Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

Liquidity, Information, and Infrequently Traded Stocks

1996 • 1,466 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 citations

Stock Prices and Volume

1992 • 1,388 citations

Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

1994 • 1,334 citations

Commonality in the determinants of expected stock returns

1996 • 1,069 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

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

1989 • 483 citations

Dividend yields are equity risk premiums

1984 • 388 citations

The seasonal behavior of the liquidity premium in asset pricing

1993 • 321 citations

Posted versus effective spreads

1994 • 285 citations

The Dependence of Prices and Volume

1978 • 182 citations

Trading cost premiums in capital asset returns—a closed form solution

1994 • 14 citations

The Japanese Stock Market: Pricing Systems and Accounting Information.

1989 • 13 citations