Journal of Financial Economics · 2019 · 119 citations · 53 references
BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsFinancial MarketsCapital MarketsHigh-frequency Data AnalysisHigh-frequency Financial DataMarket MicrostructureStock MarketsTrading StrategiesCointegration In Financial MarketsHigh-frequency Asset PricingHigh-frequency EconometricsMarket Microstructure ModelsTrading Frequency
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Illiquidity and stock returns: cross-section and time-series effects
Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text
Asset pricing and the bid-ask spread
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Market Liquidity and Funding Liquidity
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