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Liquidity biases in asset pricing tests☆

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References

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1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

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2009The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?191 cited
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2016Retail Short Selling and Stock Prices176 cited
2014Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks175 cited
2011Do Portfolio Distortions Reflect Superior Information or Psychological Biases?166 cited
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