Liquidity Risk and Expected Stock Returns

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 1,843 citations

Commonality in liquidity

2000 • 1,683 citations

Market Liquidity and Trading Activity

2001 • 1,446 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

A Model of Competitive Stock Trading Volume

1994 • 969 citations

Trading activity and expected stock returns

2001 • 877 citations

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

1996 • 683 citations

A Century of Stock Market Liquidity and Trading Costs

2002 • 501 citations

Transaction Costs and Asset Prices: A Dynamic Equilibrium model

1998 • 472 citations

Measuring the Information Content of Stock Trades

1991 • 426 citations

Potential performance and tests of portfolio efficiency

1982 • 274 citations

OrderImbalance, Liquidity and Market Returns

2001 • 253 citations

Liquidity shocks and equilibrium liquidity premia

2003 • 212 citations

Liquidity and the 1987 stock market crash

1990 • 166 citations

The Relation Between Mean-Variance Efficiency and Arbitrage Pricing

1987 • 161 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 155 citations

Illiquidity and Stock Returns:Cross-Section and Time-Series Effects

2012 • 103 citations

LAPM: A Liquidity-based Asset Pricing Model

2000 • 81 citations

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

1997 • 72 citations

Mimicking Portfolios and Exact Arbitrage Pricing

1987 • 67 citations

Endogenous Liquidity in Asset Markets

2002 • 61 citations

Some Tests of Linear Asset Pricing with Multivariate Normality

1985 • 53 citations

Dynamic Volume-Return Relation of Individual Stocks

2001 • 41 citations