References

• 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
• 1986Asset pricing and the bid-ask spread5,087 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 2000Commonality in liquidity1,748 cited
• 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
• 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
• 1998Liquidity and stock returns: An alternative test1,318 cited
• 1992Stock Prices and Volume1,295 cited
• 2001Common factors in prices, order flows, and liquidity1,067 cited
• 1996Commonality in the determinants of expected stock returns1,066 cited
• 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
• 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
• 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
• 2005Demand-Based Option Pricing889 cited
• 2006