References

• 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 2003Liquidity Risk and Expected Stock Returns5,362 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 2009Do liquidity measures measure liquidity?☆1,425 cited
• 1999A New Estimate of Transaction Costs1,340 cited
• 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
• 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
• 2007Corporate Yield Spreads and Bond Liquidity1,087 cited
• 2011The Illiquidity of Corporate Bonds989 cited
• 2007Corporate Bond Market Transaction Costs and Transparency966 cited
• 2011Corporate bond liquidity before and after the onset of the subprime crisis787 cited
• 2011What Are the Best Liquidity Proxies for Global Research?507 cited