this work references cited by second hop· second hop is a sample of the most-cited connectionsReferences
- 1993Common risk factors in the returns on stocks and bonds26,615 cited
- 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
- 1976The arbitrage theory of capital asset pricing7,081 cited
- 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
- 2003Liquidity Risk and Expected Stock Returns5,362 cited
- 1986Asset pricing and the bid-ask spread5,087 cited
- 2005Asset pricing with liquidity risk2,816 cited
- 2001Market Liquidity and Trading Activity1,555 cited
- 1999A New Estimate of Transaction Costs1,340 cited
- 2007Corporate Yield Spreads and Bond Liquidity1,087 cited
- 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
- 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
- 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
- 2006A liquidity-augmented capital asset pricing model891 cited
- 2005Liquidity of emerging markets838 cited
- 2006Portfolio Selection in Stochastic Environments
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