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Common Patterns in Commonality in Returns, Liquidity, and Turnover Around the World
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References

  • 1998Law and Finance17,902 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2005What matters for financial development? Capital controls, institutions, and interactions2,650 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2004What Determines Corporate Transparency?2,192 cited
  • 2000Commonality in liquidity1,748 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2008The Corporate Governance Role of the Media: Evidence from Russia1,370 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs

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