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Measuring market liquidity: An introductory survey
16 references·0 citing·39 second hopsampled
Measuring market liquidity: An introductory survey (2011)Measuring market liquidity: An introducto…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Liquidity and Market Structure (1988)Liquidity and Market StructureEstimating the components of the bid/ask spread (1988)Estimating the components of …Stock return variances (1986)Stock return variancesAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Using daily stock returns (1985)Using daily stock returnsBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Measuring security price performance (1980)Measuring security price perf…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Measuring Business Cycles (1947)A Theory of the Consumption Function (1960)Book Review: Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Politically Connected Firms (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)
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References

  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Using daily stock returns6,887 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1980Measuring security price performance3,370 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1986Stock return variances1,841 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited

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  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
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