Bond Price Data and Bond Market Liquidity

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Determinants of Risk Premiums on Corporate Bonds

1959 • 465 citations

Modern Investment Theory.

1986 • 436 citations

Term premiums in bond returns

1984 • 226 citations

Price Dispersion in the Government Securities Market

1976 • 113 citations

The behavior of interest rates : an application of the efficient market model to U.S. Treasury bills

1970 • 94 citations

Corporate Bond Price Data Sources and Return/Risk Measurement

1986 • 53 citations

The monotonicity of the term premium

1987 • 53 citations