Journal of Financial Economics · 1996 · 1.6K citations · 28 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsFinancial MarketsAsset PricesAsset Pricing EmpiricsAsset Pricing TheoryAsset Return ModelingCapital MarketsMarket MicrostructureAsset Pricing DynamicsEquilibrium Asset PricingIlliquidity PricingInvestor HeterogeneityMarket Microstructure AnalysisMarket Microstructure ModelsStock Market Returns
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 15.1K citations
Continuous Auctions and Insider Trading
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Business, Economics, Auction Theory +12
Asset pricing and the bid-ask spread
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A Theory of Intraday Patterns: Volume and Price Variability
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