Market liquidity as dynamic factors

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

Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text

Business, Economics, Finance +14

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

Liquidity Risk and Expected Stock Returns

Ľuboš Pástor, Robert F. Stambaugh · Journal of Political Economy · 2003 · 5.6K citations

Business, Finance, Asset Pricing +16

Asset pricing and the bid-ask spread

Yakov Amihud, Haim Mendelson · Journal of Financial Economics · 1986 · 5.3K citations

Business, Economics, Finance +17

Forecasting Using Principal Components From a Large Number of Predictors

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 2002 · 3.1K citations

Computing, Data Science, Econometrics +12