Liquidity, Taxes, and Short-Term Treasury Yields

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Liquidity and Market Structure

1988 • 1,528 citations

Dealership market

1980 • 998 citations

Multimarket Trading and Market Liquidity

1991 • 634 citations

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

1991 • 520 citations

THE TAX‐ADJUSTED YIELD CURVE

1975 • 518 citations

Announcement effects of new equity issues and the use of intraday price data

1988 • 310 citations

Bond Price Data and Bond Market Liquidity

1989 • 288 citations

Optimal bond trading with personal taxes

1984 • 284 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

BOND RETURNS, LIQUIDITY, AND MISSING DATA

1989 • 198 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 179 citations

An Operational Measure of Liquidity

2016 • 174 citations

The money market

1983 • 163 citations

Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market

1993 • 150 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

The Securities Markets

2012 • 133 citations

Price Dispersion in the Government Securities Market

1976 • 113 citations

Tests for Price Effects of New Issues of Seasoned Securities

1982 • 95 citations

The Mispricing of U.S. Treasury Bonds: A Case Study

1989 • 95 citations

Equity Markets: Structure, Trading, and Performance

1988 • 92 citations

Treasury Bill Pricing in the Spot and Futures Markets

1979 • 70 citations

Arbitrage pricing, transaction costs and taxation of capital gains

1984 • 63 citations

Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Markets

1988 • 58 citations

The Effect of Interdealer Brokerage on the Transactional Characteristics of Dealer Markets

1978 • 33 citations