Asset pricing with liquidity risk

Common risk factors in the returns on stocks and bonds

Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441

The Cross‐Section of Expected Stock Returns

FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261

Risk, Return, and Equilibrium: Empirical Tests

Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278

Illiquidity and stock returns: cross-section and time-series effects

Amihud, Y. (2002) · Journal of Financial Markets · doi:10.1016/s1386-4181(01)00024-6 · Cited by 9,963

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

Lintner, J. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50018-6 · Cited by 6,743

Noise Trader Risk in Financial Markets

De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990) · Journal of Political Economy · doi:10.1086/261703 · Cited by 6,234

Liquidity Risk and Expected Stock Returns

Pástor, Ľ., & Stambaugh, R. F. (2003) · Journal of Political Economy · doi:10.1086/374184 · Cited by 5,339

Asset pricing and the bid-ask spread

Amihud, Y., & Mendelson, H. (1986) · Journal of Financial Economics · doi:10.1016/0304-405x(86)90065-6 · Cited by 5,090

… and the Cross-Section of Expected Returns

Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119

Size, value, and momentum in international stock returns

Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767

Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most

LANG, M., LINS, K. V., & MAFFETT, M. (2012) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2012.00442.x · Cited by 821

Liquidity and Asset Prices

Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820

The Pre‐FOMC Announcement Drift

LUCCA, D. O., & MOENCH, E. (2015) · The Journal of Finance · doi:10.1111/jofi.12196 · Cited by 624