Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

Journal of Financial Economics

Volumn 41, Issue 3, 1996, Pages 441-464

  Brennan, Michael J ^a,b   Subrahmanyam, Avanidhar ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Asset pricing; Market microstructure

Indexed keywords

EID: 0030191751     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(95)00870-K     Document Type: Article

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