenneth R. French, 1996, The CAPM is wanted, dead or alive, Journal of. Finance 51, 1947-1958. 

Fama, Eugene, Kenneth R. French, 1993, .Common risk factors in the returns on stocks and bonds,. Journal of Financial Economics, Vol. 33, No. 1, February, pp. 3.56.

Fama, Eugene F., and Kenneth R. French, 1995, .Size and book-to-market factors in earnings and returns,. Journal of Finance, Vol. 50, No.1, March, pp. 131.155.

Fama, Eugene F., and Kenneth R. French, 1996, .Multifactor explanations of assetpricing anomalies,. Journal of Finance, Vol. 51, No. 1, March, pp, 55.84.

Hui Guo & Robert Whitelaw, 2005. Uncovering the risk-return relation in the stock market, Working Papers 2001-001, Federal Reserve Bank of St. Louis.    

Jaganathan,  Ravi Jagannathan and Yong Wang, Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns Journal of Finance.  Scheduled for publication: August 2007

Jagannathan,  Ravi Jagannathan, Zhenyu Wang, The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance.   Volume: 51, Issue: 1, Published: March 1996

Jensen, Michael C., 1969, .The pricing of capital assets and evaluation of investment portfolios,. Journal of Business, Vol. 42, No. 2, April, pp. 167.247.

Jensen, Michael C., Black, Fischer and Scholes, Myron S., The Capital Asset Pricing Model: Some Empirical Tests . Michael C. Jensen, STUDIES IN THE THEORY OF CAPITAL MARKETS, Praeger Publishers Inc., 1972 Available at SSRN: http://ssrn.com/abstract=908569

Lakonishok, Joseph. 1993.  Is Beta Dead or Alive? In The CAPM Controversy: Policy and Strategy Implications for Investment Management, AIMR.   

Lewellen, J. / Nagel, S. , The conditional CAPM does not explain asset-pricing anomalies, Journal of Financial Economics, 82 (2), p.289-314, Nov 2006

Ludvigson, S.C. / Ng, S. , The empirical risk-return relation: A factor analysis approach , Journal of Financial Economics, 83 (1), p.171-222, Jan 2007

MacKinlay, A. Craig, 1995, .Multifactor models do not explain deviations from the CAPM,. Journal of Financial Economics, Vol. 38, No. 1, pp. 3.28.

Markowitz, Harry M. Market Efficiency: A Theoretical Distinction and So What? Financial Analysts Journal, Vol. 61, No. 5, pp 17-30, 2005.   

Merton, Robert C., 1973, .An intertemporal capital asset pricing model,. Econometrica, Vol. 41, No. 5, September, pp. 867.887.

Ni, Sophie Xiaoyan. 2007. Stock Option Returns: A Puzzle. http://ssrn.com/abstract=959024 

Roll, R., SA Ross, 1994, On the Cross-Sectional Relation Between Expected Returns and Betas, Journal of Finance, 101-121.

Ross, S. A., 1976, .The arbitrage theory of capital asset pricing,. Journal of Economic Theory, Vol. 13, No. 3, December, pp. 341.360.

Ross, Stephen, 1993, Is Beta Useful? In The CAPM Controversy: Policy and Strategy Implications for Investment Management, AIMR. 

Shanken, J. / Zhou, G. , Estimating and testing beta pricing models: Alternative methods and their performance in simulations , Journal of Financial Economics, 84 (1), p.40-86, Apr 2007

Vuolteenaho, Tuomo.  January 2006.  Beta Arbitrage as an Alpha Opportunity. http://www.arrowstreetcapital.com/pdf/beta_arbitrage.pdf

 

Turnover

Chen, J., Hong, H. and Stein, J.C. (2001), Breadth of Ownership and Stock Returns, Journal of Financial Economics, 2002, 66, 171-205.

Diamond, D.W. and Verrecchia, R.E. (1987), Constraints on Short-Selling and Asset Price Adjustment to Private Information, Journal of Financial Economics, 8, 277-311.

Diether, K.B., Malloy C.J. and Scherbina, A. (2002), Differences of Opinion and the Cross Section of Stock Returns, Journal of Finance, 5, 2113-2141.

Easley, D., Hvidkjaer, S. and O'Hara, M. (2002), Is Information Risk a Determinant of Asset Returns? Journal of Finance, 5, 2185-2221.

Harris, M. and Raviv, A. (1993), Differences of Opinion Make a Horse Race, Review of Financial Studies, 6, 473-506.

Hong, H. and Stein, J.C. (2003), Differences of Opinion, Short-Sales Constraints and Market Crashes, Reviews of Financial Studies, 16, 487-525.

Jones, C.M. and Lamont, O.A. (2002), Short-Sale Constraints and Stock Returns, Journal of Financial Economics, 66, 207-239.

Lamoureux, C.G. and Lastrapes, W.D. (1994), Endogenous Trading Volume and Momentum in Stock-return Volatility, Journal of Business&Economic Statistics, 12, 253-260.

Lee, C. and Swaminathan, B. (2000), Price Momentum and Trading Volume, Journal of Finance, 51, 1715-1742.

Liesenfeld, R. (2001), A generalized Bivariate Mixture Model for Stock Price Volatility and Trading Volume, Journal of Econometrics, 104, 141-178.

Mayshar, J. (1982), On Divergence of Opinion and Imperfections in Capital Markets, American Economic Review, 73, 114-128.

Merton, R.C. (1987), A simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance 42, 483-510.

Miller, E.M. (1977), Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32, 1151-1168.

Pastor, L. and Stambaugh, R.F. (2003) , Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 111, 642-685.

Tauchen, G.E and Pitts, M. (1983), The Price Variability-Volume Relationship on Speculative Markets, Econometrica, 51, 485-505.

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