Avanidhar Subrahmanyam
55 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0001-8496-7646
Anderson School, University of California, Los Angeles, California 90095
Publications
- Nominal Prices, Retail Investor Participation, and Return Momentum — Management Science 2026
- Short-Term Reversals and Longer-Term Momentum around the World: Theory and Evidence — The Review of Financial Studies 2025
- Securities Markets in Which Some Investors Receive Information About Cash Flow Betas — Management Science 2025
- Empirical determinants of momentum: a perspective using international data — Review of Finance 2025
- Leverage Is a Double-Edged Sword — The Journal of Finance 2024
- Equity Trading Activity and Treasury Bond Risk Premia — Journal of Financial and Quantitative Analysis 2023
- Exchange-Traded Funds and Real Investment — The Review of Financial Studies 2023
- The Macroeconomic Uncertainty Premium in the Corporate Bond Market—Corrigendum — Journal of Financial and Quantitative Analysis 2023
- Momentum, Reversals, and Investor Clientele — Review of Finance 2022
- Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective — Management Science 2022
- Index Option Trading Activity and Market Returns — Management Science 2021
- Momentum and Reversals When Overconfident Investors Underestimate Their Competition — The Review of Financial Studies 2021
- The Macroeconomic Uncertainty Premium in the Corporate Bond Market — Journal of Financial and Quantitative Analysis 2021
- Winners, Losers, and Regulators in a Derivatives Market Bubble — The Review of Financial Studies 2021
- A Protocol for Factor Identification — The Review of Financial Studies 2019
- Order Flow Volatility and Equity Costs of Capital — Management Science 2019
- Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market — Journal of Financial Economics 2018 (name-matched, not ORCID-linked)
- High-Frequency Measures of Informed Trading and Corporate Announcements — The Review of Financial Studies 2018
- Dynamic Information Disclosure† — Contemporary Accounting Research 2017
- The Dynamics of Market Efficiency — The Review of Financial Studies 2017
- The term structure of credit spreads, firm fundamentals, and expected stock returns — Journal of Financial Economics 2017 (name-matched, not ORCID-linked)
- Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation — Journal of Financial and Quantitative Analysis 2017
- Short-Term Reversals: The Effects of Past Returns and Institutional Exits — Journal of Financial and Quantitative Analysis 2017
- Investor Sentiment, Beta, and the Cost of Equity Capital — Management Science 2016
- Capital Market Efficiency and Arbitrage Efficacy — Journal of Financial and Quantitative Analysis 2016
- Asymmetric Effects of Informed Trading on the Cost of Equity Capital — Management Science 2016
- Capital structure effects on the prices of equity call options — Journal of Financial Economics 2016 (name-matched, not ORCID-linked)
- Smart money, dumb money, and capital market anomalies — Journal of Financial Economics 2015
- Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? — Journal of Accounting and Economics 2014
- Financial Market Shocks and the Macroeconomy — The Review of Financial Studies 2013
- Cognitive Dissonance, Sentiment, and Momentum — Journal of Financial and Quantitative Analysis 2013
- The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns — Journal of Financial and Quantitative Analysis 2011
- Liquidity Dynamics and Cross-Autocorrelations — Journal of Financial and Quantitative Analysis 2011
- Information, Expected Utility, and Portfolio Choice — Journal of Financial and Quantitative Analysis 2010
- Theory-Based Illiquidity and Asset Pricing — The Review of Financial Studies 2009
- Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? — Journal of Financial and Quantitative Analysis 2008
- The Cross-Section of Expected Trading Activity — The Review of Financial Studies 2007
- Liquidity and the Law of One Price: The Case of the Futures-Cash Basis — The Journal of Finance 2007
- The Cross Section of Analyst Recommendations — Journal of Financial and Quantitative Analysis 2006
- Brand Perceptions and the Market for Common Stock — Journal of Financial and Quantitative Analysis 2005
- An Empirical Analysis of Stock and Bond Market Liquidity — The Review of Financial Studies 2005
- Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange — Journal of Financial and Quantitative Analysis 2004
- Overconfidence, Arbitrage, and Equilibrium Asset Pricing — The Journal of Finance 2001
- Market Liquidity and Trading Activity — The Journal of Finance 2001
- Feedback from Stock Prices to Cash Flows — The Journal of Finance 2001
- The Going-Public Decision and the Development of Financial Markets — The Journal of Finance 1999
- Investor Psychology and Security Market Under- and Overreactions — The Journal of Finance 1998
- Risk Aversion, Liquidity, and Endogenous Short Horizons — The Review of Financial Studies 1996
- On Intraday Risk Premia — The Journal of Finance 1995
- Circuit Breakers and Market Volatility: A Theoretical Perspective — The Journal of Finance 1994
- Security Analysis and Trading Patterns When Some Investors Receive Information Before Others — The Journal of Finance 1994
- Long-Lived Private Information and Imperfect Competition — The Journal of Finance 1992
- Informed Speculation and Hedging in a Noncompetitive Securities Market — The Review of Financial Studies 1992
- A Theory of Trading in Stock Index Futures — The Review of Financial Studies 1991
- Risk Aversion, Market Liquidity, and Price Efficiency — The Review of Financial Studies 1991