Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Asset returns and inflation

1977 • 2,770 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 citations

Stock Prices and Volume

1992 • 1,388 citations

Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

1994 • 1,334 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

Liquidity, Information, and Infrequently Traded Stocks

1996 • 418 citations

The seasonal behavior of the liquidity premium in asset pricing

1993 • 321 citations

Posted versus effective spreads

1994 • 285 citations

Stock Returns and the Term Structure

1985 • 256 citations

Cost of Transacting and Expected Returns in the Nasdaq Market

1997 • 228 citations

The Dependence of Prices and Volume

1978 • 182 citations

Commonality in the Determinants of Expected Stock Returns

1998 • 105 citations

Trading cost premiums in capital asset returns—a closed form solution

1994 • 14 citations