The seasonal behavior of the liquidity premium in asset pricing

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Dealership market

1980 • 998 citations

The Only Game in Town

1971 • 899 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

1978 • 648 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

Market microstructure

1976 • 533 citations

Transaction costs and the small firm effect

1983 • 461 citations

The Economics of Liquidity Services

1972 • 440 citations

Vas Ist Das?

1983 • 433 citations

Information Effects on the Bid-Ask Spread

1983 • 381 citations

The Microeconomics of Market Making

1986 • 370 citations

Risk and return

1984 • 330 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market

1972 • 189 citations

Risk, Return, and Equilibrium: A Revisit

1986 • 185 citations

Market microstructure and asset pricing

1990 • 174 citations

NYSE vs NASDAQ returns

1993 • 149 citations

Does Market Risk Really Explain the Size Effect?

1992 • 124 citations

The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks

1978 • 113 citations

A Fundamental Study of the Seasonal Risk‐Return Relationship: A Note

1988 • 20 citations

A Fundamental Study of the Seasonal Risk-Return Relationship: A Note

1988 • 9 citations