References

• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 1985Continuous Auctions and Insider Trading9,626 cited
• 1998Generalized impulse response analysis in linear multivariate models6,129 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
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
• 1968The Cost of Transacting1,909 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 2000Commonality in liquidity1,748 cited
• 1999Predictive regressions1,614 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 2001Market Liquidity and Trading Activity1,555 cited
• 1992Stock Prices and Volume1,295 cited
• 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns