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References (37)

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1998 • 1,341 citations

Alternative 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…

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1998 • 573 citations

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1990 • 378 citations

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1996 • 373 citations

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1993 • 321 citations

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1978 • 261 citations

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1998 • 237 citations

An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an …

1998 • 222 citations

The Behavior of Stock Prices Around Institutional Trades

1995 • 211 citations

Cross-Sectional Determinants of Expected Returns

2004 • 26 citations

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Trading activity and expected stock returns (2001) – Journal of Financial Economics | Metascience Observatory Explorer