Illiquidity and stock returns: cross-section and time-series effects
Data up to Jan 2025
Total Citations Per Year
Abstract
References (106)
Common risk factors in the returns on stocks and bonds
1993 • 26,177 citations
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
1980 • 25,774 citations
On Persistence in Mutual Fund Performance
1997 • 16,085 citations
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
1987 • 15,268 citations
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
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
1985 • 6,148 citations
The relationship between return and market value of common stocks
1981 • 6,052 citations
The Cross-Section of Expected Stock Returns
1992 • 5,405 citations
Liquidity Risk and Expected Stock Returns
2003 • 5,324 citations
A Simple Model of Capital Market Equilibrium with Incomplete Information
1987 • 5,293 citations
Investor Sentiment and the Cross‐Section of Stock Returns
2006 • 5,263 citations
Asset pricing and the bid-ask spread
1986 • 5,250 citations
Expected stock returns and volatility
1987 • 4,291 citations
Business conditions and expected returns on stocks and bonds
1989 • 4,137 citations
Estimating betas from nonsynchronous data
1977 • 2,887 citations
Asset pricing with liquidity risk
2005 • 2,795 citations
The Conditional CAPM and the Cross‐Section of Expected Returns
1996 • 2,497 citations
The Relation Between Price Changes and Trading Volume: A Survey
1987 • 2,469 citations
Introduction to the Theory and Practice of Econometrics
1989 • 2,349 citations
The Economic Consequences of Increased Disclosure
1999 • 2,305 citations
Price, trade size, and information in securities markets
1987 • 2,249 citations
Differences of Opinion and the Cross Section of Stock Returns
2002 • 2,081 citations
Size-related anomalies and stock return seasonality
1983 • 1,852 citations
Information Effects on the Bid‐Ask Spread
1983 • 1,852 citations
Predicting returns in the stock and bond markets
1986 • 1,825 citations
Is Information Risk a Determinant of Asset Returns?
2002 • 1,794 citations
Measuring the Information Content of Stock Trades
1991 • 1,793 citations
Market liquidity and volume around earnings announcements
1994 • 1,792 citations
Estimating the components of the bid/ask spread
1988 • 1,681 citations
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
1996 • 1,631 citations
Differences of Opinion Make a Horse Race
1993 • 1,618 citations
Predictive regressions
1999 • 1,589 citations
Stock Returns, Expected Returns, and Real Activity
1990 • 1,453 citations
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
1978 • 1,374 citations
Misspecification of capital asset pricing
1981 • 1,344 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
A Simple Model of Capital Market Equilibrium with Incomplete Information
1987 • 1,247 citations
The Components of the Bid-Ask Spread: A General Approach
1997 • 1,198 citations
Characteristics, Covariances, and Average Returns: 1929 to 1997
2000 • 1,194 citations
Capital Market Equilibrium with Transaction Costs
1986 • 1,172 citations
Commonality in the determinants of expected stock returns
1996 • 1,069 citations
Dealership market
1980 • 998 citations
Trading activity and expected stock returns
2001 • 877 citations
Liquidity of emerging markets
2005 • 827 citations
A Critique of Size-Related Anomalies
1995 • 787 citations
The Delisting Bias in CRSP Data
1997 • 699 citations
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
1972 • 683 citations
Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes
1994 • 659 citations
THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS
1978 • 648 citations
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
1996 • 645 citations
Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange
1997 • 612 citations
Risk, Return, and Equilibrium
1971 • 576 citations
Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio
2016 • 556 citations
Differential information and the small firm effect
1984 • 543 citations
NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
1954 • 542 citations
Liquidity, Maturity, and the Yields on U.S. Treasury Securities
1991 • 520 citations
The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns
1989 • 483 citations
Transaction costs and the small firm effect
1983 • 461 citations
Measuring the Information Content of Stock Trades
1991 • 426 citations
Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?
1997 • 384 citations
Information Effects on the Bid-Ask Spread
1983 • 381 citations
Stock Returns, Expected Returns, and Real Activity
1990 • 373 citations
New evidence on the nature of size-related anomalies in stock prices
1983 • 362 citations
Differences of opinion make a horse race
1993 • 329 citations
The seasonal behavior of the liquidity premium in asset pricing
1993 • 321 citations
Is Information Risk a Determinant of Asset Returns?
2000 • 315 citations
Liquidity, Taxes, and Short-Term Treasury Yields
1994 • 301 citations
Number of Shareholders and Stock Prices: Evidence from Japan
1999 • 249 citations
Liquidity, Asset Prices and Financial Policy
1991 • 246 citations
Liquidity, Maturity, and the Yields on U.S. Treasury Securities
1991 • 245 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
Liquidity, exchange listing, and common stock performance
1985 • 213 citations
Local Return Factors and Turnover in Emerging Stock Markets
1998 • 186 citations
Risk, Return, and Equilibrium: A Revisit
1986 • 185 citations
Transactions Costs and Holding Periods for Common Stocks
1997 • 184 citations
Liquidity and stock returns
2011 • 175 citations
Market microstructure and asset pricing
1990 • 174 citations
Liquidity and the 1987 stock market crash
1990 • 166 citations
The money market
1983 • 163 citations
A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
1983 • 155 citations
Firm Size and Dividend Payouts
1997 • 144 citations
The exact moments of the least squares estimator for the autoregressive model
1978 • 140 citations
Liquidity in U.S. Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets
1999 • 133 citations
Is the ex ante risk premium always positive?
1993 • 132 citations
Short-term traders and liquidity:
1998 • 130 citations
The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
1989 • 128 citations
Price Impacts of Block Trading on the New York Stock Exchange
1972 • 121 citations
The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks
1978 • 113 citations
Market microstructure and securities values:
2001 • 98 citations
Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange
2002 • 78 citations
Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
1980 • 75 citations
Liquidity Risk and Expected Stock Returns
2001 • 71 citations
Cost of Transacting and Expected Returns in the Nasdaq Market
1997 • 71 citations
Transactions Costs and Holding Periods for Common Stocks
1997 • 54 citations
UNLISTED TRADING PRIVILEGES, LIQUIDITY, AND STOCK RETURNS
1993 • 54 citations
Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
1997 • 47 citations
Thinness in Capital Markets: The Case of the Tel Aviv Stock Exchange
1975 • 39 citations
Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
1997 • 36 citations
Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets
1999 • 24 citations
Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
1980 • 20 citations
Equilibrium in an Imperfect Market
1989 • 9 citations
Local Return Factors and Turnover in Emerging Stock Markets
2001 • 3 citations