The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Mitchell A. Petersen · Review of Financial Studies · 2008 · 10.9K citations · Full text

Liquidity Risk and Expected Stock Returns

Ľuboš Pástor, Robert F. Stambaugh · Journal of Political Economy · 2003 · 5.5K citations

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Mitchell A. Petersen · SSRN Electronic Journal · 2006 · 2.8K citations · Full text

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Richard Roll · The Journal of Finance · 1984 · 2.8K citations

Empirical Finance, Simple Implicit Measure, Efficient Market +19

Bond Risk Premia

John H. Cochrane, Monika Piazzesi · American Economic Review · 2005 · 1.5K citations

Term Structure Model, Engineering, Financial Risk Management +16