Tarun Chordia

Emory University - Department of Finance

Associate Professor

Atlanta, GA 30322-2710

United States

  • Emory University - Department of Finance

    • Email
    • Tel: 404-727-1620
    • Fax: 404-727-5238
SCHOLARLY PAPERS

65

DOWNLOADS
Rank 313

SSRN RANKINGS

Top 313

in Total Papers Downloads

63,712

SSRN CITATIONS
Rank 889

SSRN RANKINGS

Top 889

in Total Papers Citations

993

CROSSREF CITATIONS

287

Scholarly Papers (65)

Actions:
Email selected abstracts
1.

An Empirical Analysis of Stock and Bond Market Liquidity

Downloads 3,351 ( 4,036)
Citation 79

An Empirical Analysis of Stock and Bond Market Liquidity

FRB NY Staff Report No. 164
Number of pages: 61 Posted: 01 Nov 2001
Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 3,351 (3,945)
Citation 79

Abstract:

Loading...

An Empirical Analysis of Stock and Bond Market Liquidity

Posted: 29 Mar 2004
Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

An Empirical Analysis of Stock and Bond Market Liquidity

The Review of Financial Studies, Vol. 18, Issue 1, pp. 85-129, 2005
Posted: 29 Feb 2008
Tarun Chordia
Emory University - Department of Finance

Abstract:

Loading...

2.

Anomalies and False Rejections

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 66 Posted: 14 Aug 2017 Last Revised: 23 Jan 2020
Tarun Chordia, Amit Goyal and Alessio Saretto
Emory University - Department of Finance, University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 3,038 (4,810)
Citation 38

Abstract:

Loading...

Hypothesis testing, False discoveries, Trading strategies

3.

Predicting Stock Returns

Downloads 2,967 ( 4,996)
Citation 9

Predicting Stock Returns

Number of pages: 58 Posted: 27 Jul 2003
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 2,967 (4,903)
Citation 9

Abstract:

Loading...

Predicting Stock Returns

Journal of Financial Economics, Forthcoming
Posted: 01 Aug 2005
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

Abstract:

Loading...

4.

Market Liquidity and Trading Activity

Number of pages: 45 Posted: 24 Aug 2000
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,906 (5,180)
Citation 25

Abstract:

Loading...

Liquidity, spreads, depths, trading activity, transactions data

5.

Asset Pricing Models and Financial Market Anomalies

Downloads 2,752 ( 5,676)

Asset Pricing Models and Financial Market Anomalies

Number of pages: 56 Posted: 08 Dec 2003
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 2,752 (5,573)
Citation 48

Abstract:

Loading...

Asset pricing models, size, value, liquidity, momentum, time varying risk

Asset Pricing Models and Financial Market Anomalies

Posted: 22 May 2005
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

Abstract:

Loading...

Asset Pricing Models and Financial Market Anomalies

The Review of Financial Studies, Vol. 19, Issue 3, pp. 1001-1040, 2006
Posted: 29 Feb 2008
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

Abstract:

Loading...

6.

Earnings and Price Momentum

Downloads 2,431 ( 6,938)

Earnings and Price Momentum

AFA 2003 Washington, DC Meetings
Number of pages: 46 Posted: 10 Nov 2002
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 2,431 (6,815)
Citation 62

Abstract:

Loading...

Momentum, earnings momentum, post-earnings-announcement drift

Earnings and Price Momentum

Posted: 02 Jun 2005
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School

Abstract:

Loading...

Momentum, post-earnings-announcement-drift, factors

7.

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Number of pages: 61 Posted: 15 Jan 2015 Last Revised: 14 Jan 2019
Tarun Chordia, Amit Goyal and Jay A. Shanken
Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School
Downloads 2,287 (7,660)
Citation 40

Abstract:

Loading...

Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables

8.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Tarun Chordia, Amit Goyal, Bruce N. Lehmann and Gideon Saar
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,132 (8,574)
Citation 10

Abstract:

Loading...

9.

Commonality in Liquidity

Downloads 2,032 ( 9,281)

Commonality in Liquidity

Number of pages: 43 Posted: 16 Mar 1999
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,032 (9,106)
Citation 56

Abstract:

Loading...

Commonality in Liquidity

Journal of Financial Economics
Posted: 31 Jan 2000
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

Loading...

10.

Momentum, Business Cycle and Time Varying Expected Returns

Number of pages: 47 Posted: 24 Nov 2001
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 1,949 (9,936)
Citation 55

Abstract:

Loading...

11.

Trading Activity and Expected Stock Returns

Downloads 1,911 ( 10,266)

Trading Activity and Expected Stock Returns

Number of pages: 43 Posted: 05 Jul 2000
Tarun Chordia, Avanidhar Subrahmanyam and V. Ravi Anshuman
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Indian Institute of Management Bangalore
Downloads 1,911 (10,058)
Citation 40

Abstract:

Loading...

Trading Activity and Expected Stock Returns

Journal of Financial Economics
Posted: 05 Jul 2000
Tarun Chordia, Avanidhar Subrahmanyam and V. Ravi Anshuman
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Indian Institute of Management Bangalore

Abstract:

Loading...

12.

Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?

Journal of Accounting & Economics (JAE), Vol. 58, No. 1, 2014
Number of pages: 50 Posted: 27 Mar 2012 Last Revised: 23 Jul 2014
Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 1,892 (10,434)
Citation 76

Abstract:

Loading...

Anomalies, market efficiency, cross-section of returns

13.

Liquidity and the Post-Earnings-Announcement Drift

Downloads 1,848 ( 10,819)
Citation 44

Liquidity and the Post-Earnings-Announcement Drift

AFA 2008 New Orleans Meetings Paper
Number of pages: 35 Posted: 20 Mar 2007 Last Revised: 24 Aug 2011
Tarun Chordia, Ronnie Sadka, Amit Goyal, Gil Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, Boston College - Carroll School of Management, University of Lausanne, University of Texas at Dallas and London Business School
Downloads 1,477 (15,186)
Citation 47

Abstract:

Loading...

G11, G12, C11

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 18 May 2009
Tarun Chordia, Amit Goyal, Gil Sadka, Ronnie Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
Downloads 371 (98,230)

Abstract:

Loading...

Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Tarun Chordia, Amit Goyal, Gil Sadka, Ronnie Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School

Abstract:

Loading...

Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

14.

Momentum and Credit Rating

Downloads 1,735 ( 11,996)

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,735 (11,788)
Citation 38

Abstract:

Loading...

momentum, credit risk, credit rating

Momentum and Credit Rating

Journal of Finance, Vol. 62, No. 5, pp. 2503-2520, 2007
Posted: 20 Jan 2007 Last Revised: 26 Feb 2008
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Momentum, asset-pricing anomalies, credit risk

15.

Liquidity and Autocorrelations in Individual Stock Returns

Downloads 1,725 ( 12,112)

Liquidity and Autocorrelations in Individual Stock Returns

Number of pages: 41 Posted: 13 Jun 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 1,725 (11,900)
Citation 51

Abstract:

Loading...

Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

Abstract:

Loading...

16.

Liquidity and Market Efficiency

Number of pages: 46 Posted: 04 Sep 2005
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,612 (13,458)
Citation 47

Abstract:

Loading...

Market efficiency, liquidity, order imbalance

17.

Anomalies and Financial Distress

Downloads 1,519 ( 14,634)
Citation 48

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,496 (14,858)
Citation 2

Abstract:

Loading...

asset-pricing anomalies, credit risk, financial distress, downgrades

Anomalies and Financial Distress

Number of pages: 53 Posted: 15 Mar 2010
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 23 (626,478)
Citation 52

Abstract:

Loading...

asset-pricing anomalies, credit risk, momentum, dispersion, asset growth, capital investments, accruals, idiosyncratic volatility

Anomalies and Financial Distress

FDIC Working Paper No. 2011-02
Posted: 09 Jan 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Anomalies and Financial Distress

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jul 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

asset-pricing anomalies, market efficiency, credit rating, credit risk

18.

Credit Ratings and the Cross-Section of Stock Returns

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 08 Feb 2009
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,394 (16,948)
Citation 37

Abstract:

Loading...

credit risk effect, credit rating, asset-pricing anomalies

19.

Evidence on the Speed of Convergence to Market Efficiency

Downloads 1,379 ( 17,151)
Citation 39

Evidence on the Speed of Convergence to Market Efficiency

UCLA Working Paper
Number of pages: 48 Posted: 09 Sep 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,379 (16,903)
Citation 39

Abstract:

Loading...

Evidence on the Speed of Convergence to Market Efficiency

Posted: 06 Oct 2004
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

Loading...

Market efficiency, order imbalances, autocorrelations

20.

Earnings, Business Cycle and Stock Returns

Number of pages: 44 Posted: 02 Sep 2001
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 1,373 (17,340)
Citation 5

Abstract:

Loading...

Earnings momentum; Stock momentum; Post-earnings announcement drift; Macroeconomic factor; Business cycle

21.

Alliances and Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, 2016
Number of pages: 64 Posted: 17 Mar 2014 Last Revised: 02 Jan 2017
Jie Cao, Tarun Chordia and Chen Lin
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 1,231 (20,387)
Citation 9

Abstract:

Loading...

Strategic alliances, Return predictability, Limited attention

22.

Orderimbalance, Liquidity and Market Returns

Number of pages: 35 Posted: 08 May 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,135 (23,039)
Citation 4

Abstract:

Loading...

Order Imbalance, Liquidity, Trading Volume, Transactions

23.

Dispersion in Analysts' Earnings Forecasts and Credit Rating

Downloads 1,130 ( 23,176)
Citation 34

Dispersion in Analysts' Earnings Forecasts and Credit Rating

AFA 2008 New Orleans Meetings Paper
Number of pages: 39 Posted: 21 Mar 2007 Last Revised: 09 Jan 2008
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,130 (22,784)
Citation 34

Abstract:

Loading...

Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

Dispersion in Analysts' Earnings Forecasts and Credit Rating

Journal of Financial Economics (JFE), Vol. 91, pp. 83-101, 2009
Posted: 26 Feb 2008 Last Revised: 13 Jan 2020
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

24.

Pairwise Correlations

Number of pages: 33 Posted: 15 Mar 2011 Last Revised: 14 Nov 2013
Tarun Chordia, Amit Goyal and Qing Tong
Emory University - Department of Finance, University of Lausanne and Shanghai LiLi Technology Co.,Ltd.
Downloads 1,093 (24,354)
Citation 10

Abstract:

Loading...

Asymmetric Correlations, Downside correlations, Retail Investors

25.

Trading Volume and Cross-Autocorrelations in Stock Returns

Downloads 1,035 ( 26,313)

Trading Volume and Cross-Autocorrelations in Stock Returns

Number of pages: 32 Posted: 13 Apr 1999
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management
Downloads 1,035 (25,923)
Citation 19

Abstract:

Loading...

Trading Volume and Cross-Autocorrelations in Stock Returns

Posted: 14 Apr 1999
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management

Abstract:

Loading...

26.

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Management Science, Forthcoming
Number of pages: 69 Posted: 07 Nov 2013 Last Revised: 14 Oct 2019
Jeffrey A. Busse, Tarun Chordia, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 951 (29,726)
Citation 10

Abstract:

Loading...

Mutual funds, trading costs, fund size, portfolio characteristics, fund performance

27.

The Cross-Section of Daily Variation in Liquidity

Number of pages: 47 Posted: 12 Mar 2001
Tarun Chordia, Lakshmanan Shivakumar and Avanidhar Subrahmanyam
Emory University - Department of Finance, London Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 926 (30,889)
Citation 6

Abstract:

Loading...

28.

Index Option Trading Activity and Market Returns

Management Science, Forthcoming
Number of pages: 59 Posted: 22 Jun 2016 Last Revised: 20 Oct 2019
Tarun Chordia, Alexander Kurov, Dmitriy Muravyev and Avanidhar Subrahmanyam
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Michigan State University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 916 (31,398)
Citation 4

Abstract:

Loading...

index options, order flow, information, market efficiency

29.

The Impact of Trades on Daily Volatility

Downloads 894 ( 32,472)

The Impact of Trades on Daily Volatility

Number of pages: 46 Posted: 21 Mar 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 894 (31,997)
Citation 21

Abstract:

Loading...

asymmetric volatility, informed trades, liquidity based trades

The Impact of Trades on Daily Volatility

Review of Financial Studies, Forthcoming
Posted: 12 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

Abstract:

Loading...

The Impact of Trades on Daily Volatility

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1241-1277, 2006
Posted: 29 Feb 2008
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

Abstract:

Loading...

30.

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 09 Jun 2017
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, University of Lausanne, Hong Kong University of Science and Technology, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 875 (33,416)
Citation 34

Abstract:

Loading...

31.

Recent Trends in Trading Activity

AFA 2010 Atlanta Meetings Paper
Number of pages: 58 Posted: 19 Mar 2009 Last Revised: 19 Jan 2010
Richard Roll, Avanidhar Subrahmanyam and Tarun Chordia
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and Emory University - Department of Finance
Downloads 824 (36,293)

Abstract:

Loading...

Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

32.

Hedging Against Liquidity Risk and Short Sale Constraints

Number of pages: 34 Posted: 26 Feb 2002
Doron Avramov, John C. Chao and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah, University of Maryland and Emory University - Department of Finance
Downloads 788 (38,610)
Citation 7

Abstract:

Loading...

Liquidity, Short Selling, Multifactor Efficiency, Intertemporal Asset Pricing Model, hedging

33.

Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 05 May 2009 Last Revised: 14 Nov 2013
Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong
University of California, Los Angeles (UCLA) - Finance Area, Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 737 (42,303)
Citation 12

Abstract:

Loading...

Liquidity, Kyle Lambda, Trading costs, Asset pricing

34.

Liquidity Dynamics and Cross-Autocorrelations

FRB of New York Staff Report No. 303
Number of pages: 50 Posted: 24 Sep 2007 Last Revised: 18 Feb 2011
Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 717 (43,891)
Citation 6

Abstract:

Loading...

lead-lag, returns, small stocks, large stocks, microstructure, information

35.

Recent Trends in Trading Activity and Market Quality

UCLA Working Paper, Emory Law and Economics Research Paper No. 10-88
Number of pages: 57 Posted: 31 Oct 2010 Last Revised: 29 May 2012
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 716 (43,975)
Citation 40

Abstract:

Loading...

Trading Volume, Market Quality, Trading Costs, Efficiency

36.

Price Formation with Autocorrelated Order Flow: Theory and Evidence

Number of pages: 55 Posted: 25 Oct 2002
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 633 (51,764)

Abstract:

Loading...

Microstructure, Order Imbalance, Individual Stock Returns

37.

Buyers Versus Sellers: Who Initiates Trades and When?

Downloads 629 ( 52,205)
Citation 2

Buyers Versus Sellers: Who Initiates Trades and When?

Swiss Finance Institute Research Paper No. 11-43
Number of pages: 45 Posted: 23 Aug 2011 Last Revised: 10 Mar 2015
Tarun Chordia, Amit Goyal and Narasimhan Jegadeesh
Emory University - Department of Finance, University of Lausanne and Emory University - Department of Finance
Downloads 626 (51,876)
Citation 3

Abstract:

Loading...

Order imbalance, disposition effect, tax-loss selling

Buyers versus Sellers: Who Initiates Trades and When?

Number of pages: 37 Posted: 10 Mar 2011
Tarun Chordia, Amit Goyal and Narasimhan Jegadeesh
Emory University - Department of Finance, University of Lausanne and Emory University - Department of Finance
Downloads 3 (789,350)
Citation 3

Abstract:

Loading...

Order imbalance, turnover, disposition effect, momentum, tax-loss selling, flight-to-quality

38.

The Cross-Section of Expected Trading Activity

Number of pages: 47 Posted: 02 Jul 2004
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 626 (52,553)
Citation 30

Abstract:

Loading...

Volume, Market Efficiency, Liquidity

39.

Theory-Based Illiquidity and Asset Pricing

Downloads 565 ( 59,760)

Theory-Based Illiquidity and Asset Pricing

Number of pages: 59 Posted: 21 Nov 2008
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 565 (59,099)
Citation 24

Abstract:

Loading...

illiquidity, Kyle lambda, theory-based illiquidity, asset pricing

Theory-Based Illiquidity and Asset Pricing

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3629-3668, 2009
Posted: 08 Sep 2009
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

G12, G14

40.

Bonds, Stocks, and Sources of Mispricing

George Mason University School of Business Research Paper No. 18-5
Number of pages: 78 Posted: 02 Nov 2017 Last Revised: 29 Mar 2019
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 560 (60,460)
Citation 5

Abstract:

Loading...

sentiment, mispricing, anomalies, bonds, stocks, financial distress

41.

Inflation Illusion and Post-Earnings-Announcement Drift

Downloads 557 ( 60,904)
Citation 30

Inflation Illusion and Post-Earnings-Announcement Drift

Number of pages: 49 Posted: 07 Jan 2005
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 536 (63,109)

Abstract:

Loading...

inflation illusion, money illusion, post-earnings-announcement drift, earnings momentum, market efficiency

Inflation Illusion and Post-Earnings-Announcement Drift

Journal of Accounting Research, Vol. 43, pp. 521-556, September 2005
Number of pages: 36 Posted: 08 May 2006
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 21 (641,272)
Citation 2
  • Add to Cart

Abstract:

Loading...

Inflation Illusion and Post-Earnings-Announcement Drift

Journal of Accounting Research, Forthcoming
Posted: 15 Apr 2005
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School

Abstract:

Loading...

Inflation illusion, earnings momentum, post-earnings-announcement drift, market efficiency

42.

Order Flow Volatility and Equity Costs of Capital

Management Science, Forthcoming
Number of pages: 69 Posted: 23 Apr 2014 Last Revised: 13 May 2017
Tarun Chordia, Jianfeng Hu, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, Singapore Management University - Lee Kong Chian School of Business, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 529 (64,880)
Citation 4

Abstract:

Loading...

Order flow, required returns, expected returns

43.

Firm and Managerial Incentives to Manipulate the Timing of Project Resolution

Dice Center Working Paper No. 2001-4
Number of pages: 40 Posted: 25 Apr 2001
David A. Hirshleifer, Tarun Chordia and Sonya S. Lim
University of California, Irvine - Paul Merage School of Business, Emory University - Department of Finance and DePaul University - Department of Finance
Downloads 467 (75,781)
Citation 5

Abstract:

Loading...

44.

Risk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 87 Posted: 01 Oct 2018 Last Revised: 30 Mar 2020
Tarun Chordia, Tse-Chun Lin and Vincent Xiang
Emory University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and Deakin University-Department of Finance
Downloads 461 (76,951)
Citation 2

Abstract:

Loading...

Risk-Neutral Skewness, Options Markets, Informed Trading, Earnings Announcements, Non-scheduled News Release

45.

True Spreads and Equilibrium Prices

Downloads 411 ( 88,052)
Citation 1

True Spreads and Equilibrium Prices

Vanderbilt Working Paper No. 99-12
Number of pages: 49 Posted: 08 Aug 1999
Tarun Chordia and Clifford A. Ball
Emory University - Department of Finance and Vanderbilt University - Finance
Downloads 411 (87,287)
Citation 1

Abstract:

Loading...

True Spreads and Equilibrium Prices

Posted: 19 Jun 2001
Clifford A. Ball and Tarun Chordia
Vanderbilt University - Finance and Emory University - Department of Finance

Abstract:

Loading...

Tick size, Rounding, Discretization, Monte Carlo Markov Chain, Gibbs sampler, Market Microstructure

46.

Characteristic Scaled Betas

Number of pages: 29 Posted: 16 Jul 2001
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 408 (88,781)
Citation 8

Abstract:

Loading...

47.

The Calendar Effects of the Idiosyncratic-Volatility Puzzle: A Tale of Two Days?

Management Science forthcoming
Number of pages: 59 Posted: 14 Oct 2020 Last Revised: 12 Apr 2021
Jie Cao, Tarun Chordia and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 376 (97,536)

Abstract:

Loading...

Idiosyncratic volatility, calendar effects, option expiration

48.

The World Price of Credit Risk

Downloads 269 (140,167)
Citation 5

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 260 (144,537)
Citation 4

Abstract:

Loading...

sovereign credit risk, credit rating, emerging markets, international asset-pricing, market efficiency

The World Price of Credit Risk

Number of pages: 48 Posted: 17 Mar 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 9 (738,070)
Citation 1

Abstract:

Loading...

49.

The Efficiency of Marketing and Stock Returns

Number of pages: 91 Posted: 07 Aug 2018 Last Revised: 02 Aug 2019
Tze Chuan 'Chewie' Ang, Tarun Chordia, Van Anh (Vivian) Mai and Harminder Singh
Deakin University - Department of Finance, Emory University - Department of Finance, Deakin University - Faculty of Business and Law and Deakin University - School of Accounting, Economics and Finance
Downloads 224 (167,687)

Abstract:

Loading...

Marketing efficiency, underreaction, return predictability, limited attention, fluency

50.

Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements

The Review of Financial Studies, Volume 31, Issue 12, 2018, Pages 4650–4687
Number of pages: 64 Posted: 01 Nov 2017 Last Revised: 25 Nov 2018
Tarun Chordia, T. Clifton Green and Badrinath Kottimukkalur
Emory University - Department of Finance, Emory University - Department of Finance and George Washington University
Downloads 183 (201,956)
Citation 8

Abstract:

Loading...

HFT

51.

The Real Side of Financial Distress

George Mason University School of Business Research Paper Forthcoming
Number of pages: 64 Posted: 17 Nov 2020
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 147 (243,086)

Abstract:

Loading...

Financial distress, anomalies, credit risk, distress puzzle, stocks, bonds

52.

Volatility-of-Volatility Risk in Asset Pricing

Review of Asset Pricing Studies, Forthcoming
Number of pages: 74 Posted: 27 Feb 2021 Last Revised: 12 Jul 2021
Te-Feng Chen, Tarun Chordia, San-Lin Chung and Ji-Chai Lin
Hong Kong Polytechnic University, Emory University - Department of Finance, National Taiwan University - Department of Finance and Hong Kong PolyU
Downloads 118 (287,497)

Abstract:

Loading...

Volatility-of-Volatility, Volatility Risk, Conditional Asset Pricing Model, Market Crashes

53.

Market Efficiency in Real Time: Evidence from Low Latency Activity Around Earnings Announcements

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 80 Posted: 26 Oct 2020 Last Revised: 28 Dec 2020
Tarun Chordia and Bin Miao
Emory University - Department of Finance and The Chinese University of Hong Kong, Shenzhen
Downloads 101 (319,967)
Citation 4

Abstract:

Loading...

low-latency trading, market efficiency, earnings announcement, post-earnings announcement drift

54.

Sell-Side Liquidity and the Cross-Section of Expected Stock Returns

Number of pages: 40 Posted: 24 Jul 2009 Last Revised: 29 Dec 2020
Michael J. Brennan, Subrahmanyam Akella, Qing Tong and Tarun Chordia
University of California, Los Angeles (UCLA) - Finance Area, affiliation not provided to SSRN, Shanghai LiLi Technology Co.,Ltd. and Emory University - Department of Finance
Downloads 66 (411,212)
Citation 1

Abstract:

Loading...

liquidity, asset pricing, price impact

55.

Shocks to Order Flow Volatility and Stock Returns

Number of pages: 57 Posted: 01 Nov 2014
Tarun Chordia, Jianfeng Hu, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, Singapore Management University - Lee Kong Chian School of Business, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 61 (427,890)

Abstract:

Loading...

56.

True Liquidity and Fundamental Prices: US Tick Size Pilot

Number of pages: 50 Posted: 01 Apr 2021 Last Revised: 06 Apr 2021
Rohit Allena and Tarun Chordia
Emory University, Goizueta Business School, Students and Emory University - Department of Finance
Downloads 49 (472,778)

Abstract:

Loading...

True Liquidity, Fundamental Prices, True bid-ask spreads, US Tick Size Pilot, Machine Learning for Structural Estimation, Variational Inference, High-Frequency Data, Scalable Algorithms

57.

Incomplete Information, Trading Costs and Cross-Autocorrelations in Stock Returns

Number of pages: 38 Posted: 03 Jul 2004
Tarun Chordia and Bhaskaran Swaminathan
Emory University - Department of Finance and LSV Asset Management
Downloads 35 (536,595)
Citation 2
  • Add to Cart

Abstract:

Loading...

58.

Liquidity Dynamics Across Small and Large Firms

Number of pages: 34 Posted: 03 Jul 2004
Tarun Chordia, Lakshmanan Shivakumar and Avanidhar Subrahmanyam
Emory University - Department of Finance, London Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 26 (587,901)
Citation 1
  • Add to Cart

Abstract:

Loading...

59.

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets?

Number of pages: 52 Posted: 04 Aug 2015
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, University of Lausanne, Hong Kong University of Science and Technology, University of California, Los Angeles (UCLA) - Finance Area and Shanghai LiLi Technology Co.,Ltd.
Downloads 10 (701,748)
Citation 3

Abstract:

Loading...

60.

Order Imbalance and Individual Stock Returns

Posted: 01 Dec 2002
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

Order Imbalance, Inventory Models, Market Makers, Autocorrelation in Order Flow

61.

Order Imbalance, Liquidity, and Market Returns

Posted: 13 Nov 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

Loading...

Market Order Imbalance, Liquidity, Trading Volume, Contrarian

62.

Momentum, Business Cycle and Time-Varying Expected Returns

Posted: 20 Aug 2001
Lakshmanan Shivakumar and Tarun Chordia
London Business School and Emory University - Department of Finance

Abstract:

Loading...

Momentum, business cycle, time-varying expected returns

63.

Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence

Downloads 0 (794,597)

Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence

JOURNAL OF BUSINESS, Vol 68 No 4, October 1995
Posted: 25 Aug 1998
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

Market Making, the Tick Size and Payment-for-Order-Flow: Theory and Evidence

Posted: 06 Sep 1999
Tarun Chordia and Avanidhar Subrahmanyam
Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

64.

The Structure of Mutual Fund Charges

94-20
Posted: 13 Jul 1998
Tarun Chordia
Emory University - Department of Finance

Abstract:

Loading...

65.

Cross-Sectional Determinants of Expected Returns

Posted: 11 May 1998
Michael J. Brennan, Tarun Chordia and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...