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Liquidity and autocorrelations in individual stock returns

Avramov, Doron, Chordia, Tarun and Goyal, Amit 2006, Liquidity and autocorrelations in individual stock returns, Journal of finance, vol. 61, no. 5, pp. 2365-2394, doi: 10.1111/j.1540-6261.2006.01060.x.

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Title Liquidity and autocorrelations in individual stock returns
Author(s) Avramov, Doron
Chordia, Tarun
Goyal, Amit
Journal name Journal of finance
Volume number 61
Issue number 5
Start page 2365
End page 2394
Total pages 30
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2006-10
ISSN 0022-1082
1540-6261
Keyword(s) liquidity
autocorrelations
individual stock returns
short-run reversals
stock illiquidity
Language eng
DOI 10.1111/j.1540-6261.2006.01060.x
Field of Research 1502 Banking, Finance And Investment
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2006, American Finance Association
Persistent URL http://hdl.handle.net/10536/DRO/DU:30098957

Document type: Journal Article
Collection: Department of Finance
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