References

• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 1985Continuous Auctions and Insider Trading9,626 cited
• 2003Liquidity Risk and Expected Stock Returns5,362 cited
• 1986Asset pricing and the bid-ask spread5,087 cited
• 2008Market Liquidity and Funding Liquidity5,007 cited
• 1989The federal funds rate and the channels of monetary transmission2,833 cited
• 2005Asset pricing with liquidity risk2,816 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
• 2009Do liquidity measures measure liquidity?☆1,425 cited
• 1998Liquidity and stock returns: An alternative test1,318 cited
• 1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1