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

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Introduction to the Theory and Practice of Econometrics

1989 • 2,349 citations

Introduction to the Theory and Practice of Econometrics.

1983 • 511 citations

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

1989 • 483 citations

Liquidity and Asset Prices: Financial Management Implications

1988 • 361 citations

The money market

1983 • 163 citations

Price Dispersion in the Government Securities Market

1976 • 113 citations

Arbitrage With Holding Costs: A Utility‐Based Approach

1992 • 92 citations

The Determinants of the Difference Between Bid and Ask Prices on Government Bonds

1971 • 27 citations