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Illiquidity and stock returns: cross-section and time-series effects

Data up to Jan 2025

Published2002
Citations9,066
References106

Total Citations Per Year

Abstract

References (106)

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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…

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Illiquidity and stock returns: cross-section and time-series effects (2002) – Journal of Financial Markets | Metascience Observatory Explorer