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BOND RETURNS, LIQUIDITY, AND MISSING DATA
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  • 2006Search and endogenous concentration of liquidity in asset markets259 cited
  • 2005The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market183 cited
  • 2000The determinants of trading volume of high-yield corporate bonds170 cited
  • 2017Illiquidity Premia in the Equity Options Market168 cited
  • 2010The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns141 cited
  • 2003Trading Costs in Three U.S. Bond Markets134 cited
  • 2011Liquidity and Arbitrage in the Market for Credit Risk129 cited
  • 2010Limits of Arbitrage: The State of the Theory124 cited
  • 2009The on-the-run liquidity phenomenon123 cited
  • 1995Does the Liquidity of a Debt Issue Increase with Its Size? Evidence from the Corporate Bond and Medium‐Term Note Markets122 cited
  • 2002Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings118 cited
  • 1998Default Risk Cannot Explain the Muni Puzzle: Evidence from Municipal Bonds that are Secured by U.S. Treasury Obligations117 cited
  • 2017Determinants of Corporate Bond Trading: A Comprehensive Analysis116 cited
  • 2003Comparing Possible Proxies of Corporate Bond Liquidity111 cited

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  • 2018The Dynamics of Financially Constrained Arbitrage104 cited
  • 2012Trade and information in the corporate bond market99 cited