Illiquidity and stock returns: cross-section and time-series effects
Top Cited Papers
- 1 January 2002
- journal article
- Published by Elsevier in Journal of Financial Markets
- Vol. 5 (1), 31-56
- https://doi.org/10.1016/s1386-4181(01)00024-6
Abstract
No abstract availableKeywords
This publication has 64 references indexed in Scilit:
- Cost of Transacting and Expected Returns in the Nasdaq MarketThe Journal of Finance, 1997
- Firm Size and Dividend PayoutsJournal of Financial Intermediation, 1997
- A Critique of Size-Related AnomaliesThe Review of Financial Studies, 1995
- Liquidity, Taxes, and Short-Term Treasury YieldsJournal of Financial and Quantitative Analysis, 1994
- The seasonal behavior of the liquidity premium in asset pricingJournal of Financial Economics, 1993
- Market microstructure and asset pricing: An empirical investigation of NYSE and NASDAQ securitiesJournal of Financial Economics, 1990
- Liquidity and the 1987 stock market crashThe Journal of Portfolio Management, 1990
- Risk, Return, and Equilibrium: A RevisitJournal of Political Economy, 1986
- Differential information and the small firm effectJournal of Financial Economics, 1984
- The Pricing of Security Dealer Services: An Empirical Study of Nasdaq StocksThe Journal of Finance, 1978