Work

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

Year: 1996

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/0304-405x(95)00870-k

Authors: Michael J. Brennan, Avanidhar Subrahmanyam

Institutions: University of California, Los Angeles, London School of Economics and Political Science

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2129525919

FWCI: 23.14

Cites: 24

Cited by: 1,555

Related to: 10