References

• 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
• 2001The Determinants of Credit Spread Changes2,253 cited
• 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
• 2000Commonality in liquidity1,748 cited
• 1992On the Estimation of Beta-Pricing Models1,615 cited
• 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
• 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
• 2001Market Liquidity and Trading Activity1,555 cited
• 2002The Equity Premium1,331 cited
• 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 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
• 2007