Tarun Chordia

Commonality in liquidity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2000 · 1.7K citations

Liquidity Risk, Economics, Liquidity +2

Market Liquidity and Trading Activity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · The Journal of Finance · 2001 · 1.5K citations

Market Microstructure, Empirical Finance, Economics +14

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam · Journal of Financial Economics · 1998 · 1.3K citations

Liquidity and market efficiency☆

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2007 · 944 citations

Economics, Financial Economics, Market Efficiency☆ +6

Order imbalance, liquidity, and market returns

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2002 · 939 citations

Empirical Finance, Market Microstructure, Economics +5