1. below which ,99.9% of trades are executed from 2004 to 2010 for a) bonds with remaining time to maturity below or equal to 10 years (S for short term) and b) bonds with remaining time to maturity above 10 years (L for long term);This table reports the maximum tradable bid-ask spreads in basis points (bps),2004
2. Asset Pricing with Liquidity Risk;V V Acharya;Journal of Financial Economics,2005
3. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects;Y Amihud;Journal of Financial Markets,2002
4. Asset Pricing and the Bid-Ask Spread;Y Amihud;Journal of Financial Economics,1986