References

• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1992The Cross-Section of Expected Stock Returns17,251 cited
• 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
• 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
• 2003Liquidity Risk and Expected Stock Returns5,362 cited
• 1986Asset pricing and the bid-ask spread5,087 cited
• 1987Expected stock returns and volatility4,147 cited
• 2000Sample Splitting and Threshold Estimation2,901 cited
• 1976The pricing of commodity contracts2,859 cited
• 2005Asset pricing with liquidity risk2,816 cited
• 1990Evidence of Predictable Behavior of Security Returns2,702 cited
• 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
• 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited