Pricing the commonality across alternative measures of liquidity
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference40 articles.
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4. Liquidity externalities and adverse selection: evidence from trading after hours;Barclay;Journal of Finance,2004
5. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns;Brennan;Journal of Financial Economics,1996
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