Measuring the liquidity part of volume

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

Business, Economics, Finance +16

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Large Sample Properties of Generalized Method of Moments Estimators

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Natural Sciences, Mathematics, Probability Theory +15

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

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Noise Trader Risk in Financial Markets

J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers et al. · Journal of Political Economy · 1990 · 6.4K citations · Full text

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