Back to search

Is Information Risk a Determinant of Asset Returns?

Data up to Jan 2025

Published2000
Citations315
References36

Total Citations Per Year

Abstract

References (36)

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Information and the Cost of Capital

2004 • 2,906 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

Liquidity, Information, and Infrequently Traded Stocks

1996 • 1,466 citations

Market microstructure theory

1995 • 1,457 citations

Liquidity and stock returns: An alternative test

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…

1998 • 1,284 citations

Market Microstructure Theory.

1996 • 1,263 citations

Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

2018 • 1,259 citations

The effect of personal taxes and dividends on capital asset prices

1979 • 1,248 citations

Transactions, Volume, and Volatility

1994 • 888 citations

A Critique of Size-Related Anomalies

1995 • 787 citations

A Model of Intertemporal Asset Prices Under Asymmetric Information

1993 • 758 citations

Dividends and Taxes: Some Empirical Evidence

1982 • 684 citations

One Day in the Life of a Very Common Stock

1997 • 683 citations

Information and the Cost of Capital

2002 • 644 citations

Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange

1997 • 612 citations

Cream‐Skimming or Profit‐Sharing? The Curious Role of Purchased Order Flow

1996 • 507 citations

The Accuracy of Trade Classification Rules: Evidence from Nasdaq

2000 • 498 citations

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

1989 • 483 citations

Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?

1997 • 384 citations

The information content of the trading process

1997 • 379 citations

Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns

1999 • 369 citations

Financial analysts and information-based trade

1998 • 338 citations

The seasonal behavior of the liquidity premium in asset pricing

1993 • 321 citations

Cost of Transacting and Expected Returns in the Nasdaq Market

1997 • 228 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

A Critique of Size Related Anomalies

1998 • 100 citations

Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange*

2012 • 87 citations

Transactions, Volume and Volatility

2000 • 84 citations

Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?

1997 • 38 citations

Cited By (0)

Loading...
Is Information Risk a Determinant of Asset Returns? (2000) – SSRN Electronic Journal | Metascience Observatory Explorer