References

• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
• 1980On the Estimation of Security Price Volatilities from Historical Data1,538 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
• 2018Replicating Anomalies1,068 cited
• 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
• 2017Investor flows and fragility in corporate bond funds632 cited
• 2012Evaporating Liquidity525 cited
• 2012Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions432 cited
• 2017Policy Uncertainty and Corporate Credit Spreads359 cited
• 2017A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices331 cited
• 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
• 2017Municipal Bond Liquidity and Default Risk