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Liquidity Risk and Stock Returns Around the World

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1993Common risk factors in the returns on stocks and bonds26,615 cited
1998Law and Finance17,902 cited
2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
2003Earnings management and investor protection: an international comparison5,395 cited
2003Liquidity Risk and Expected Stock Returns5,362 cited
1986Asset pricing and the bid-ask spread5,087 cited
2006The Cross‐Section of Volatility and Expected Returns4,576 cited
2005Asset pricing with liquidity risk2,892 cited
1998Value versus Growth: The International Evidence2,251 cited
1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
1998Liquidity and stock returns: An alternative test1,318 cited
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

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