References
- Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. https://doi.org/10.1016/S1386-4181(01)00024-6
- Amihud, Y. (2019). Illiquidity and stock returns: A revisit. Critical Finance Review, 8(1–2), 203–221. https://doi.org/10.1561/104.00000073
- Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. https://doi.org/10.1016/0304-405X(86)90065-6
- Amihud, Y., Mendelson, H., & Wood, R. (1990). Liquidity and the 1987 stock market crash. Journal of Portfolio Management, 16(3), 65–69. https://doi.org/10.3905/jpm.1990.409268
- Andersen, T., Bollerslev, T., Diebold, F., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61(1), 43–76. https://doi.org/10.1016/S0304-405X(01)00055-1
- Brennan, M., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441–464. https://doi.org/10.1016/0304-405X(95)00870-K
- Chan, C. C., & Fong, W. M. (2006). Realized volatility and transactions. Journal of Banking and Finance, 30(7), 2063–2085. https://doi.org/10.1016/j.jbankfin.2005.05.021
- Drienko, J., Smith, T., & von Reibnitz, A. (2019). A review of the return—Illiquidity relationship. Critical Finance Review, 8(1–2), 127–171. https://doi.org/10.1561/104.00000052
- Florackis, C., Gregoriou, A., & Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking and Finance, 35(12), 3335–3350. https://doi.org/10.1016/j.jbankfin.2011.05.014
- Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631–671. https://doi.org/10.1016/j.jfineco.2005.10.001
- Lou, X., & Sadka, R. (2011). Liquidity level or liquidity risk? Evidence from the financial Crisis. Financial Analysts Journal, 67(3), 51–62. https://doi.org/10.2469/faj.v67.n3.5
- Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685. https://doi.org/10.1086/374184
- Sadka, R. (2006). Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80(2), 309–349.