Algorithmic Trading Efficiency and its Impact on Market-Quality

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 14.9K citations

Empirical Finance, Investment Strategy, Economics +12

PORTFOLIO SELECTION*

Harry M. Markowitz · The Journal of Finance · 1952 · 5.1K citations

The determinants and implications of corporate cash holdings

Tim C. Opler · Journal of Financial Economics · 1999 · 3.8K citations

Business, Corporate Cash Holdings, Finance +2

The Extreme Value Method for Estimating the Variance of the Rate of Return

Michael Parkinson · The Journal of Business · 1980 · 1.9K citations

Engineering, Rare Event Estimation, Extreme Value Method +18

Commonality in liquidity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2000 · 1.7K citations

Liquidity Risk, Economics, Liquidity +2