SSRN Electronic Journal · 2006 · 83 citations · 46 references
Social SciencesBusiness EconomicsEconomicsAsset PricingFinancial EconomicsMicroeconomicsCapital MarketsGeneral EquilibriumMarket LiquidityMarket MicrostructureEquilibrium Asset PricingLiquidity PremiaNo-arbitrage ConditionsNo-arbitrage RelationshipsRepo Market LiquidityRepo MarketsSearch ExternalitiesSpot Market Pricing
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Asset pricing and the bid-ask spread
Yakov Amihud, Haim Mendelson · Journal of Financial Economics · 1986 · 5.3K citations
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.3K citations
On Money as a Medium of Exchange
Nobuhiro Kiyotaki, Randall Wright · Journal of Political Economy · 1989 · 1.4K citations
Capital Market Equilibrium with Transaction Costs
George M. Constantinides · Journal of Political Economy · 1986 · 1.2K citations