The DOI matches its Crossref record; 44 of the 44 references it cites were found in a registry or an index.
A liquidity-augmented capital asset pricing model
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Citations
Cites
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
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
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
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Does the Stock Market Overreact?
De BONDT, W. F. M., & THALER, R. (1985) · The Journal of Finance · doi:10.1111/j.1540-6261.1985.tb05004.x · Cited by 7,578
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
Multifactor Explanations of Asset Pricing Anomalies
FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
A Simple Model of Capital Market Equilibrium with Incomplete Information
MERTON, R. C. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb04565.x · Cited by 5,811
Cited by
… 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
Hou, K., Xue, C., & Zhang, L. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhy131 · Cited by 989
Understanding commonality in liquidity around the world
Karolyi, G. A., Lee, K.-H., & van Dijk, M. A. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.12.008 · Cited by 720
Taming the Factor Zoo: A Test of New Factors
FENG, G., GIGLIO, S., & XIU, D. (2020) · The Journal of Finance · doi:10.1111/jofi.12883 · Cited by 707
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
Green, J., Hand, J. R. M., & Zhang, X. F. (2017) · The Review of Financial Studies · doi:10.1093/rfs/hhx019 · Cited by 675
Metadata
- Authors
- Liu, W.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2006-12
- Volume
- 82
- Issue
- 3
- Pages
- 631-671
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2025710885
- Cited by
- 887
- References
- 44
- FWCI
- 38.03
- Type
- journal article
- Language
- en
- Open access
- closed
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- Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2005.10.001
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
