-
1
-
-
44949278227
-
Asset returns with transaction costs and uninsured individual risk: A stage III exercise
-
Aiyagari R., Gertler M. Asset returns with transaction costs and uninsured individual risk: a stage III exercise. Journal of Monetary Economics. 27:1991;309-331.
-
(1991)
Journal of Monetary Economics
, vol.27
, pp. 309-331
-
-
Aiyagari, R.1
Gertler, M.2
-
4
-
-
0040833102
-
Transaction costs and holding periods for common stocks
-
Atkins A.B., Dyl E. Transaction costs and holding periods for common stocks. Journal of Finance. 52:1997;309-325.
-
(1997)
Journal of Finance
, vol.52
, pp. 309-325
-
-
Atkins, A.B.1
Dyl, E.2
-
5
-
-
85040391949
-
Market structure and reported trading volume: NASDAQ versus NYSE
-
Atkins A.B., Dyl E. Market structure and reported trading volume: NASDAQ versus NYSE. Journal of Financial Research. 20:1997;291-304.
-
(1997)
Journal of Financial Research
, vol.20
, pp. 291-304
-
-
Atkins, A.B.1
Dyl, E.2
-
6
-
-
0010023511
-
The relationship between return and market value of common stock
-
Banz R.W. The relationship between return and market value of common stock. Journal of Financial Economics. 9:1981;3-18.
-
(1981)
Journal of Financial Economics
, vol.9
, pp. 3-18
-
-
Banz, R.W.1
-
7
-
-
0002858629
-
Corporate payout policy: Cash dividends versus open market repurchases
-
Barclay M.J., Smith C.W. Corporate payout policy: cash dividends versus open market repurchases. Journal of Financial Economics. 22:1988;61-82.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 61-82
-
-
Barclay, M.J.1
Smith, C.W.2
-
8
-
-
0001168032
-
Determinants of bid-ask spreads in the over-the-counter market
-
Bensten G., Haggerman R. Determinants of bid-ask spreads in the over-the-counter market. Journal of Financial Economics. 1:1974;353-364.
-
(1974)
Journal of Financial Economics
, vol.1
, pp. 353-364
-
-
Bensten, G.1
Haggerman, R.2
-
9
-
-
0029704940
-
An empirical examination of information, differences of opinion, and trading activity
-
Bessembinder H., Chan K., Seguin P. An empirical examination of information, differences of opinion, and trading activity. Journal of Financial Economics. 40:1996;105-134.
-
(1996)
Journal of Financial Economics
, vol.40
, pp. 105-134
-
-
Bessembinder, H.1
Chan, K.2
Seguin, P.3
-
10
-
-
84977715787
-
The January anomaly: Effects of low share price, transaction costs, and bid-ask bias
-
Bhardwaj R.K., Brooks L.D. The January anomaly: effects of low share price, transaction costs, and bid-ask bias. Journal of Finance. 47:1992;553-575.
-
(1992)
Journal of Finance
, vol.47
, pp. 553-575
-
-
Bhardwaj, R.K.1
Brooks, L.D.2
-
11
-
-
0003756441
-
-
Unpublished working paper. University of Pennsylvania, Philadelphia, PA.
-
Blume, M.E., Goldstein, M.A., 1992. Displayed and effective spreads by market. Unpublished working paper. University of Pennsylvania, Philadelphia, PA.
-
(1992)
Displayed and Effective Spreads by Market.
-
-
Blume, M.E.1
Goldstein, M.A.2
-
12
-
-
84972296818
-
The optimal number of securities in a risky asset portfolio when there are fixed costs of transacting: Theory and some empirical results
-
Brennan M.J. The optimal number of securities in a risky asset portfolio when there are fixed costs of transacting: theory and some empirical results. Journal of Financial and Quantitative Analysis. 10:1975;483-496.
-
(1975)
Journal of Financial and Quantitative Analysis
, vol.10
, pp. 483-496
-
-
Brennan, M.J.1
-
13
-
-
0037798131
-
-
Unpublished working paper. University of Chicago, Chicago, IL.
-
Chen, N., Kan, R., 1989. Expected returns and the bid-ask spread. Unpublished working paper. University of Chicago, Chicago, IL.
-
(1989)
Expected Returns and the Bid-ask Spread.
-
-
Chen, N.1
Kan, R.2
-
14
-
-
84993660576
-
Seasonalities in NYSE bid-ask spreads and stock returns in January
-
Clark R.A., McConnell J.J., Singh M. Seasonalities in NYSE bid-ask spreads and stock returns in January. Journal of Finance. 47:1992;1999-2014.
-
(1992)
Journal of Finance
, vol.47
, pp. 1999-2014
-
-
Clark, R.A.1
McConnell, J.J.2
Singh, M.3
-
15
-
-
0000864173
-
Friction in trading process and the estimation of systematic risk
-
Cohen K.J., Hawawini G.A., Maier S.F., Schwartz R.A., Whitcomb D.K. Friction in trading process and the estimation of systematic risk. Journal of Financial Economics. 12:1983;263-278.
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 263-278
-
-
Cohen, K.J.1
Hawawini, G.A.2
Maier, S.F.3
Schwartz, R.A.4
Whitcomb, D.K.5
-
16
-
-
84936823769
-
Capital market equilibrium with transaction costs
-
Constantinides G. Capital market equilibrium with transaction costs. Journal of Political Economy. 94:1986;842-862.
-
(1986)
Journal of Political Economy
, vol.94
, pp. 842-862
-
-
Constantinides, G.1
-
19
-
-
84993917413
-
Corporate events, trading activity and the estimation of systematic risk: Evidence from equity offerings and share repurchases
-
Denis D., Kadlec G. Corporate events, trading activity and the estimation of systematic risk: evidence from equity offerings and share repurchases. Journal of Finance. 49:1994;1787-1811.
-
(1994)
Journal of Finance
, vol.49
, pp. 1787-1811
-
-
Denis, D.1
Kadlec, G.2
-
20
-
-
33749638253
-
Risk measurement when shares are subject to infrequent trading
-
Dimson E. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics. 7:1979;197-226.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 197-226
-
-
Dimson, E.1
-
21
-
-
0011572323
-
The seasonal behavior of the liquidity premium in asset pricing
-
Eleswarapu V., Reinganum M. The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics. 34:1993;373-386.
-
(1993)
Journal of Financial Economics
, vol.34
, pp. 373-386
-
-
Eleswarapu, V.1
Reinganum, M.2
-
22
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama E.F., French K.R. The cross-section of expected stock returns. Journal of Finance. 47:1992;427-465.
-
(1992)
Journal of Finance
, vol.47
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
23
-
-
0000928969
-
Risk, return and equilibrium: Empirical tests
-
Fama E.F., MacBeth J. Risk, return and equilibrium: empirical tests. Journal of Political Economy. 81:1973;607-636.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.F.1
MacBeth, J.2
-
24
-
-
0042334065
-
Risk measurement when shares are subject to infrequent trading: Comment
-
Fowler D.J., Rorke C.H. Risk measurement when shares are subject to infrequent trading: comment. Journal of Financial Economics. 12:1983;279-283.
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 279-283
-
-
Fowler, D.J.1
Rorke, C.H.2
-
25
-
-
0000836177
-
Estimation of the bid-ask spread and its components: A new approach
-
George T., Kaul G., Nimalendran M. Estimation of the bid-ask spread and its components: a new approach. Review of Financial Studies. 4:1991;623-656.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 623-656
-
-
George, T.1
Kaul, G.2
Nimalendran, M.3
-
26
-
-
38249030378
-
Estimating the components of the bid-ask spread
-
Glosten L., Harris L. Estimating the components of the bid-ask spread. Journal of Financial Economics. 21:1988;123-142.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, L.2
-
27
-
-
0345401653
-
Bid, ask and transaction prices in a specialists market with heterogeneously informed traders
-
Glosten L., Milgrom P. Bid, ask and transaction prices in a specialists market with heterogeneously informed traders. Journal of Financial Economics. 14:1985;71-100.
-
(1985)
Journal of Financial Economics
, vol.14
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
28
-
-
0009395959
-
Transaction costs and the theory of portfolio selection
-
Goldsmith D. Transaction costs and the theory of portfolio selection. Journal of Finance. 31:1976;1127-1139.
-
(1976)
Journal of Finance
, vol.31
, pp. 1127-1139
-
-
Goldsmith, D.1
-
29
-
-
0002789795
-
The relation between the return interval and betas: Implications for the size effect
-
Handa P., Kothari S.P., Wasley C.E. The relation between the return interval and betas: implications for the size effect. Journal of Financial Economics. 23:1989;79-100.
-
(1989)
Journal of Financial Economics
, vol.23
, pp. 79-100
-
-
Handa, P.1
Kothari, S.P.2
Wasley, C.E.3
-
31
-
-
0000731575
-
Trades, quotes, inventories, and information
-
Hasbrouck J. Trades, quotes, inventories, and information. Journal of Financial Economics. 22:1988;229-252.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 229-252
-
-
Hasbrouck, J.1
-
32
-
-
0001913087
-
Optimal dealer pricing under transaction cost and return uncertainty
-
Ho T., Stoll H. Optimal dealer pricing under transaction cost and return uncertainty. Journal of Financial Economics. 9:1981;47-73.
-
(1981)
Journal of Financial Economics
, vol.9
, pp. 47-73
-
-
Ho, T.1
Stoll, H.2
-
34
-
-
0010962742
-
The conditional CAPM and the cross-section of expected returns
-
Jagannathan R., Wang Z. The conditional CAPM and the cross-section of expected returns. Journal of Finance. 51:1996;3-53.
-
(1996)
Journal of Finance
, vol.51
, pp. 3-53
-
-
Jagannathan, R.1
Wang, Z.2
-
35
-
-
0000201678
-
A theory of trading volume
-
Karpoff J. A theory of trading volume. Journal of Finance. 41:1986;1069-1087.
-
(1986)
Journal of Finance
, vol.41
, pp. 1069-1087
-
-
Karpoff, J.1
-
36
-
-
1342343771
-
Trading patterns, bid-ask spreads and estimated security returns: The case of common stocks at calendar turning points
-
Keim D. Trading patterns, bid-ask spreads and estimated security returns: the case of common stocks at calendar turning points. Journal of Financial Economics. 25:1989;75-97.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 75-97
-
-
Keim, D.1
-
37
-
-
84993888629
-
Another look at the cross-section of expected stock returns
-
Kothari S.P., Shanken J., Sloan R.G. Another look at the cross-section of expected stock returns. Journal of Finance. 50:1995;185-224.
-
(1995)
Journal of Finance
, vol.50
, pp. 185-224
-
-
Kothari, S.P.1
Shanken, J.2
Sloan, R.G.3
-
38
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle A. Continuous auctions and insider trading. Econometrica. 53:1985;1315-1335.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
39
-
-
84993894904
-
Market integration and price execution for NYSE-listed securities
-
Lee C. Market integration and price execution for NYSE-listed securities. Journal of Finance. 48:1993;1009-1038.
-
(1993)
Journal of Finance
, vol.48
, pp. 1009-1038
-
-
Lee, C.1
-
40
-
-
3843112765
-
Spreads, depths, and the impact of earnings information: An intra day analysis
-
Lee C., Mucklow B., Ready M. Spreads, depths, and the impact of earnings information: an intra day analysis. Review of Financial Studies. 6:1993;345-374.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 345-374
-
-
Lee, C.1
Mucklow, B.2
Ready, M.3
-
41
-
-
84977730741
-
Inferring trade direction from intra day data
-
Lee C., Ready M. Inferring trade direction from intra day data. Journal of Finance. 46:1991;733-746.
-
(1991)
Journal of Finance
, vol.46
, pp. 733-746
-
-
Lee, C.1
Ready, M.2
-
42
-
-
84911608997
-
Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio
-
Levy H. Equilibrium in an imperfect market: a constraint on the number of securities in the portfolio. American Economic Review. 68:1978;643-658.
-
(1978)
American Economic Review
, vol.68
, pp. 643-658
-
-
Levy, H.1
-
43
-
-
84977406191
-
Transaction costs and the pricing of assets
-
Mayshar H.J. Transaction costs and the pricing of assets. Journal of Finance. 36:1981;583-597.
-
(1981)
Journal of Finance
, vol.36
, pp. 583-597
-
-
Mayshar, H.J.1
-
45
-
-
0345973492
-
Posted versus effective spreads: Good prices or bad quotes
-
Petersen M., Fialkowski D. Posted versus effective spreads: good prices or bad quotes. Journal of Financial Economics. 35:1994;269-292.
-
(1994)
Journal of Financial Economics
, vol.35
, pp. 269-292
-
-
Petersen, M.1
Fialkowski, D.2
-
46
-
-
34248494199
-
Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values
-
Reinganum M.R. Misspecification of capital asset pricing: empirical anomalies based on earnings yields and market values. Journal of Financial Economics. 9:1981;19-46.
-
(1981)
Journal of Financial Economics
, vol.9
, pp. 19-46
-
-
Reinganum, M.R.1
-
47
-
-
84977714155
-
Industrial structure and the comparative behavior of international stock market indices
-
Roll R. Industrial structure and the comparative behavior of international stock market indices. Journal of Finance. 47:1992;3-41.
-
(1992)
Journal of Finance
, vol.47
, pp. 3-41
-
-
Roll, R.1
-
50
-
-
84977734744
-
Inferring the components of the bid-ask spread
-
Stoll H. Inferring the components of the bid-ask spread. Journal of Finance. 44:1989;115-134.
-
(1989)
Journal of Finance
, vol.44
, pp. 115-134
-
-
Stoll, H.1
-
52
-
-
0039059043
-
-
Unpublished working paper. Stanford University, Stanford, CA.
-
Vayanos, D., Vila, J., 1995. Equilibrium interest rate and liquidity premium under proportional transaction costs. Unpublished working paper. Stanford University, Stanford, CA.
-
(1995)
Equilibrium Interest Rate and Liquidity Premium under Proportional Transaction Costs.
-
-
Vayanos, D.1
Vila, J.2
|