References

• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 1985Continuous Auctions and Insider Trading9,626 cited
• 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
• 2003Liquidity Risk and Expected Stock Returns5,362 cited
• 2008Market Liquidity and Funding Liquidity5,007 cited
• 2005Asset pricing with liquidity risk2,816 cited
• 2014A Macroeconomic Model with a Financial Sector1,976 cited
• 2000Commonality in liquidity1,748 cited
• 1988Liquidity and Market Structure1,532 cited
• 2013Intermediary Asset Pricing1,401 cited
• 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
• 2001Common factors in prices, order flows, and liquidity1,067 cited
• 2001Contagion as a Wealth Effect926 cited
• 2014Financial Intermediaries and the Cross‐Section of Asset Returns847 cited
• 2017Intermediary asset pricing: New evidence from many asset classes792 cited
• 2011Margin-based Asset Pricing and Deviations from the Law of One Price