Transaction Costs and Asset Prices: A Dynamic Equilibrium model

The relationship between return and market value of common stocks

1981 • 6,052 citations

The equity premium: A puzzle

1985 • 5,686 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Market microstructure theory

1995 • 1,457 citations

Portfolio Selection with Transaction Costs

1990 • 1,370 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Market Microstructure Theory.

1996 • 1,263 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

1996 • 683 citations

Evaluating the effects of incomplete markets on risk sharing nad asset pricing

2010 • 666 citations

Optimal Investment and Consumption with Transaction Costs

1994 • 664 citations

Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

1990 • 505 citations

Transaction costs and the small firm effect

1983 • 461 citations

Financial Innovation and Risk Sharing.

1995 • 438 citations

An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

1991 • 421 citations

Asset returns with transactions costs and uninsured individual risk

1991 • 342 citations

Transaction taxes and the behavior of the Swedish stock market

1993 • 330 citations

Liquidity, Asset Prices and Financial Policy

1991 • 246 citations

Transactions costs and portfolio choice in a discrete-continuous-time setting

1990 • 178 citations

A Multiperiod Equilibrium Asset Pricing Model

1978 • 114 citations

International Experiences with Securities Transaction Taxes

1993 • 92 citations

Liquidity Shocks and Equilibrium Liquidity Premia

1996 • 32 citations

Equilibrium interest rate and liquidity premium under proportional transactions costs

2010 • 13 citations

Transaction Costs and Liquidity: An Empirical Investigation

1997 • 4 citations

Editorial data

1991 • 1 citations