Size matters, if you control your junk

Author:

Asness Clifford,Frazzini Andrea,Israel Ronen,Moskowitz Tobias J.,Pedersen Lasse H.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference86 articles.

1. Asset pricing with liquidity risk;Acharya;J. Financ. Econ.,2005

2. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy;Altman;J. Finance,1968

3. Illiquidity and stock returns: cross-section and time series effects;Amihud;J. Financ. Mark.,2002

4. The Pricing of the Illiquidity Factor's Systematic Risk;Amihud,2014

5. Asset pricing and the bid-ask spread;Amihud;J. Financ. Econ.,1986

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