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

Michael J. Brennan, Avanidhar Subrahmanyam
SSRN Electronic Journal

Data up to Jan 2025

Published1999
Citations369
References0
Fields
EconomicsEngineeringBiologyFinancial economicsMonetary economicsEconometrics

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Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in… (1999) – SSRN Electronic Journal | Metascience Observatory Explorer