Prof Tarun Chordia

STAFF PROFILE

Position

Professorial Research Fellow

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Overseas (Offshore Teaching)

Publications

Filter by

2017

Are capital market anomalies common to equity and corporate bond markets? An empirical investigation

T Chordia, A Goyal, Y Nozawa, A Subrahmanyam, Q Tong

(2017), Vol. 52, pp. 1301-1342, Journal of financial and quantitative analysis, Cambridge, Eng., C1

journal
2016

Buyers versus sellers: who initiates trades, and when?

T Chordia, A Goyal, N Jegadeesh

(2016), Vol. 51, pp. 1467-1490, Journal of financial and quantitative analysis, Cambridge, Eng., C1-1

journal

Alliances and return predictability

J Cao, T Chordia, C Lin

(2016), Vol. 51, pp. 1689-1717, Journal of Financial and Quantitative Analysis, United Kingdom, C1-1

journal
2014

Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?

T Chordia, A Subrahmanyam, Q Tong

(2014), Vol. 58, pp. 41-58, Journal of Accounting and Economics, Amsterdam, The Netherlands., C1-1

journal
2013

Anomalies and financial distress

D Avramov, T Chordia, G Jostova, A Philipov

(2013), Vol. 108, pp. 139-159, Journal of Financial Economics, Amsterdam, The Netherlands., C1-1

journal

High-frequency trading

T Chordia, A Goyal, B Lehmann, G Saar

(2013), Vol. 16, pp. 637-645, Journal of Financial Markets, United Kingdom, C1-1

journal
2012

Sell-order liquidity and the cross-section of expected stock returns

M Brennan, T Chordia, A Subrahmanyam, Q Tong

(2012), Vol. 105, pp. 523-541, Journal of Financial Economics, Amsterdam, The Netherlands., C1-1

journal

The world price of credit risk

D Avramov, T Chordia, G Jostova, A Philipov

(2012), Vol. 2, pp. 112-152, Review of Asset Pricing Studies, United Kingdom, C1-1

journal
2011

Liquidity dynamics and cross-autocorrelations

T Chordia, A Sarkar, A Subrahmanyam

(2011), Vol. 46, pp. 709-736, Journal of Financial and Quantitative Analysis, United Kingdom, C1-1

journal

Recent trends in trading activity and market quality

T Chordia, R Roll, A Subrahmanyam

(2011), Vol. 101, pp. 243-263, Journal of Financial Economics, Amsterdam, The Netherlands, C1-1

journal
2009

Theory-based illiquidity and asset pricing

T Chordia, S Huh, A Subrahmanyam

(2009), Vol. 22, pp. 3629-3668, Review of Financial Studies, United Kingdom, C1-1

journal

Credit ratings and the cross-section of stock returns

D Avramov, T Chordia, G Jostova, A Philipov

(2009), Vol. 12, pp. 469-499, Journal of Financial Markets, United Kingdom, C1-1

journal

Liquidity and the post-earnings-announcement drift

T Chordia, A Goyal, G Sadka, R Sadka, L Shivakumar

(2009), Vol. 65, pp. 18-32, Financial Analysts Journal, United States, C1-1

journal

Dispersion in analysts' earnings forecasts and credit rating

D Avramov, T Chordia, G Jostova, A Philipov

(2009), Vol. 91, pp. 83-101, Journal of Financial Economics, United Kingdom, C1-1

journal
2008

Liquidity and market efficiency

T Chordia, R Roll, A Subrahmanyam

(2008), Vol. 87, pp. 249-268, Journal of Financial Economics, United Kingdom, C1-1

journal
2007

Momentum and credit rating

D Avramov, T Chordia, G Jostova, A Philipov

(2007), Vol. 62, pp. 2503-2520, Journal of finance, Hoboken, N.J., C1-1

journal

The cross-section of expected trading activity

T Chordia, S-W Huh, A Subrahmanyam

(2007), Vol. 20, pp. 709-740, Review of financial studies, Oxford, Eng., C1-1

journal
2006

The impact of trades on daily volatility

D Avramov, T Chordia, A Goyal

(2006), Vol. 19, pp. 1241-1277, Review of financial studies, Oxford, Eng., C1-1

journal

Earnings and price momentum

T Chordia, L Shivakumar

(2006), Vol. 80, pp. 627-656, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal

Asset pricing models and financial market anomalies

D Avramov, T Chordia

(2006), Vol. 19, pp. 1001-1040, Review of financial studies, Oxford, Eng., C1-1

journal

Liquidity and autocorrelations in individual stock returns

D Avramov, T Chordia, A Goyal

(2006), Vol. 61, pp. 2365-2394, Journal of finance, Chichester, Eng., C1-1

journal

Predicting stock returns

D Avramov, T Chordia

(2006), Vol. 82, pp. 387-415, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal
2005

An empirical analysis of stock and bond market liquidity

T Chordia, A Sarkar, A Subrahmanyam

(2005), Vol. 18, pp. 85-129, Review of financial studies, Oxford, Eng., C1-1

journal

Evidence on the speed of convergence to market efficiency

T Chordia, R Roll, A Subrahmanyam

(2005), Vol. 76, pp. 271-292, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal

Inflation illusion and post-earnings-announcement drift

T Chordia, L Shivakumar

(2005), Vol. 43, pp. 521-556, Journal of accounting research, Chicago, Ill., C1-1

journal
2004

Order imbalance and individual stock returns: theory and evidence

T Chordia, A Subrahmanyam

(2004), Vol. 72, pp. 485-518, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal
2002

Momentum, business cycle, and time-varying expected returns

T Chordia, L Shivakumar

(2002), Vol. 57, pp. 985-1019, Journal of finance, Berlin, Germany, C1-1

journal

Order imbalance, liquidity, and market returns

T Chordia, R Roll, A Subrahmanyam

(2002), Vol. 65, pp. 111-130, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal
2001

Trading activity and expected stock returns

T Chordia, A Subrahmanyam, V Anshuman

(2001), Vol. 59, pp. 3-32, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal

Market liquidity and trading activity

T Chordia, R Roll, A Subrahmanyam

(2001), Vol. 56, pp. 501-530, Journal of finance, Chichester, Eng., C1-1

journal

True spreads and equilibrium prices

C Ball, T Chordia

(2001), Vol. 56, pp. 1801-1835, Journal of finance, Chichester, Eng., C1-1

journal
2000

Co-movements in bid-ask spreads and market depth

T Chordia, R Roll, A Subrahmanyam

(2000), Vol. 56, pp. 23-27, Financial analysts journal, Charlottesville, Va., C1-1

journal

Commonality in liquidity

T Chordia, R Roll, A Subrahmanyam

(2000), Vol. 56, pp. 3-28, Journal of financial economics, Amsterdam, The Netherlands, C1-1

journal

Trading volume and cross-autocorrelations in stock returns

T Chordia, B Swaminathan

(2000), Vol. 55, pp. 913-935, Journal of finance, Chichester, Eng., C1-1

journal

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

No completed student supervisions to report