SSRN Electronic Journal · 2011 · 93 citations · 82 references
BusinessEconomicsFinanceFinancial EconomicsInternational EconomicsInternational FinanceForeign Exchange MarketsForeign Exchange RiskLiquidityLiquidity MeasurementLiquidity RiskMarket LiquidityCarry ReturnsCurrency Carry TradeExchange Rate Risk ExposureForeign Currency Liquidity RiskForeign Exchange Market LiquidityIlliquidity PricingInternational Bond MarketsLiquidity Risk Pricing
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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
Illiquidity and stock returns: cross-section and time-series effects
Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text
Continuous Auctions and Insider Trading
Albert S. Kyle · Econometrica · 1985 · 10K citations
Business, Economics, Auction Theory +12
The arbitrage theory of capital asset pricing
Stephen A. Ross · Journal of Economic Theory · 1976 · 7.2K citations
Liquidity Risk and Expected Stock Returns
Ľuboš Pástor, Robert F. Stambaugh · Journal of Political Economy · 2003 · 5.6K citations
Business, Finance, Asset Pricing +16