Avanidhar Subrahmanyam | Academic Influence

Why Is Avanidhar Subrahmanyam Influential?

According to Wikipedia, Avanidhar Subrahmanyam is a professor and named chair at the University of California Los Angeles. He is an expert in stock market activity and behavioral finance, and has published a number of papers on financial markets.

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Avanidhar Subrahmanyam's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions' (1998) (3418)
Commonality in Liquidity (1999) (1641)
Alternative factor specifications, security characteristics, and the cross-section of expected stock returns (1998) (1458)
Market Liquidity and Trading Activity (2000) (1431)
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996) (1421)
Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001) (935)
An Empirical Analysis of Stock and Bond Market Liquidity (2001) (875)
Trading Activity and Expected Stock Returns (2000) (857)
Liquidity and Market Efficiency (2007) (839)
Long‐Lived Private Information and Imperfect Competition (1992) (792)
The Going‐Public Decision and the Development of Financial Markets (1999) (786)
Investment analysis and price formation in securities markets (1995) (745)
Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994) (707)
Orderimbalance, Liquidity and Market Returns (2001) (629)
A Theory of Trading in Stock Index Futures (1991) (517)
Order imbalance and individual stock returns: theory and evidence (2004) (502)
Recent Trends in Trading Activity and Market Quality (2010) (443)
Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity? (2014) (373)
Brand Perceptions and the Market for Common Stock (2001) (354)
A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-Reactions (1997) (344)
Evidence on the Speed of Convergence to Market Efficiency (2001) (326)
Risk Aversion, Market Liquidity, and Price Efficiency (1991) (314)
O/S: The Relative Trading Activity in Options and Stock (2009) (306)
Cognitive Dissonance, Sentiment, and Momentum (2012) (291)
Feedback from Stock Prices to Cash Flows (2001) (271)
The Cross-Section of Expected Trading Activity (2007) (254)
Circuit Breakers and Market Volatility: A Theoretical Perspective (1994) (250)
Informed Speculation and Hedging in a Noncompetitive Securities Market (1992) (236)
Behavioral Finance: A Review and Synthesis (2007) (189)
Investor Sentiment, Beta, and the Cost of Equity Capital (2014) (186)
Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007) (183)
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2009) (175)
Smart Money, Dumb Money, and Capital Market Anomalies (2015) (164)
Feedback and the Success of Irrational Investors (2003) (159)
Board Quality and the Cost of Debt Capital: The Case of Bank Loans (2010) (156)
Options Trading Activity and Firm Valuation (2007) (152)
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010) (146)
Theory-Based Illiquidity and Asset Pricing (2008) (143)
Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange (2001) (136)
An Analysis of the Amihud Illiquidity Premium (2011) (132)
Price Volatility, International Market Links and their Implications for Regulatory Policies (1989) (128)
Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence (1995) (128)
Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks (1993) (125)
Chapter 13. Investor Psychology and Security Market Under- and Overreaction (2005) (121)
The Empirical Analysis of Liquidity (2014) (115)
On intraday risk premia (1995) (114)
The Cross Section of Analyst Recommendations (2004) (111)
Risk aversion, imperfect competition, and long-lived information (1994) (110)
Sell-order liquidity and the cross-section of expected stock returns (2012) (109)
The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns (2011) (108)
Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns (2005) (108)
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation (2015) (97)
Transaction Taxes and Financial Market Equilibrium (1998) (95)
The Determinants of Average Trade Size (1998) (89)
Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? (2006) (81)
News Events, Information Acquisition, and Serial Correlation (1998) (81)
Dual-class premium, corporate governance, and the mandatory bid rule: Evidence from the Brazilian stock market (2007) (76)
The Value of Private Information (2005) (74)
Stock salience and the asymmetric market effect of consumer sentiment news (2012) (74)
Liquidity, Return and Order-Flow Linkages between REITs and the Stock Market (2007) (73)
Order Imbalance and Individual Stock Returns (2002) (67)
The Dynamics of Market Efficiency (2016) (67)
Using intraday data to test for effects of index futures on the underlying stock markets (1994) (67)
Liquidity Dynamics and Cross-Autocorrelations (2010) (63)
Social Networks and Corporate Governance (2008) (62)
A Protocol for Factor Identification (2014) (62)
Risk Aversion, Liquidity, and Endogenous Short Horizons (1996) (57)
Taxes and dividend clientele: Evidence from trading and ownership structure (2006) (55)
Co-Movements in Bid-Ask Spreads and Market Depth (2000) (53)
Short-Term Reversals: The Effects of Past Returns and Institutional Exits (2017) (52)
Asymmetric Information and News Disclosure Rules (2000) (47)
On rules versus discretion in procedures to halt trade (1995) (46)
Liquidity Dynamics Across Small and Large Firms (2004) (43)
Capital structure effects on the prices of equity call options (2016) (42)
Asymmetric Effects of Informed Trading on the Cost of Equity Capital (2014) (39)
Dynamic Information Disclosure (2013) (39)
Covariance Risk, Mispricing, and the Cross Section of Security Returns (2000) (39)
The ex ante effects of trade halting rules on informed trading strategies and market liquidity (1997) (39)
Cross-Sectional Determinants of Expected Returns (1996) (39)
High-Frequency Measures of Informed Trading and Corporate Announcements (2017) (37)
Sentiment and Momentum (2010) (36)
The term structure of credit spreads, firm fundamentals, and expected stock returns (2017) (35)
Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market (2017) (35)
Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows (2001) (34)
Long-Term Reversals in the Corporate Bond Market (2018) (33)
Financial Market Shocks and the Macroeconomy (2013) (30)
Algorithmic trading, the Flash Crash, and coordinated circuit breakers (2013) (30)
The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms (2005) (29)
A Cognitive Theory of Corporate Disclosures (2003) (28)
Capital Market Efficiency and Arbitrage Efficacy (2016) (28)
Equity market momentum: A synthesis of the literature and suggestions for future work (2018) (27)
Lagged order flows and returns: A longer-term perspective (2008) (27)
Investor Psychology and Tests of Factor Pricing Models (2005) (26)
Order Flow Volatility and Equity Costs of Capital (2017) (25)
Recent Trends in Trading Activity (2009) (25)
Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation (2012) (24)
Limit Order Placement by High-Frequency Traders (2016) (24)
The Macroeconomic Uncertainty Premium in the Corporate Bond Market (2018) (23)
Index Option Trading Activity and Market Returns (2019) (23)
Determinants of Daily Fluctuations in Liquidity and Trading Activity (2003) (23)
Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal (2001) (22)
Common Liquidity Shocks and Market Collapse: Lessons from the Market for Perps (2008) (22)
Trends in the Cross-Section of Expected Stock Returns (2013) (22)
Momentum and Reversals when Overconfident Investors Underestimate Their Competition (2019) (22)
Futures versus Share Contracting as Means of Diversifying Output Risk (1993) (22)
Information, Expected Utility, and Portfolio Choice (2010) (21)
Do Wealthy Investors Have an Informational Advantage? Evidence Based on Account Classifications of Individual Investors (2016) (20)
Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements (2004) (19)
Foreign Firms Issuing Equity on Us Exchanges: An Empirical Investigation of Ipos and Seos (2002) (19)
Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns (2012) (18)
Nonsecular Regularities in Returns and Volume (2004) (16)
Big data in finance: Evidence and challenges (2019) (16)
The Cross-Section of Daily Variation in Liquidity (2001) (15)
Stock Return Predictability: New Evidence from Moving Averages of Prices and Firm Fundamentals (2018) (15)
Multi-market trading and the informativeness of stock trades: An empirical intraday analysis (1997) (14)
Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors? (2014) (14)
Moving Average Distance as a Predictor of Equity Returns (2018) (13)
Smart Money , Dumb Money , and Equity Return Anomalies March 14 , 2014 (2014) (13)
The implications of liquidity and order flows for neoclassical finance (2009) (13)
On the Stability of the Cross-Section of Expected Stock Returns in the Cross-Section: Understanding the Curious Role of Share Turnover (2005) (12)
Capital Market Effi ciency and Arbitrage E fficacy (2014) (11)
Optimal financial education (2009) (10)
Investor Sentiment and Price Momentum (2010) (10)
Price Limits, Information Acquisition, and Bid–ask Spreads: Theory and Evidence (1999) (9)
Bank total factor productivity convergence: Evidence from india (2020) (8)
Expected Return and Asset Pricing (2003) (8)
The Affect Heuristic and Stock Ownership: A Theoretical Perspective (2018) (8)
Executive Compensation and Investor Clientele (2006) (8)
Winners, Losers, and Regulators in a Derivatives Market Bubble (2018) (8)
The Real Effects of Exchange-Traded Funds (2018) (8)
Divergence of Us and Local Returns in the After-Market for Equity Issuing Adrs (2004) (8)
Short-Term Reversals: The Effects of Institutional Exits and Past Returns (2014) (7)
Short-Term Reversals and the Efficiency of Liquidity Provision (2013) (7)
Common Determinants of Liquidity and Trading (2001) (7)
Liquidity and the Law of One Price: The Case of the Cash/Futures Basis (2005) (7)
Comments and Perspectives on ‘The Capital Asset Pricing Model’ (2013) (6)
Perspectives: Nonsecular Regularities in Returns and Volume (2004) (6)
Stock Price Patterns When Overconfident Traders Underestimate Their Competition (2017) (5)
High-Frequency Measures of Information Risk (2015) (5)
International IPOs, Market Segmentation, and Investor Recognition (2000) (5)
The Term Structure of Credit Spreads and the Cross-Section of Stock Returns (2015) (5)
Liquidity Spillovers and Cross-Autocorrelations (2006) (5)
Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news☆ (2013) (5)
An Emperical Analysis of Co-Movements in High- and Low-Frequency Metrics for Financial Market Efficiency (2014) (5)
ETF Ownership and Corporate Investment (2018) (4)
Asset Pricing When Trading Is for Entertainment (2017) (4)
The Economic Uncertainty Premium in Corporate Bond Returns: An Empirical Investigation (2019) (4)
Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective (2021) (4)
On Speculation, Index Futures Markets, and the Link Between Market Volatility and Investor Welfare (1996) (4)
The microstructure of cross-autocorrelations (2007) (4)
Stock Price Dynamics With Overconfident Investors (4)
Investor Sentiment and Beta Pricing (2013) (4)
Global Financial Crisis, Liquidity Shocks and Global Financial Stability (2014) (4)
On Distinguishing between Rationales for Short-Horizon Predictability of Stock Returns (2003) (3)
Leverage is a Double-Edged Sword (2021) (3)
(Presentation Slides) Investor Overconﬁdence, Covariance Risk, and Predictors of Securities Returns (1998) (3)
Time Varying Market Efficiency (2012) (3)
Post-Fundamentals Drift in Stock Prices: A Machine-Learning Approach (2019) (3)
Return-Based Factors for Corporate Bonds (2017) (3)
CORPORATE GOVERNANCE AND FINANCIAL MARKETS (2016) (2)
Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns? (2009) (2)
Feedback from Stock Prices to Cash Flows” (formerly called “Real Effects of Financial Market Trading) (1998) (2)
Price Formation with Autocorrelated Order Flow: Theory and Evidence (2002) (2)
Global Commonality in Liquidity (2014) (2)
Sentiment and the CAPM (2012) (2)
Exchange-Traded Funds and Real Investment (2022) (2)
The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective (2018) (2)
What Is the Role of Editors in the Publication Process? An Author's Response to Berk, Harvey, and Hirshleifer (2017) (2)
Capital Structure Effects on the Prices of Individual Equity Call Options (2014) (2)
Common Liquidity Risk and Market Collapse: Lessons from the Market for Perps (2006) (2)
Retail Trading Activity and Major Lifecycle Events: The Case of Divorce (2020) (2)
Book/Market Fluctuations, Trading Activity, and the Cross‐section of Expected Stock Returns (2009) (2)
How and Why Do Corporate Bond Returns Depend on Past Returns ? An Empirical Investigation (2018) (2)
Trading activity and expected stock returns q (2000) (2)
A Parsimonious Model of Momentum and Reversals in Financial Markets (2019) (2)
Stock Price Patterns When Overconfident Traders Overestimate Their Ability and Underestimate the Competition (2017) (1)
Learning from experience and trading volume (2008) (1)
Financial Market Equilibrium When Information is Asymmetric and Stock Ownership is a Consumption Good (2016) (1)
UCLA Recent Work Title An Empirical Analysis of Stock and Bond Market Liquidity : Forthcoming in the Review of Financial Studies Permalink (2002) (1)
Feedback and the Success of Irrational Investors - eScholarship (2002) (1)
Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets (2011) (1)
Financial Market Frictions and Learning from the Stock Price (2019) (1)
Stressors and Financial Market Trading: The Case of Marital Separation (2014) (1)
What Explains Momentum? A Perspective From International Data (2022) (1)
Funding Constraints and Market Efficiency (2011) (1)
Momentum and Short-Term Reversals: Theory and Evidence (2022) (1)
Momentum, Reversals, and Investor Clientele (2020) (1)
The Scholarly Review Process in Finance from an Author's Standpoint: Some Rants and Some Suggestions for Improvement (2013) (1)
How are Investor Trading Activity and Performance Affected by Major Lifecycle Events? The Case of Divorce1 (2019) (1)
Do the Rich Have an Informational Advantage ? Evidence Based on Account Classifications of Individual Investors (2014) (1)
Financial Market Frictions and Learning from the Stock Price (2019) (1)
Trading on Information About Noise in Financial Markets (2013) (1)
The Implications of Stock Ownership as a Consumption Good: A Theoretical Perspective (2016) (1)
The post-earnings-announcement drift and liquidity: level, risk, and profitability of trading (2005) (1)
Post-Fundamentals Drift in Stock Prices: A Regression Regularization Perspective (2020) (1)
Order Imbalance and Individual Stock Returns - eScholarship (2000) (1)
Shocks to Order Flow Volatility and Stock Returns (2014) (0)
How to Make Finance Scholarship More Creative and Equitable: An Author’s Suggestions to Editors and Referees * (2015) (0)
Market Fluctuations , Trading Activity , and the Cross-Section of Expected Stock Returns (2007) (0)
Order Imbalance and the Cross-Section of Expected Stock Returns (2000) (0)
Anchoring on Past Fundamentals (2020) (0)
Chicanery, Intelligence, and Financial Market Equilibrium Avanidhar Subrahmanyam (2003) (0)
Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns (2013) (0)
Editorial: Realistic Academic Standards and the Value of Replications (2019) (0)
Public disclosure in acquisitions (2018) (0)
Continuous Time Spot Rate Models with a Nonstationary Mean (2016) (0)
Securities Markets Where Some Investors Receive Information About Cash Flow Betas (2020) (0)
Chicanery, Intelligence, and Financial Market Equilibrium (2002) (0)
CREDIT RISK AND RISK NEUTRAL DEFAULT PROBABILITIES : INFORMATION ABOUT RATING MIGRATIONS AND DEFAULTS by Gordon Delianedis and Robert Geske (1998) (0)
Errata: Risk Aversion, Liquidity, and Endogenous Short Horizons (1998) (0)
Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data (2021) (0)
CFR Working Paper NO. 13-04 Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance (2013) (0)
Determinants of market liquidity and price efficiency in financial markets (1990) (0)
Managerial Compensation and Trading Activity (2012) (0)
The Cross-Section of Analyst Recommendations - eScholarship (2004) (0)
Changing Expected Returns Can Induce Spurious Serial Correlation (2019) (0)
The Anatomy of Fluctuations in Book / Market Ratios (2007) (0)
The Economics of Law Enforcement and Insider Trading (2001) (0)
Retail Investors and Momentum (2022) (0)
Alpha and Beta Information (2020) (0)
Decimal Stock Trading and "Off-Floor" Market Making (1992) (0)
Optimal Financial Naïveté (2010) (0)
Who Gains and Who Underperforms in Derivatives Trading, and Why? Evidence from Chinese Brokerage Account Data (2018) (0)
Liquidity Spillovers: Evidence from Two-Step Spinoffs (2021) (0)
Futures Versus Share Contracting as Alternatives for Diversifying Output Risk (2008) (0)
Who Gains and Who Loses in Derivatives Trading, and Why? Evidence from Chinese Brokerage Account Data (2018) (0)
4 , Summer 2009 – Continued – 2 272 EXECUTIVE COMPENSATION AND INVESTOR CLIENTELE (2017) (0)
DETERMINANTS OF DAILY FLUCTUATIONS IN LIQUIDITY AND (2003) (0)
Does FinTech Improve Traditional Banks’ Operating Efficiency and Risk Exposure? Machine Learning-Based Evidence from Patent Filings in China (2023) (0)
EMG Working Paper Series WP-EMG-13-2009 ‘ Sell-side Illiquidity and the Cross-Section of Expected Stock Returns ’ (2009) (0)
Financial Intermediaries and Contagion in Market Efficiency: The Case of ETFs (2022) (0)
Equity Trading Activity and Treasury Bond Risk Premia (2019) (0)
Research Collection Lee Kong Chian School Of Business Lee Kong Chian School of Business 2014 Shocks to order flow volatility and stock returns (2015) (0)
The Power of Bad: The Negativity Bias in Consumer Sentiment Announcements on Stock Returns (2010) (0)
Investor short-termism and real investment (2019) (0)
Optimal Financial Nä ı veté (2009) (0)
Does ownership matter in bank herding behavior? Evidence from India (2022) (0)
August 22 , 2014 Shocks to Order Flow Volatility and Stock Returns (2014) (0)
How to Make Finance Scholarship More Creative and Equitable: An Author’s Suggestions to Editors and Referees (2013) (0)
CHAPTER 1 Order Imbalance , Liquidity , and Market Returns (2007) (0)

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