id	sid	eid	entity	type
ajfa-8136	1	1	microsoft	ORG
ajfa-8136	1	2	8136-29379	DATE
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ajfa-8136	1	5	1946-052x 2015	MONEY
ajfa-8136	1	6	7	CARDINAL
ajfa-8136	1	7	2 35	CARDINAL
ajfa-8136	1	8	gaurav kumar1 phd	PERSON
ajfa-8136	1	9	indian institute of technology	ORG
ajfa-8136	1	10	iit	GPE
ajfa-8136	1	11	kharagpur	GPE
ajfa-8136	1	12	india e	GPE
ajfa-8136	1	13	arun kumar misra	PERSON
ajfa-8136	1	14	indian institute of technology	ORG
ajfa-8136	1	15	iit	GPE
ajfa-8136	1	16	kharagpur	GPE
ajfa-8136	1	17	india e	GPE
ajfa-8136	1	18	arunmisra@vgsom.iitkgp.ernet.in	PERSON
ajfa-8136	1	19	august 8, 2015	DATE
ajfa-8136	2	1	sep. 1	DATE
ajfa-8136	2	2	2015	DATE
ajfa-8136	2	3	december 1,	DATE
ajfa-8136	2	4	2015	DATE
ajfa-8136	4	1	recent years	DATE
ajfa-8136	9	1	1corresponding	ORG
ajfa-8136	9	2	asian	NORP
ajfa-8136	9	3	finance & accounting	ORG
ajfa-8136	9	4	1946-052x 2015	MONEY
ajfa-8136	9	5	7	CARDINAL
ajfa-8136	9	6	2	CARDINAL
ajfa-8136	10	1	2004	DATE
ajfa-8136	20	1	2003	DATE
ajfa-8136	21	1	fujimoto	NORP
ajfa-8136	21	2	2003	DATE
ajfa-8136	22	1	wang	ORG
ajfa-8136	22	2	2002	DATE
ajfa-8136	24	1	saad	PERSON
ajfa-8136	24	2	2004	DATE
ajfa-8136	26	1	2	CARDINAL
ajfa-8136	26	2	1930	DATE
ajfa-8136	30	1	baker	PERSON
ajfa-8136	30	2	1996	DATE
ajfa-8136	31	1	sarr	PERSON
ajfa-8136	31	2	2002	DATE
ajfa-8136	32	1	kyle,	ORG
ajfa-8136	32	2	1985	DATE
ajfa-8136	33	1	1971	DATE
ajfa-8136	33	2	1990	DATE
ajfa-8136	33	3	1995	DATE
ajfa-8136	37	1	asian	NORP
ajfa-8136	37	2	finance & accounting	ORG
ajfa-8136	37	3	1946-052x 2015	MONEY
ajfa-8136	38	1	7	CARDINAL
ajfa-8136	38	2	2 37	CARDINAL
ajfa-8136	38	3	benic	ORG
ajfa-8136	38	4	franic	ORG
ajfa-8136	38	5	2008	DATE
ajfa-8136	40	1	minutes or seconds	TIME
ajfa-8136	40	2	daily	DATE
ajfa-8136	41	1	a day	DATE
ajfa-8136	42	1	bernstein	PERSON
ajfa-8136	42	2	1987	DATE
ajfa-8136	46	1	amihud	PERSON
ajfa-8136	46	2	mendelson	ORG
ajfa-8136	46	3	1986	DATE
ajfa-8136	49	1	hui	PERSON
ajfa-8136	49	2	1984	DATE
ajfa-8136	51	1	saar	PERSON
ajfa-8136	51	2	2002	DATE
ajfa-8136	51	3	four	CARDINAL
ajfa-8136	53	1	1984	DATE
ajfa-8136	54	1	mec	ORG
ajfa-8136	55	1	2002	DATE
ajfa-8136	55	2	daily	DATE
ajfa-8136	55	3	daily	DATE
ajfa-8136	57	1	trizinkaet al	PERSON
ajfa-8136	58	1	2009	DATE
ajfa-8136	59	1	daily	DATE
ajfa-8136	60	1	cooper et al	PERSON
ajfa-8136	60	2	1985	DATE
ajfa-8136	60	3	daily	DATE
ajfa-8136	60	4	daily	DATE
ajfa-8136	61	1	two	CARDINAL
ajfa-8136	61	2	amihud	PERSON
ajfa-8136	62	1	one	CARDINAL
ajfa-8136	63	1	amihud	PERSON
ajfa-8136	64	1	amihud	PERSON
ajfa-8136	64	2	days	DATE
ajfa-8136	65	1	days	DATE
ajfa-8136	65	2	zero	CARDINAL
ajfa-8136	66	1	2003	DATE
ajfa-8136	66	2	daily	DATE
ajfa-8136	66	3	daily	DATE
ajfa-8136	66	4	daily	DATE
ajfa-8136	67	1	1	CARDINAL
ajfa-8136	67	2	2	CARDINAL
ajfa-8136	68	1	two	CARDINAL
ajfa-8136	71	1	asian journal of finance & accounting	ORG
ajfa-8136	71	2	1946-052x 2015	MONEY
ajfa-8136	71	3	7	CARDINAL
ajfa-8136	71	4	2 38	CARDINAL
ajfa-8136	74	1	hasbrouck	PERSON
ajfa-8136	74	2	2009	DATE
ajfa-8136	75	1	five minute	TIME
ajfa-8136	75	2	5-minute	TIME
ajfa-8136	76	1	5 minutes	TIME
ajfa-8136	77	1	huang	PERSON
ajfa-8136	77	2	stoll	PERSON
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ajfa-8136	78	1	al	PERSON
ajfa-8136	79	1	2011	DATE
ajfa-8136	79	2	daily	DATE
ajfa-8136	80	1	al	PERSON
ajfa-8136	81	1	2011)find	CARDINAL
ajfa-8136	81	2	fht	PRODUCT
ajfa-8136	86	1	mianbi	GPE
ajfa-8136	86	2	langnan	GPE
ajfa-8136	86	3	2007	DATE
ajfa-8136	86	4	pearson	PRODUCT
ajfa-8136	86	5	pearson	PERSON
ajfa-8136	88	1	asian journal of finance & accounting	ORG
ajfa-8136	88	2	1946-052x 2015	MONEY
ajfa-8136	88	3	7	CARDINAL
ajfa-8136	88	4	2 39	CARDINAL
ajfa-8136	88	5	1.summary	CARDINAL
ajfa-8136	88	6	(year	DATE
ajfa-8136	88	7	cooper et al	PERSON
ajfa-8136	89	1	1985	DATE
ajfa-8136	90	1	2000	DATE
ajfa-8136	90	2	2000	DATE
ajfa-8136	90	3	2002	DATE
ajfa-8136	90	4	one rupee	MONEY
ajfa-8136	90	5	2003	DATE
ajfa-8136	90	6	uddin	GPE
ajfa-8136	90	7	2009	DATE
ajfa-8136	91	1	2009	DATE
ajfa-8136	91	2	amihud	PERSON
ajfa-8136	91	3	2002)well	CARDINAL
ajfa-8136	92	1	daily	DATE
ajfa-8136	92	2	monthly	DATE
ajfa-8136	92	3	minute	TIME
ajfa-8136	94	1	3	CARDINAL
ajfa-8136	95	1	two	CARDINAL
ajfa-8136	97	1	jacoby	PERSON
ajfa-8136	97	2	zheng	PERSON
ajfa-8136	97	3	2010	DATE
ajfa-8136	100	1	nyse	ORG
ajfa-8136	101	1	baber et al	PERSON
ajfa-8136	102	1	2012	DATE
ajfa-8136	104	1	asian journal of finance & accounting	ORG
ajfa-8136	104	2	1946-052x 2015	MONEY
ajfa-8136	104	3	7	CARDINAL
ajfa-8136	104	4	2 40	CARDINAL
ajfa-8136	105	1	yaghoobnezhadet al.	PERSON
ajfa-8136	106	1	2011	DATE
ajfa-8136	106	2	tehran stock exchange	ORG
ajfa-8136	107	1	two	CARDINAL
ajfa-8136	108	1	discovery	PRODUCT
ajfa-8136	109	1	næs	ORG
ajfa-8136	109	2	2004	DATE
ajfa-8136	109	3	norway stock exchange	ORG
ajfa-8136	112	1	2005	DATE
ajfa-8136	112	2	indian	NORP
ajfa-8136	113	1	keim	PERSON
ajfa-8136	113	2	blume	PERSON
ajfa-8136	113	3	2012	DATE
ajfa-8136	113	4	u.s.	GPE
ajfa-8136	114	1	kim	PERSON
ajfa-8136	114	2	verrecchia	ORG
ajfa-8136	114	3	1994	DATE
ajfa-8136	115	1	hendershott	ORG
ajfa-8136	115	2	jones	PERSON
ajfa-8136	115	3	menkveld (	ORG
ajfa-8136	115	4	2011	DATE
ajfa-8136	116	1	nyse	ORG
ajfa-8136	118	1	kumar et al	PERSON
ajfa-8136	119	1	2001	DATE
ajfa-8136	119	2	adr	ORG
ajfa-8136	119	3	gdr	GPE
ajfa-8136	119	4	indian	NORP
ajfa-8136	120	1	gdr	GPE
ajfa-8136	120	2	adr	ORG
ajfa-8136	121	1	chordiaet al.	PERSON
ajfa-8136	122	1	2001	DATE
ajfa-8136	122	2	nyse	ORG
ajfa-8136	125	1	ding et al	PERSON
ajfa-8136	126	1	2013	DATE
ajfa-8136	126	2	shanghai	GPE
ajfa-8136	126	3	shenzhen	GPE
ajfa-8136	128	1	chordia et al	PERSON
ajfa-8136	129	1	2005	DATE
ajfa-8136	130	1	goyenko	PERSON
ajfa-8136	130	2	ukhov	PERSON
ajfa-8136	130	3	2009	DATE
ajfa-8136	130	4	asian journal of finance & accounting	ORG
ajfa-8136	130	5	1946-052x 2015	MONEY
ajfa-8136	130	6	7	CARDINAL
ajfa-8136	130	7	2 41	CARDINAL
ajfa-8136	130	8	u.s.	GPE
ajfa-8136	130	9	the period 1962 to 2003	DATE
ajfa-8136	131	1	söderberg	PERSON
ajfa-8136	131	2	2008	DATE
ajfa-8136	131	3	14	CARDINAL
ajfa-8136	131	4	three	CARDINAL
ajfa-8136	131	5	scandinavian	NORP
ajfa-8136	132	1	2	CARDINAL
ajfa-8136	133	1	(year	DATE
ajfa-8136	133	2	naes	PRODUCT
ajfa-8136	133	3	2004	DATE
ajfa-8136	133	4	norway stock exchange	ORG
ajfa-8136	133	5	soderberg	ORG
ajfa-8136	133	6	2008	DATE
ajfa-8136	133	7	scandinavian	NORP
ajfa-8136	133	8	fourteen	CARDINAL
ajfa-8136	133	9	2009	DATE
ajfa-8136	133	10	granger	PERSON
ajfa-8136	133	11	peter et al	PERSON
ajfa-8136	134	1	2011	DATE
ajfa-8136	135	1	2013	DATE
ajfa-8136	135	2	chinashe	PERSON
ajfa-8136	135	3	sze	PERSON
ajfa-8136	135	4	4	CARDINAL
ajfa-8136	135	5	recent years	DATE
ajfa-8136	138	1	amihud	PERSON
ajfa-8136	138	2	mendelson	ORG
ajfa-8136	138	3	1980	DATE
ajfa-8136	138	4	acharya	PERSON
ajfa-8136	138	5	pedersen	PERSON
ajfa-8136	138	6	2005	DATE
ajfa-8136	141	1	bekaert	PERSON
ajfa-8136	141	2	campbell	ORG
ajfa-8136	141	3	2007	DATE
ajfa-8136	142	1	2012	DATE
ajfa-8136	142	2	istanbul stock exchange	ORG
ajfa-8136	145	1	asian journal of finance & accounting	ORG
ajfa-8136	145	2	1946-052x 2015	MONEY
ajfa-8136	145	3	7	CARDINAL
ajfa-8136	145	4	2 42	QUANTITY
ajfa-8136	145	5	2012	DATE
ajfa-8136	145	6	tunisian stock exchange	ORG
ajfa-8136	147	1	krishnan	PERSON
ajfa-8136	147	2	mishra	PERSON
ajfa-8136	147	3	2013	DATE
ajfa-8136	147	4	intraday	ORDINAL
ajfa-8136	147	5	twenty	CARDINAL
ajfa-8136	150	1	3.summary	CARDINAL
ajfa-8136	150	2	(year	DATE
ajfa-8136	150	3	tian	PERSON
ajfa-8136	150	4	2005	DATE
ajfa-8136	150	5	shanghai stock exchange	ORG
ajfa-8136	150	6	2012	DATE
ajfa-8136	150	7	istanbul stock exchange	ORG
ajfa-8136	150	8	2012	DATE
ajfa-8136	150	9	tunisian stock exchange	ORG
ajfa-8136	150	10	krishnan	PERSON
ajfa-8136	150	11	mishra	PERSON
ajfa-8136	150	12	2013	DATE
ajfa-8136	153	1	chordia et al	PERSON
ajfa-8136	154	1	2000	DATE
ajfa-8136	160	1	frino	PERSON
ajfa-8136	160	2	2004	DATE
ajfa-8136	162	1	2011	DATE
ajfa-8136	162	2	two	CARDINAL
ajfa-8136	162	3	china	GPE
ajfa-8136	162	4	82 million	CARDINAL
ajfa-8136	163	1	four	CARDINAL
ajfa-8136	164	1	first	ORDINAL
ajfa-8136	166	1	second	ORDINAL
ajfa-8136	166	2	asian	NORP
ajfa-8136	166	3	finance & accounting	ORG
ajfa-8136	166	4	1946-052x 2015	MONEY
ajfa-8136	167	1	7	CARDINAL
ajfa-8136	167	2	2 43	CARDINAL
ajfa-8136	167	3	chinese	NORP
ajfa-8136	169	1	third	ORDINAL
ajfa-8136	172	1	pukthuanthong-le	ORG
ajfa-8136	172	2	visaltanachoti	ORG
ajfa-8136	172	3	2009	DATE
ajfa-8136	172	4	thailand	GPE
ajfa-8136	172	5	eight years	DATE
ajfa-8136	176	1	anderson et al	PERSON
ajfa-8136	177	1	2013	DATE
ajfa-8136	178	1	nyse	ORG
ajfa-8136	180	1	zheng	PERSON
ajfa-8136	180	2	zhang	PERSON
ajfa-8136	180	3	2006	DATE
ajfa-8136	180	4	china	GPE
ajfa-8136	182	1	al	PERSON
ajfa-8136	183	1	2015	CARDINAL
ajfa-8136	184	1	amman stock exchange	ORG
ajfa-8136	184	2	daily	DATE
ajfa-8136	187	1	5	CARDINAL
ajfa-8136	188	1	amihud	PERSON
ajfa-8136	188	2	mendelson	ORG
ajfa-8136	188	3	1986	DATE
ajfa-8136	192	1	bali	GPE
ajfa-8136	193	1	nyse	ORG
ajfa-8136	193	2	amex	ORG
ajfa-8136	197	1	bali	GPE
ajfa-8136	198	1	2013	DATE
ajfa-8136	199	1	control asian journal of finance & accounting	ORG
ajfa-8136	199	2	1946-052x 2015	MONEY
ajfa-8136	200	1	7	CARDINAL
ajfa-8136	200	2	2 44	DATE
ajfa-8136	200	3	2001	DATE
ajfa-8136	200	4	nyse	ORG
ajfa-8136	200	5	amex	ORG
ajfa-8136	203	1	2010	DATE
ajfa-8136	203	2	tokyo	GPE
ajfa-8136	207	1	zheng	PERSON
ajfa-8136	207	2	2011	DATE
ajfa-8136	207	3	shanghai stock exchange	ORG
ajfa-8136	207	4	the shenzhen stock exchange	ORG
ajfa-8136	209	1	uddin	PERSON
ajfa-8136	209	2	2009	DATE
ajfa-8136	209	3	nyse	ORG
ajfa-8136	209	4	amex	ORG
ajfa-8136	212	1	rml	ORG
ajfa-8136	213	1	rubio et al	PERSON
ajfa-8136	214	1	2005	DATE
ajfa-8136	214	2	spanish	NORP
ajfa-8136	215	1	10 years	DATE
ajfa-8136	216	1	spanish	NORP
ajfa-8136	217	1	chordia et al	PERSON
ajfa-8136	218	1	2001	DATE
ajfa-8136	219	1	monthly	DATE
ajfa-8136	219	2	nyse	ORG
ajfa-8136	219	3	amex	ORG
ajfa-8136	221	1	2011	DATE
ajfa-8136	221	2	2002	DATE
ajfa-8136	221	3	daily	DATE
ajfa-8136	221	4	nyse	ORG
ajfa-8136	221	5	amex	ORG
ajfa-8136	223	1	asian journal of finance & accounting	ORG
ajfa-8136	223	2	1946-052x 2015	MONEY
ajfa-8136	223	3	7	CARDINAL
ajfa-8136	223	4	2 45	CARDINAL
ajfa-8136	223	5	4	CARDINAL
ajfa-8136	224	1	(year	DATE
ajfa-8136	224	2	watanabe	ORG
ajfa-8136	224	3	watanabe (	ORG
ajfa-8136	224	4	2008	DATE
ajfa-8136	225	1	2010	DATE
ajfa-8136	225	2	zheng	PERSON
ajfa-8136	225	3	2011	DATE
ajfa-8136	225	4	chinashse	ORG
ajfa-8136	225	5	three	CARDINAL
ajfa-8136	226	1	2011	DATE
ajfa-8136	226	2	fu et al	PERSON
ajfa-8136	227	1	2012	DATE
ajfa-8136	227	2	amex	ORG
ajfa-8136	227	3	6	CARDINAL
ajfa-8136	227	4	medelson, 1991	DATE
ajfa-8136	229	1	acharya	PERSON
ajfa-8136	229	2	pedersen	PERSON
ajfa-8136	229	3	2005	DATE
ajfa-8136	234	1	al	PERSON
ajfa-8136	234	2	2014	DATE
ajfa-8136	234	3	australian	NORP
ajfa-8136	234	4	1991-2010	DATE
ajfa-8136	235	1	acharya	PERSON
ajfa-8136	235	2	pedersen	PERSON
ajfa-8136	235	3	2005	DATE
ajfa-8136	237	1	australia	GPE
ajfa-8136	238	1	hagstr mer et al.(2013	ORG
ajfa-8136	241	1	asian	NORP
ajfa-8136	241	2	finance & accounting	ORG
ajfa-8136	241	3	1946-052x 2015	MONEY
ajfa-8136	241	4	7	CARDINAL
ajfa-8136	241	5	2 46	CARDINAL
ajfa-8136	241	6	about 0.96	CARDINAL
ajfa-8136	241	7	french	NORP
ajfa-8136	241	8	about 0.56	CARDINAL
ajfa-8136	241	9	-0.76	ORG
ajfa-8136	243	1	eleswarapu	PERSON
ajfa-8136	243	2	1993	DATE
ajfa-8136	244	1	the month of january	DATE
ajfa-8136	246	1	mendelson	ORG
ajfa-8136	246	2	1986	DATE
ajfa-8136	247	1	2012	DATE
ajfa-8136	247	2	london stock exchange	ORG
ajfa-8136	247	3	three	CARDINAL
ajfa-8136	248	1	capm	PERSON
ajfa-8136	251	1	5.summary	CARDINAL
ajfa-8136	251	2	(year	DATE
ajfa-8136	251	3	acharya	PERSON
ajfa-8136	251	4	pederson	PERSON
ajfa-8136	251	5	2005	DATE
ajfa-8136	251	6	usa nyse	GPE
ajfa-8136	251	7	amex	ORG
ajfa-8136	251	8	2009	DATE
ajfa-8136	251	9	african	NORP
ajfa-8136	251	10	sharpe (1964	EVENT
ajfa-8136	251	11	hong kong	GPE
ajfa-8136	251	12	french	NORP
ajfa-8136	251	13	1993	DATE
ajfa-8136	251	14	three	CARDINAL
ajfa-8136	252	1	2013	DATE
ajfa-8136	252	2	australia asx	ORG
ajfa-8136	252	3	four	CARDINAL
ajfa-8136	253	1	2014	DATE
ajfa-8136	253	2	australia asx lcapm	ORG
ajfa-8136	253	3	asian journal of finance & accounting	ORG
ajfa-8136	253	4	1946-052x 2015	MONEY
ajfa-8136	254	1	7	CARDINAL
ajfa-8136	254	2	2	CARDINAL
ajfa-8136	255	1	one	CARDINAL
ajfa-8136	255	2	2013	DATE
ajfa-8136	255	3	indonesian	NORP
ajfa-8136	256	1	tobin	ORG
ajfa-8136	257	1	huang et al	PERSON
ajfa-8136	258	1	2013	DATE
ajfa-8136	258	2	53	CARDINAL
ajfa-8136	261	1	skjeltorp	ORG
ajfa-8136	264	1	huyghebaert	PERSON
ajfa-8136	264	2	hulle	PERSON
ajfa-8136	264	3	2004	DATE
ajfa-8136	265	1	zhou	PERSON
ajfa-8136	265	2	2006	DATE
ajfa-8136	266	1	weston	GPE
ajfa-8136	267	1	2005	DATE
ajfa-8136	268	1	fpo	ORG
ajfa-8136	268	2	ahm	ORG
ajfa-8136	268	3	2012	DATE
ajfa-8136	268	4	fpo	ORG
ajfa-8136	270	1	mendelson	ORG
ajfa-8136	270	2	1986	DATE
ajfa-8136	273	1	al	PERSON
ajfa-8136	273	2	2007	DATE
ajfa-8136	275	1	brockman et al	PERSON
ajfa-8136	276	1	2008	DATE
ajfa-8136	276	2	nyse	ORG
ajfa-8136	278	1	lipsona	PERSON
ajfa-8136	278	2	2009	DATE
ajfa-8136	281	1	jayaraman	PERSON
ajfa-8136	281	2	2011	DATE
ajfa-8136	281	3	asian	NORP
ajfa-8136	281	4	finance & accounting	ORG
ajfa-8136	281	5	1946-052x 2015	MONEY
ajfa-8136	281	6	7	CARDINAL
ajfa-8136	281	7	2 48	CARDINAL
ajfa-8136	281	8	annual	DATE
ajfa-8136	283	1	hillert	PERSON
ajfa-8136	283	2	2015	CARDINAL
ajfa-8136	287	1	8	CARDINAL
ajfa-8136	287	2	first	ORDINAL
ajfa-8136	287	3	1986	DATE
ajfa-8136	292	1	intraday	TIME
ajfa-8136	306	1	asian journal of finance & accounting	ORG
ajfa-8136	306	2	1946-052x 2015	MONEY
ajfa-8136	306	3	7	CARDINAL
ajfa-8136	306	4	2 49	CARDINAL
ajfa-8136	306	5	ugc	ORG
ajfa-8136	306	6	india	GPE
ajfa-8136	307	1	ugc	ORG
ajfa-8136	308	1	acharya	PERSON
ajfa-8136	308	2	v.v.	PERSON
ajfa-8136	308	3	pederson, l.h.	ORG
ajfa-8136	309	1	77	DATE
ajfa-8136	309	2	375–410	CARDINAL
ajfa-8136	310	1	2009	DATE
ajfa-8136	313	1	amihud	PERSON
ajfa-8136	313	2	mendelson, h. (1986	ORG
ajfa-8136	315	1	journal of financial economics	ORG
ajfa-8136	315	2	17	CARDINAL
ajfa-8136	315	3	223–249	CARDINAL
ajfa-8136	316	1	mendelson, h. (1980	ORG
ajfa-8136	318	1	journal of financial economics	ORG
ajfa-8136	318	2	8	CARDINAL
ajfa-8136	318	3	31	CARDINAL
ajfa-8136	319	1	http://dx.doi.org/10.1016/0304-405x(80)90020-3 amihud	GPE
ajfa-8136	319	2	mendelson, h. (1991).liquidity,	ORG
ajfa-8136	320	1	47(6	DATE
ajfa-8136	320	2	55	CARDINAL
ajfa-8136	320	3	http://www.jstor.org/stable/4479488	CARDINAL
ajfa-8136	320	4	2002	DATE
ajfa-8136	322	1	5(1	CARDINAL
ajfa-8136	322	2	31	CARDINAL
ajfa-8136	323	1	http://dx.doi.org/doi:10.1016/s1386-4181(01)00024-6 anderson	PERSON
ajfa-8136	323	2	r.g.	GPE
ajfa-8136	323	3	binner	GPE
ajfa-8136	323	4	j.m.	GPE
ajfa-8136	323	5	hagstr mer	ORG
ajfa-8136	323	6	nilsson	ORG
ajfa-8136	323	7	2013	DATE
ajfa-8136	324	1	federal reserve bank	ORG
ajfa-8136	324	2	st.	GPE
ajfa-8136	324	3	2013	DATE
ajfa-8136	325	1	baber, a.	PERSON
ajfa-8136	325	2	brandt	GPE
ajfa-8136	325	3	m.w.	GPE
ajfa-8136	325	4	cosemans	NORP
ajfa-8136	325	5	m. and verardo	PERSON
ajfa-8136	325	6	m.	PERSON
ajfa-8136	325	7	2012	DATE
ajfa-8136	328	1	baker	PERSON
ajfa-8136	328	2	k. (	PERSON
ajfa-8136	328	3	1996	DATE
ajfa-8136	330	1	5(4	CARDINAL
ajfa-8136	331	1	bekaert	PERSON
ajfa-8136	331	2	harvey	GPE
ajfa-8136	331	3	c. r.	PERSON
ajfa-8136	331	4	c. t.	PERSON
ajfa-8136	331	5	2007	DATE
ajfa-8136	333	1	20(6	CARDINAL
ajfa-8136	333	2	1783-1831	DATE
ajfa-8136	334	1	bali	GPE
ajfa-8136	334	2	t. g.	GPE
ajfa-8136	334	3	peng	PERSON
ajfa-8136	334	4	l.	GPE
ajfa-8136	334	5	2013	DATE
ajfa-8136	335	1	1434-1485	CARDINAL
ajfa-8136	336	1	http://dx.doi.org/10.1093/rfs/hht074	ORG
ajfa-8136	336	2	i.	PERSON
ajfa-8136	336	3	2008	DATE
ajfa-8136	337	1	croatian	NORP
ajfa-8136	338	1	477	CARDINAL
ajfa-8136	339	1	bernstein	ORG
ajfa-8136	339	2	p.l.	ORG
ajfa-8136	339	3	1987	DATE
ajfa-8136	341	1	16(2	CARDINAL
ajfa-8136	341	2	54-62	DATE
ajfa-8136	343	1	1971).towards	CARDINAL
ajfa-8136	344	1	financial analysts journal	ORG
ajfa-8136	344	2	27	CARDINAL
ajfa-8136	344	3	28	CARDINAL
ajfa-8136	345	1	asian journal of finance & accounting	ORG
ajfa-8136	345	2	1946-052x 2015	MONEY
ajfa-8136	345	3	7	CARDINAL
ajfa-8136	345	4	2 50	CARDINAL
ajfa-8136	345	5	brockman	ORG
ajfa-8136	345	6	j.s.	GPE
ajfa-8136	345	7	2008	DATE
ajfa-8136	347	1	14	CARDINAL
ajfa-8136	347	2	446–459	CARDINAL
ajfa-8136	348	1	http://dx.doi.org/10.1016/j.jcorpfin.2008.06.001 bundgaard	ORG
ajfa-8136	348	2	k.d.	GPE
ajfa-8136	348	3	ahm	ORG
ajfa-8136	348	4	j.	PERSON
ajfa-8136	348	5	2012	DATE
ajfa-8136	349	1	european	NORP
ajfa-8136	349	2	handelshøjskolenkøbenhavn copenhagen business school	ORG
ajfa-8136	350	1	1997	DATE
ajfa-8136	351	1	52	CARDINAL
ajfa-8136	351	2	57–82	CARDINAL
ajfa-8136	351	3	http://dx.doi.org/10.1111/j.1540-6261.1997.tb03808.x chang	PERSON
ajfa-8136	351	4	y.y.	GPE
ajfa-8136	351	5	r.	NORP
ajfa-8136	351	6	hawang c.y.	PERSON
ajfa-8136	351	7	2009	DATE
ajfa-8136	352	1	japan	GPE
ajfa-8136	353	1	pacific basin finance journal	ORG
ajfa-8136	353	2	18	CARDINAL
ajfa-8136	353	3	90	CARDINAL
ajfa-8136	354	1	m.	PERSON
ajfa-8136	354	2	gazdar	PERSON
ajfa-8136	354	3	k.	PERSON
ajfa-8136	354	4	2010	DATE
ajfa-8136	355	1	mena region	LOC
ajfa-8136	356	1	7(1	DATE
ajfa-8136	356	2	139–159	CARDINAL
ajfa-8136	356	3	r.	NORP
ajfa-8136	356	4	nkomo	PERSON
ajfa-8136	356	5	d.	NORP
ajfa-8136	356	6	gachira	PERSON
ajfa-8136	356	7	w.	PERSON
ajfa-8136	356	8	w.	PERSON
ajfa-8136	356	9	2014	DATE
ajfa-8136	357	1	zimbabwe stock exchange	ORG
ajfa-8136	358	1	6(3	CARDINAL
ajfa-8136	359	1	r.	NORP
ajfa-8136	359	2	a.	PERSON
ajfa-8136	360	1	journal of financial economics	ORG
ajfa-8136	360	2	56	DATE
ajfa-8136	360	3	3–28	CARDINAL
ajfa-8136	361	1	r.	NORP
ajfa-8136	361	2	a.	PERSON
ajfa-8136	362	1	2001).market	CARDINAL
ajfa-8136	363	1	501–530	CARDINAL
ajfa-8136	364	1	r.	NORP
ajfa-8136	364	2	a.	PERSON
ajfa-8136	365	1	2001).common	CARDINAL
ajfa-8136	366	1	cfa institute	ORG
ajfa-8136	367	1	chordia	ORG
ajfa-8136	367	2	r.	NORP
ajfa-8136	367	3	a.	PERSON
ajfa-8136	367	4	daily	DATE
ajfa-8136	368	1	de economía	ORG
ajfa-8136	368	2	728	CARDINAL
ajfa-8136	369	1	t.	GPE
ajfa-8136	369	2	sarkar, a.	ORG
ajfa-8136	369	3	subrahmanyam	ORG
ajfa-8136	369	4	a.	PERSON
ajfa-8136	369	5	2005).the	CARDINAL
ajfa-8136	369	6	firms.federal reserve bank	ORG
ajfa-8136	369	7	new york	GPE
ajfa-8136	369	8	207	CARDINAL
ajfa-8136	369	9	s.k.	GPE
ajfa-8136	369	10	groth	GPE
ajfa-8136	369	11	j.c.	PERSON
ajfa-8136	369	12	avera	GPE
ajfa-8136	369	13	w.e.	GPE
ajfa-8136	370	1	journal of economics	ORG
ajfa-8136	370	2	february	DATE
ajfa-8136	370	3	21	CARDINAL
ajfa-8136	370	4	coughenour	GPE
ajfa-8136	370	5	j.f.	GPE
ajfa-8136	370	6	saad	PERSON
ajfa-8136	370	7	m.m.	PERSON
ajfa-8136	370	8	2004	DATE
ajfa-8136	372	1	journal of financial economics	ORG
ajfa-8136	372	2	73	DATE
ajfa-8136	372	3	37–69.http://dx.doi.org/10.1016	CARDINAL
ajfa-8136	372	4	m.k.	GPE
ajfa-8136	372	5	2000	DATE
ajfa-8136	374	1	fourth	ORDINAL
ajfa-8136	374	2	december 2000	DATE
ajfa-8136	374	3	asian journal of finance & accounting	ORG
ajfa-8136	374	4	1946-052x 2015	MONEY
ajfa-8136	374	5	7	CARDINAL
ajfa-8136	374	6	2 51	CARDINAL
ajfa-8136	374	7	nilsson	ORG
ajfa-8136	374	8	b.	PERSON
ajfa-8136	374	9	s.	PERSON
ajfa-8136	374	10	2013	DATE
ajfa-8136	375	1	china	GPE
ajfa-8136	376	1	knut wicksell	PERSON
ajfa-8136	376	2	2013:14	CARDINAL
ajfa-8136	377	1	domowitz	PERSON
ajfa-8136	377	2	i. h.	PERSON
ajfa-8136	377	3	x. wang	PERSON
ajfa-8136	377	4	2002	DATE
ajfa-8136	378	1	eleswarapu	GPE
ajfa-8136	378	2	v.r.	GPE
ajfa-8136	378	3	m.r.	GPE
ajfa-8136	379	1	journal of financial economics	ORG
ajfa-8136	379	2	34	CARDINAL
ajfa-8136	379	3	373	CARDINAL
ajfa-8136	380	1	http://dx.doi.org/10.1016/0304-405x(93)90032-7 fabre	PERSON
ajfa-8136	380	2	j.	PERSON
ajfa-8136	380	3	frino	PERSON
ajfa-8136	380	4	2004	DATE
ajfa-8136	381	1	the australian stock exchange	ORG
ajfa-8136	382	1	44	DATE
ajfa-8136	382	2	357	CARDINAL
ajfa-8136	383	1	r.	NORP
ajfa-8136	383	2	d.	NORP
ajfa-8136	383	3	gharghori	ORG
ajfa-8136	383	4	2013	DATE
ajfa-8136	384	1	australian	NORP
ajfa-8136	385	1	australian journal of management	ORG
ajfa-8136	385	2	375	CARDINAL
ajfa-8136	386	1	r.	NORP
ajfa-8136	386	2	chang	PERSON
ajfa-8136	386	3	y.y.	GPE
ajfa-8136	386	4	hwang	PERSON
ajfa-8136	386	5	c.y.	GPE
ajfa-8136	386	6	2010	DATE
ajfa-8136	387	1	japan	GPE
ajfa-8136	387	2	pacific-basin	LOC
ajfa-8136	387	3	18	CARDINAL
ajfa-8136	387	4	90–115	DATE
ajfa-8136	388	1	v.w.	GPE
ajfa-8136	388	2	noe	ORG
ajfa-8136	388	3	t.h.	PERSON
ajfa-8136	388	4	s.	PERSON
ajfa-8136	388	5	2009	DATE
ajfa-8136	390	1	journal of financial economics	ORG
ajfa-8136	390	2	94	CARDINAL
ajfa-8136	390	3	150–169	CARDINAL
ajfa-8136	391	1	http://dx.doi/10.1016/j.jfineco.2008.08.007 fu	PERSON
ajfa-8136	391	2	lee kong school of business	ORG
ajfa-8136	391	3	http://ink.library.smu.edu.sg/lkcsb_research/3267 fujimoto	PERSON
ajfa-8136	391	4	a.	PERSON
ajfa-8136	391	5	2004	DATE
ajfa-8136	392	1	yale university	ORG
ajfa-8136	393	1	guo	PERSON
ajfa-8136	393	2	m.	PERSON
ajfa-8136	393	3	2005	DATE
ajfa-8136	393	4	chinese	NORP
ajfa-8136	393	5	university western sydney	ORG
ajfa-8136	394	1	harris	PERSON
ajfa-8136	394	2	l.	PERSON
ajfa-8136	394	3	1990	DATE
ajfa-8136	396	1	new york university	ORG
ajfa-8136	396	2	salomon center monograph series	ORG
ajfa-8136	396	3	1990	DATE
ajfa-8136	396	4	4	CARDINAL
ajfa-8136	396	5	s.	PERSON
ajfa-8136	396	6	t. t.	PERSON
ajfa-8136	396	7	2011).the	CARDINAL
ajfa-8136	396	8	ssrn	PERSON
ajfa-8136	396	9	v.a.	GPE
ajfa-8136	396	10	spindt	PERSON
ajfa-8136	396	11	p.a.	GPE
ajfa-8136	396	12	banerjee	GPE
ajfa-8136	396	13	s. (2005	ORG
ajfa-8136	397	1	r.y.	GPE
ajfa-8136	397	2	ukhov	PERSON
ajfa-8136	397	3	a.d.	PERSON
ajfa-8136	397	4	2009	DATE
ajfa-8136	399	1	44(1	CARDINAL
ajfa-8136	399	2	189–212	CARDINAL
ajfa-8136	400	1	hagstromer	GPE
ajfa-8136	400	2	b.	PERSON
ajfa-8136	400	3	b.	PERSON
ajfa-8136	400	4	nilsson	ORG
ajfa-8136	401	1	asian	NORP
ajfa-8136	401	2	finance & accounting	ORG
ajfa-8136	401	3	1946-052x 2015	MONEY
ajfa-8136	402	1	7	CARDINAL
ajfa-8136	402	2	2 52	CARDINAL
ajfa-8136	403	1	hansen	PERSON
ajfa-8136	403	2	s.	PERSON
ajfa-8136	403	3	k.	PERSON
ajfa-8136	403	4	indonesian	NORP
ajfa-8136	403	5	2013	DATE
ajfa-8136	403	6	20	CARDINAL
ajfa-8136	403	7	23	CARDINAL
ajfa-8136	403	8	bangkok	GPE
ajfa-8136	403	9	thailand hasbrouck	FAC
ajfa-8136	403	10	j. and r. a. schwartz	ORG
ajfa-8136	403	11	1988	DATE
ajfa-8136	403	12	10	CARDINAL
ajfa-8136	404	1	hasbrouck	PERSON
ajfa-8136	404	2	j. (	GPE
ajfa-8136	404	3	2009	DATE
ajfa-8136	405	1	daily	DATE
ajfa-8136	406	1	64	DATE
ajfa-8136	406	2	1445–1477	DATE
ajfa-8136	407	1	j. (	PERSON
ajfa-8136	407	2	2009	DATE
ajfa-8136	407	3	african	NORP
ajfa-8136	408	1	african journal of finance	ORG
ajfa-8136	408	2	27	CARDINAL
ajfa-8136	408	3	a.	PERSON
ajfa-8136	408	4	maug	GPE
ajfa-8136	408	5	s.	PERSON
ajfa-8136	408	6	2015	CARDINAL
ajfa-8136	409	1	http://dx.doi.org/10.2139/ssrn.2369470 huang	PERSON
ajfa-8136	409	2	r. d.	PERSON
ajfa-8136	409	3	stoll, h. (1996	ORG
ajfa-8136	410	1	nyse	ORG
ajfa-8136	410	2	journal of financial economics	ORG
ajfa-8136	410	3	41	CARDINAL
ajfa-8136	410	4	313	CARDINAL
ajfa-8136	410	5	357	CARDINAL
ajfa-8136	410	6	t., wu	GPE
ajfa-8136	410	7	f.	PERSON
ajfa-8136	410	8	j. and zhang	PERSON
ajfa-8136	410	9	2013	DATE
ajfa-8136	412	1	ssrn	PERSON
ajfa-8136	412	2	2012	DATE
ajfa-8136	413	1	the london stock exchange	ORG
ajfa-8136	414	1	hui	NORP
ajfa-8136	414	2	b.	PERSON
ajfa-8136	414	3	b.	PERSON
ajfa-8136	414	4	1984	DATE
ajfa-8136	415	1	u.s.	GPE
ajfa-8136	416	1	lexington	GPE
ajfa-8136	416	2	ma	ORG
ajfa-8136	416	3	huyghebaert	PERSON
ajfa-8136	416	4	n.	PERSON
ajfa-8136	416	5	hulle	ORG
ajfa-8136	417	1	xlix(4	ORG
ajfa-8136	417	2	jacoby	PERSON
ajfa-8136	417	3	zheng	PERSON
ajfa-8136	417	4	s.x.	GPE
ajfa-8136	418	1	19	CARDINAL
ajfa-8136	419	1	j.irfa.2010.01.008 keynes	PERSON
ajfa-8136	419	2	j. m.	PERSON
ajfa-8136	419	3	1930	DATE
ajfa-8136	420	1	macmillan	GPE
ajfa-8136	420	2	london	GPE
ajfa-8136	420	3	first	ORDINAL
ajfa-8136	420	4	2 kim	PERSON
ajfa-8136	420	5	verrecchia	GPE
ajfa-8136	420	6	r.e.	PERSON
ajfa-8136	421	1	1994).market	CARDINAL
ajfa-8136	421	2	17(1–2	CARDINAL
ajfa-8136	422	1	http://dx.doi.org/10.1016/0165-4101(94)90004-3 köksal	PERSON
ajfa-8136	422	2	2012	DATE
ajfa-8136	423	1	the istanbul stock exchange.central bank of the republic of turkey	ORG
ajfa-8136	423	2	12/26	CARDINAL
ajfa-8136	424	1	asian journal of finance & accounting	ORG
ajfa-8136	424	2	1946-052x 2015	MONEY
ajfa-8136	424	3	7	CARDINAL
ajfa-8136	424	4	2	CARDINAL
ajfa-8136	424	5	krishnan	GPE
ajfa-8136	424	6	r.	NORP
ajfa-8136	424	7	mishra	PERSON
ajfa-8136	424	8	2013).intraday	CARDINAL
ajfa-8136	424	9	indian stock market.journal	ORG
ajfa-8136	424	10	asian	NORP
ajfa-8136	424	11	28	DATE
ajfa-8136	424	12	99–114	CARDINAL
ajfa-8136	425	1	http://dx.doi.org/10.1016/j.asieco.2013.05.005 kumar	PERSON
ajfa-8136	425	2	l.m.	GPE
ajfa-8136	425	3	saudagaran	GPE
ajfa-8136	425	4	s.m.	GPE
ajfa-8136	425	5	2001	DATE
ajfa-8136	426	1	indian	NORP
ajfa-8136	427	1	26(4	CARDINAL
ajfa-8136	427	2	35-50	CARDINAL
ajfa-8136	428	1	kyle	PERSON
ajfa-8136	428	2	a.s.	GPE
ajfa-8136	428	3	1985	DATE
ajfa-8136	430	1	econometrica	PERSON
ajfa-8136	430	2	53	DATE
ajfa-8136	430	3	1315-1335	DATE
ajfa-8136	430	4	2011	DATE
ajfa-8136	431	1	the hong kong	ORG
ajfa-8136	432	1	journal of banking & finance	ORG
ajfa-8136	432	2	35(9	CARDINAL
ajfa-8136	432	3	2217–2230	CARDINAL
ajfa-8136	433	1	lipson	GPE
ajfa-8136	433	2	m. l.	PERSON
ajfa-8136	433	3	s.	PERSON
ajfa-8136	433	4	2009	DATE
ajfa-8136	434	1	darden business school	ORG
ajfa-8136	435	1	ssrn	PERSON
ajfa-8136	435	2	http://ssrn.com/abstract=887413 liu	PERSON
ajfa-8136	435	3	s.	PERSON
ajfa-8136	435	4	s.	PERSON
ajfa-8136	435	5	rhee	PERSON
ajfa-8136	435	6	s. g.	PERSON
ajfa-8136	435	7	2009	DATE
ajfa-8136	437	1	12(1	CARDINAL
ajfa-8136	437	2	32–53	CARDINAL
ajfa-8136	438	1	http://dx.doi.org/10.1016/j.finmar.2008.04.001 levine	PERSON
ajfa-8136	438	2	r.	NORP
ajfa-8136	438	3	s.	PERSON
ajfa-8136	438	4	1998	DATE
ajfa-8136	439	1	growth.american	NORP
ajfa-8136	439	2	88	DATE
ajfa-8136	439	3	537–558	CARDINAL
ajfa-8136	439	4	p.k.	GPE
ajfa-8136	439	5	zheng	PERSON
ajfa-8136	439	6	x.	GPE
ajfa-8136	439	7	the chinese stock market.journal	ORG
ajfa-8136	439	8	asian	NORP
ajfa-8136	439	9	22	CARDINAL
ajfa-8136	439	10	259	CARDINAL
ajfa-8136	440	1	d.	NORP
ajfa-8136	440	2	mishra	GPE
ajfa-8136	440	3	s.	PERSON
ajfa-8136	440	4	prakash, a.	ORG
ajfa-8136	440	5	three-moment	TIME
ajfa-8136	440	6	30	CARDINAL
ajfa-8136	440	7	379	CARDINAL
ajfa-8136	441	1	http://dx.doi.org/	ORG
ajfa-8136	441	2	m. a.	PERSON
ajfa-8136	441	3	nieto	PERSON
ajfa-8136	441	4	b.	PERSON
ajfa-8136	441	5	tapia	PERSON
ajfa-8136	441	6	2005	DATE
ajfa-8136	442	1	spanish	NORP
ajfa-8136	443	1	14	CARDINAL
ajfa-8136	443	2	mianbi	GPE
ajfa-8136	443	3	x.	GPE
ajfa-8136	443	4	langnan	GPE
ajfa-8136	445	1	2004	DATE
ajfa-8136	446	1	2004/6	CARDINAL
ajfa-8136	447	1	o’hara,	PERSON
ajfa-8136	447	2	1995	DATE
ajfa-8136	448	1	basil blackwell	PERSON
ajfa-8136	448	2	cambridge	GPE
ajfa-8136	448	3	ma	GPE
ajfa-8136	448	4	o’hara,	PERSON
ajfa-8136	448	5	2004	DATE
ajfa-8136	449	1	national bank of belgium	ORG
ajfa-8136	449	2	55	CARDINAL
ajfa-8136	449	3	l.	PERSON
ajfa-8136	449	4	r.f.	GPE
ajfa-8136	449	5	2003	DATE
ajfa-8136	451	1	642	CARDINAL
ajfa-8136	452	1	http://dx.doi.org/10.1086/374184 asian journal of finance & accounting	ORG
ajfa-8136	452	2	1946-052x 2015	MONEY
ajfa-8136	452	3	7	CARDINAL
ajfa-8136	452	4	2 54	CARDINAL
ajfa-8136	452	5	peter	PERSON
ajfa-8136	452	6	amador	GPE
ajfa-8136	452	7	o.f.	GPE
ajfa-8136	452	8	gächter	PERSON
ajfa-8136	452	9	m.	PERSON
ajfa-8136	452	10	m. (2013).	ORG
ajfa-8136	455	1	journalof	PERSON
ajfa-8136	455	2	21	CARDINAL
ajfa-8136	455	3	54–68	CARDINAL
ajfa-8136	456	1	petkova	PERSON
ajfa-8136	456	2	r.	NORP
ajfa-8136	456	3	akbas f.	PERSON
ajfa-8136	456	4	armstrong, w.j.	PERSON
ajfa-8136	457	1	2011).idiosyncratic	ORDINAL
ajfa-8136	458	1	https://www.bus.miami.edu/_assets/files/faculty-and-research/conferences-and-seminars/fina nce-	PERSON
ajfa-8136	458	2	k.	PERSON
ajfa-8136	458	3	2009	DATE
ajfa-8136	459	1	thailand	GPE
ajfa-8136	460	1	pacific-basin	LOC
ajfa-8136	460	2	17	CARDINAL
ajfa-8136	461	1	r.	PERSON
ajfa-8136	461	2	1984	DATE
ajfa-8136	463	1	39	CARDINAL
ajfa-8136	464	1	rubio	PERSON
ajfa-8136	464	2	martinez	GPE
ajfa-8136	464	3	m.a.	PERSON
ajfa-8136	464	4	nieto b.	PERSON
ajfa-8136	464	5	tapia	PERSON
ajfa-8136	464	6	2005	DATE
ajfa-8136	465	1	spanish	NORP
ajfa-8136	466	1	14	CARDINAL
ajfa-8136	466	2	81103.http://dx.doi.org/10.1016/j.iref.2003.12.001	CARDINAL
ajfa-8136	466	3	a. and lybek	PERSON
ajfa-8136	466	4	2002).measuring	CARDINAL
ajfa-8136	466	5	december	DATE
ajfa-8136	467	1	l.	PERSON
ajfa-8136	467	2	indian	NORP
ajfa-8136	468	1	sioud	PERSON
ajfa-8136	468	2	o.b.	GPE
ajfa-8136	468	3	2006	DATE
ajfa-8136	469	1	tunisian	NORP
ajfa-8136	470	1	16(2	CARDINAL
ajfa-8136	471	1	http://dx.doi.org/10.1080/10196780600643977 söderberg	PERSON
ajfa-8136	471	2	2008	DATE
ajfa-8136	473	1	scandinavia	LOC
ajfa-8136	474	1	17	CARDINAL
ajfa-8136	475	1	spindt	PERSON
ajfa-8136	475	2	p.a.	GPE
ajfa-8136	475	3	banerjee	GPE
ajfa-8136	475	4	s.	PERSON
ajfa-8136	475	5	v.a.	GPE
ajfa-8136	475	6	2007).stock	CARDINAL
ajfa-8136	475	7	369–397	CARDINAL
ajfa-8136	475	8	2014	DATE
ajfa-8136	477	1	9(1	CARDINAL
ajfa-8136	477	2	34-40	CARDINAL
ajfa-8136	478	1	http://dx.doi.org/10.2139/ssrn.2177332 tissaoui	PERSON
ajfa-8136	478	2	k.	PERSON
ajfa-8136	478	3	2012	DATE
ajfa-8136	479	1	tunisian	NORP
ajfa-8136	480	1	international journal of economics	ORG
ajfa-8136	480	2	4(5	DATE
ajfa-8136	481	1	c.a.	GPE
ajfa-8136	481	2	goyenko	PERSON
ajfa-8136	481	3	r.y.	GPE
ajfa-8136	481	4	holden	PERSON
ajfa-8136	481	5	c.w.	PERSON
ajfa-8136	481	6	2009	DATE
ajfa-8136	483	1	journal of financial economics	ORG
ajfa-8136	483	2	92	CARDINAL
ajfa-8136	483	3	153–181	CARDINAL
ajfa-8136	484	1	http://dx.doi.org/10.1016/j.jfineco.2008.06.002 asian journal of finance & accounting	ORG
ajfa-8136	484	2	1946-052x 2015	MONEY
ajfa-8136	484	3	7	CARDINAL
ajfa-8136	484	4	2 55	CARDINAL
ajfa-8136	484	5	c.a.	GPE
ajfa-8136	484	6	goyenko	PERSON
ajfa-8136	484	7	r.y.	GPE
ajfa-8136	484	8	holden	PERSON
ajfa-8136	484	9	c.w.	GPE
ajfa-8136	484	10	c.t.	PERSON
ajfa-8136	485	1	2009).horse	CARDINAL
ajfa-8136	485	2	monthly	DATE
ajfa-8136	485	3	annual	DATE
ajfa-8136	486	1	c.a.	GPE
ajfa-8136	486	2	fong	PERSON
ajfa-8136	486	3	k., holden	PERSON
ajfa-8136	486	4	c.w.	GPE
ajfa-8136	486	5	2011	DATE
ajfa-8136	488	1	2009	DATE
ajfa-8136	490	1	26(1	CARDINAL
ajfa-8136	490	2	24-35.http://dx.doi.org/10.1108/10867370910946306	CARDINAL
ajfa-8136	490	3	d.	NORP
ajfa-8136	490	4	2014).empirical	CARDINAL
ajfa-8136	490	5	wang	PERSON
ajfa-8136	490	6	j. (	PERSON
ajfa-8136	490	7	2007	DATE
ajfa-8136	491	1	indonesia	GPE
ajfa-8136	491	2	thailand	GPE
ajfa-8136	492	1	journal of development economics	ORG
ajfa-8136	492	2	798–811	CARDINAL
ajfa-8136	493	1	http://dx.doi.org/10.1016/j.jdeveco.2006.05.001 watanabe, a.	ORG
ajfa-8136	493	2	watanabe	ORG
ajfa-8136	493	3	2008).timevarying	CARDINAL
ajfa-8136	493	4	21(6	CARDINAL
ajfa-8136	493	5	2449	CARDINAL
ajfa-8136	494	1	http://dx.doi.org/10.1093/rfs/hhm054 wei	PERSON
ajfa-8136	494	2	2010	DATE
ajfa-8136	496	1	university of texas	ORG
ajfa-8136	497	1	weston	GPE
ajfa-8136	497	2	j.p.	GPE
ajfa-8136	497	3	butler	GPE
ajfa-8136	497	4	a.w.	GPE
ajfa-8136	497	5	2005).stock	CARDINAL
ajfa-8136	497	6	40(2	DATE
ajfa-8136	497	7	331	CARDINAL
ajfa-8136	498	1	zabihi	PRODUCT
ajfa-8136	499	1	tehran stock exchange	ORG
ajfa-8136	499	2	j. basic	PERSON
ajfa-8136	501	1	sci.	ORG
ajfa-8136	501	2	1(12	CARDINAL
ajfa-8136	501	3	2736-2742	CARDINAL
ajfa-8136	502	1	1(12)2736-2742,%202011.pdf zheng	QUANTITY
ajfa-8136	502	2	x.	GPE
ajfa-8136	502	3	zhang, z. (2006	ORG
ajfa-8136	503	1	chinese	NORP
ajfa-8136	504	1	06/04	CARDINAL
ajfa-8136	504	2	asian	NORP
ajfa-8136	504	3	finance & accounting	ORG
ajfa-8136	504	4	1946-052x 2015	MONEY
ajfa-8136	505	1	7	CARDINAL
ajfa-8136	505	2	2 56	CARDINAL
ajfa-8136	506	1	1984	DATE
ajfa-8136	509	1	daily	DATE
ajfa-8136	509	2	last 5 days	DATE
ajfa-8136	509	3	daily	DATE
ajfa-8136	509	4	last 5 days	DATE
ajfa-8136	509	5	last 5 days	DATE
ajfa-8136	509	6	5 day	DATE
ajfa-8136	510	1	2000	DATE
ajfa-8136	511	1	hasbrouck	ORG
ajfa-8136	511	2	schwartz	GPE
ajfa-8136	511	3	1988	DATE
ajfa-8136	511	4	mec	ORG
ajfa-8136	511	5	saar	PERSON
ajfa-8136	511	6	2002	DATE
ajfa-8136	512	1	2	CARDINAL
ajfa-8136	512	2	saar	PERSON
ajfa-8136	512	3	2002	DATE
ajfa-8136	515	1	saar	PERSON
ajfa-8136	515	2	2002	DATE
ajfa-8136	516	1	1984	DATE
ajfa-8136	519	1	2009	DATE
ajfa-8136	519	2	2	CARDINAL
ajfa-8136	519	3	∆p∗	GPE
ajfa-8136	519	4	∆p∗	GPE
ajfa-8136	519	5	∆p∗	GPE
ajfa-8136	520	1	∆p∗	GPE
ajfa-8136	520	2	∆p∗	GPE
ajfa-8136	520	3	0	CARDINAL
ajfa-8136	522	1	+ β(r −	GPE
ajfa-8136	524	1	goyenko	PERSON
ajfa-8136	524	2	holden	PERSON
ajfa-8136	525	1	0	CARDINAL
ajfa-8136	525	2	1	CARDINAL
ajfa-8136	525	3	0	CARDINAL
ajfa-8136	525	4	2	CARDINAL
ajfa-8136	525	5	no asian journal of finance & accounting	ORG
ajfa-8136	525	6	1946-052x 2015	MONEY
ajfa-8136	526	1	7	CARDINAL
ajfa-8136	526	2	2 57	CARDINAL
ajfa-8136	526	3	2009	DATE
ajfa-8136	527	1	ogden	GPE
ajfa-8136	527	2	1999	DATE
ajfa-8136	527	3	zeros	CARDINAL
ajfa-8136	527	4	zero	CARDINAL
ajfa-8136	527	5	trading days	DATE
ajfa-8136	527	6	ntd	ORG
ajfa-8136	527	7	no trade days	DATE
ajfa-8136	527	8	a given stock month	DATE
ajfa-8136	528	1	goyenko	PERSON
ajfa-8136	528	2	holden	PERSON
ajfa-8136	528	3	2009	DATE
ajfa-8136	528	4	zeros2	WORK_OF_ART
ajfa-8136	529	1	#	CARDINAL
ajfa-8136	529	2	days	DATE
ajfa-8136	529	3	zero	CARDINAL
ajfa-8136	530	1	2009	DATE
ajfa-8136	530	2	5 minute	TIME
ajfa-8136	530	3	2	CARDINAL
ajfa-8136	530	4	− ln(m	PERSON
ajfa-8136	531	1	− ln(m	PERSON
ajfa-8136	531	2	t and five minutes	TIME
ajfa-8136	532	1	hasbrouck	PERSON
ajfa-8136	532	2	2009	DATE
ajfa-8136	533	1	u wherer	ORG
ajfa-8136	533	2	five-minute	TIME
ajfa-8136	534	1	u	ORG
ajfa-8136	535	1	2011	DATE
ajfa-8136	535	2	fht	PRODUCT
ajfa-8136	537	1	2σn	ORDINAL
ajfa-8136	538	1	amihud	PERSON
ajfa-8136	540	1	day	DATE
ajfa-8136	540	2	day	DATE
ajfa-8136	541	1	goyenko	PERSON
ajfa-8136	541	2	holden	PERSON
ajfa-8136	541	3	2009	DATE
ajfa-8136	541	4	proxyaverage daily	ORG
ajfa-8136	541	5	2002	DATE
ajfa-8136	542	1	day t	DATE
ajfa-8136	543	1	1985	DATE