Commonality in liquidity
Top Cited Papers
- 1 April 2000
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 56 (1) , 3-28
- https://doi.org/10.1016/s0304-405x(99)00057-4
Abstract
No abstract availableKeywords
This publication has 32 references indexed in Scilit:
- Common Factors in Prices, Order Flows and LiquiditySSRN Electronic Journal, 1999
- An empirical examination of the amortized spreadJournal of Financial Economics, 1998
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 1996
- The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price EffectsThe Review of Financial Studies, 1996
- Spreads, Depths, and the Impact of Earnings Information: An Intraday AnalysisThe Review of Financial Studies, 1993
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity RiskThe Journal of Finance, 1979
- The Pricing of Security Dealer Services: An Empirical Study of Nasdaq StocksThe Journal of Finance, 1978
- Determinants of bid-asked spreads in the over-the-counter marketJournal of Financial Economics, 1974
- The Cost of TransactingThe Quarterly Journal of Economics, 1968