Liquidity Risk and Asset Pricing

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

An Empirical Evaluation of Accounting Income Numbers

1968 • 6,381 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

Liquidity Risk and Expected Stock Returns

2003 • 5,324 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

1999 • 3,988 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Asset pricing with liquidity risk

2005 • 2,795 citations

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

2001 • 2,559 citations

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings

1990 • 2,121 citations

Is Information Risk a Determinant of Asset Returns?

2002 • 1,794 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

Commonality in liquidity

2000 • 1,683 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM

1989 • 1,578 citations

Market Liquidity and Trading Activity

2001 • 1,446 citations

Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

2018 • 1,259 citations

The Components of the Bid-Ask Spread: A General Approach

1997 • 1,198 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

2001 • 1,005 citations

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

1997 • 943 citations

Order imbalance, liquidity, and market returns

2002 • 915 citations

Does Arbitrage Flatten Demand Curves for Stocks?

2002 • 897 citations

Characteristics of Risk and Return in Risk Arbitrage

2001 • 736 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 700 citations

Stock Price Reaction to News and No-news: Drift and Reversal After Headlines

2001 • 699 citations

The illusory nature of momentum profits

2003 • 647 citations

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

1996 • 645 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 645 citations

Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

Smart Money, Noise Trading and Stock Price Behaviour

1993 • 598 citations

Are Momentum Profits Robust to Trading Costs?

2004 • 595 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

The Accuracy of Trade Classification Rules: Evidence from Nasdaq

2000 • 498 citations

The Conditional CAPM and the Cross-Section of Expected Returns

1996 • 489 citations

The Value Spread

2003 • 473 citations

Commonality in Liquidity

1999 • 463 citations

Arbitrage Risk and Post‐Earnings‐Announcement Drift

2004 • 390 citations

Market Liquidity and Trading Activity

2000 • 376 citations

Endogenous Liquidity in Asset Markets

2004 • 372 citations

Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns

1999 • 369 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets

2004 • 320 citations

Empirical anomalies based on unexpected earnings and the importance of risk adjustments

1982 • 301 citations

Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks

1996 • 275 citations

On the occurrence and consequences of inaccurate trade classification

2000 • 273 citations

OrderImbalance, Liquidity and Market Returns

2001 • 253 citations

Earnings Predictability, Information Asymmetry, and Market Liquidity

2002 • 187 citations

Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours

2004 • 179 citations

QUARTERLY EARNINGS REPORTS AND INTERMEDIATE STOCK PRICE TRENDS

1970 • 167 citations

The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings

1977 • 158 citations

Estimating the profits from trading strategies

1996 • 150 citations

The Accuracy of Trade Classification Rules: Evidence from NASDAQ

2001 • 93 citations

A Multifactor Explanation of Post-Earnings Announcement Drift

2003 • 60 citations

Price Impact Costs and the Limit of Arbitrage

2002 • 59 citations

The Interaction of Value and Momentum Strategies

1998 • 32 citations

A Multi-factor Explanation of Post-Earnings-Announcement Drift

2003 • 6 citations