I review the recent literature on cross‐sectional predictors of stock returns. Predictive
variables used emanate from informal arguments, alternative tests of risk‐return models …

The purpose of this study is to identify the key aspects that have been studied in the area of
stock market liquidity, accumulate their important findings, and also provide a quantitative …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We explore the sharp uptrend in recent trading activity and accompanying changes in
market efficiency. Higher turnover has been associated with more frequent smaller trades …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

We show that typical behaviors of market participants at the high frequency scale generate
leverage effect and rough volatility. To do so, we build a simple microscopic model for the …

I review the state of empirical asset pricing devoted to understanding cross-sectional
differences in average rates of return. Both methodologies and empirical evidence are …

Utilising data from listed companies in China from 2007 to 2020, we first examine whether
and how corporate green innovation affects stock liquidity. We demonstrate that corporate …

This paper analyzes the Amihud (2002) measure of illiquidity and its role in asset pricing. It
is shown first that the effect of illiquidity on asset pricing is clarified by using the turnover …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …