Illiquidity and stock returns: cross-section and time-series effects

Author:

Amihud Yakov

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference66 articles.

1. Dealership market;Amihud;Journal of Financial Economics,1980

2. Asset pricing and the bid–ask spread;Amihud;Journal of Financial Economics,1986

3. The effects of beta, bid–ask spread, residual risk and size on stock returns;Amihud;Journal of Finance,1989

4. Liquidity and the 1987 stock market crash;Amihud;Journal of Portfolio Management,1990

5. Liquidity, maturity and the yields on U.S. government securities;Amihud;Journal of Finance,1991

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