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Illiquidity and Stock Returns

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References

1993Common risk factors in the returns on stocks and bonds26,615 cited
1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 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
2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
1985Continuous Auctions and Insider Trading9,626 cited
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
2003Liquidity Risk and Expected Stock Returns5,362 cited
1986Economic Forces and the Stock Market5,258 cited
1986Asset pricing and the bid-ask spread5,087 cited
1987Expected stock returns and volatility4,147 cited
1991Inferring Trade Direction from Intraday Data3,150 cited
2005Asset pricing with liquidity risk2,816 cited
1977

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Estimating betas from nonsynchronous data

2,751 cited

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