References

• 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 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
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
• 2004Information and the Cost of Capital3,057 cited
• 2005Asset pricing with liquidity risk2,816 cited
• 2007Accounting Information, Disclosure, and the Cost of Capital2,582 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
• 1993Differences of Opinion Make a Horse Race1,650 cited
• 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
• 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
• 1986