References
- Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77, 375–410.
- Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time series effects. Journal of Financial Markets, 5, 31–56.
- Amihud, Y., Hameed, A., Kang, W., & Zhang, H. (2015). The illiquidity premium: International evidence. Journal of Financial Economics, 117(2), 350–368.
- Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005). Liquidity and asset prices. Foundations and Trends in Finance, 1, 269–364. doi:10.1561/0500000003
- Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies, 20, 1784–1831.
- Corwan, S. A., & Schultz, L. (2012). A simple way of estimate bid-ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719–760.
- Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal Of Financial Economics, 33(1), 3–56. doi:10.1016/0304-405X(93)90023-5
- Fong, K., Holden, C. W., & Trzcinka, C. A. (2017). What are the best liquidity proxies for global research. Review of Finance, 21(4), 1355–1401.
- Goyenko, Y. G., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity? Journal of Financial Economics, 92, 163–181.
- Griffin, J. M., Kelly, P. J., & Nardari, F. (2010). Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. Review of Financial Studies, 28, 3225–3277.
- Harris, L. (1990). Statistical properties of the roll covariance bid/ask spread estimator. Journal of Finance, 45, 579–590.
- Hasbrouck, J. (2009). Trading costs and returns for U.S. equities: Estimating effective costs from daily data. The Journal of Finance, 64(3), 1445–1477.
- Ince, O. S., & Porter, R. B. (2006). Individual equity return data from Thomson DataStream: Handle with care! Journal of Financial Research, 29(4), 463–479.
- Korajczyk, R. A., & Sadka, R. (2008). Pricing the commonality across alternative measure of liquidity. Journal of Financial Economics, 87, 45–72.
- Kyle, A. P. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315–1336.
- Lee, K. (2011). The world price of liquidity risk. Journal of Financial Economics, 99, 136–161.
- Lesmond, D. A., Ogden, J. P., & Trzcinka, C. (1999). A new estimate of transaction costs. Review of Financial Studies, 12, 1113–1141.
- Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631–671.
- Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111, 642–685.
- Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39, 1127–1140.
- Rosett, N. R. (1959). A statistical model of friction in economics. Econometrica, 27, 263–267.
- Sadka, R. (2006). Momentum and post-earning-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80, 309–349.