Prof Tarun Chordia

STAFF PROFILE

Position

Professorial Research Fellow

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

International Appointments

Contact

t.chordia@deakin.edu.au
+61 3 924 45774

Publications

Filter by

2019

Order flow volatility and equity costs of capital

T Chordia, J Hu, A Subrahmanyam, Q Tong

(2019), Vol. 65, pp. 1520-1551, Management science, [Providence, R.I.], C1-1

journal
2018

Rent seeking by low-latency traders: evidence from trading on macroeconomic announcements

T Chordia, T Green, B Kottimukkalur

(2018), Vol. 31, pp. 4650-4687, Review of financial studies, Oxford, Eng., C1-1

journal
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