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- 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
- 2003Liquidity Risk and Expected Stock Returns5,362 cited
- 1986Asset pricing and the bid-ask spread5,087 cited
- 2005Asset pricing with liquidity risk2,816 cited
- 2000Commonality in liquidity1,748 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
- 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
- 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
- 2006A liquidity-augmented capital asset pricing model891 cited
- 2005Liquidity of emerging markets838 cited
- 2011Understanding commonality in liquidity around the world723 cited
- 2014The Global Crisis and Equity Market Contagion708 cited
- 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market706 cited
- 2010Stock Market Declines and Liquidity
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