References

• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
• 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
• 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
• 2003Liquidity Risk and Expected Stock Returns5,362 cited
• 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
• 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
• 2003Overconfidence and Speculative Bubbles2,227 cited
• 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
• 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,918 cited
• 2004A PANIC Attack on Unit Roots and Cointegration1,890 cited
• 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
• 2000Commonality in liquidity