The pricing of systematic liquidity risk: Empirical evidence from the US stock market

By Gibson R.   Mougeot N.  

Journal of Banking and Finance, Vol. 28, Iss. 1, 2004-01 ,pp. : 157-178

Elsevier

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Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market

By Marshall B.R.   Young M.  

International Review of Financial Analysis, Vol. 12, Iss. 2, 2003-06 ,pp. : 173-188

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Trading activity and stock price volatility: evidence from the London Stock Exchange

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Journal of Empirical Finance, Vol. 10, Iss. 3, 2003-05 ,pp. : 249-269

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Empirical analysis of real and financial volatilities on stock excess returns - evidence from Taiwan industrial data

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Global Finance Journal, Vol. 10, Iss. 2, 1999-09 ,pp. : 187-200

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Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon

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Journal of International Financial Markets, Institutions & Money, Vol. 13, Iss. 5, 2003-12 ,pp. : 481-502

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