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Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:9227.

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    RePEc:eee:jbfina:v:50:y:2015:i:c:p:92-105.

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  4. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). ARTIKIS, PANAGIOTIS ; Apergis, Nicholas ; Kyriazis, Dimitrios .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:42-64.

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  5. Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2015). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10497.

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  6. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets. (2015). Vilkov, Grigory ; Uppal, Raman ; Buss, Adrian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10437.

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  7. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Kallsen, Jan ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1303.3148.

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  8. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

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  9. Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry. (2013). Suardi, Sandy ; Nilsson, Birger ; Ding, Mingfa .
    In: Working Papers.
    RePEc:hhs:lunewp:2013_010.

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  10. Finance: Function Matters, Not Size. (2013). Cochrane, John.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:27:y:2013:i:2:p:29-50.

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  11. Flight to liquidity due to heterogeneity in investment horizon. (2012). Lei, Qin ; Wang, Xuewu.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

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  12. Primary market characteristics and secondary market frictions of stocks. (2012). Çolak, Gönül, ; Boehme, Rodney .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:286-327.

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  13. Liquidity problems in the FX liquid market: Ask for the BIL.. (2010). Le Fol, Gaelle ; Idier, Julien ; Borgy, Vladimir.
    In: Working papers.
    RePEc:bfr:banfra:279.

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  14. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Capponi, Agostino ; Predescu, Mirela.
    In: Papers.
    RePEc:arx:papers:1003.0889.

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  15. Illiquidity and Stock Returns. (2010). Mooradian, Robert M..
    In: Review of Applied Economics.
    RePEc:ags:reapec:143268.

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  16. Dynamic Sources of Sovereign Bond Market Liquidity. (2009). Kücük, Uğur.
    In: MPRA Paper.
    RePEc:pra:mprapa:19677.

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  17. The diminishing liquidity premium. (2008). Wohl, Avi ; Kadan, Ohad ; Ben-Rephael, Azi .
    In: CFS Working Paper Series.
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  18. MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members. (2008). Tamazian, Artur ; Chousa, Juan Pieiro ; Melikyan, Davit N..
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-916.

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  19. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

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  20. The Risk Components of Liquidity. (2008). Skjeltorp, Johannes ; Næs, Randi ; Chollete, Loran ; Nas, Randi .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_007.

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  21. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

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  22. Is There Hedge Fund Contagion?. (2008). Stulz, René ; Stahel, Christof ; Boyson, Nicole .
    In: Working Papers.
    RePEc:ecl:upafin:08-2.

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  23. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-8.

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  24. Commodity Price Exposure and Ownerhsip Clienteles. (2008). Minton, Bernadette ; Davies, Phil ; Schrand, Catherine .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-7.

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  25. Expected returns and liquidity risk: Does entrepreneurial income matter?. (2008). Saffi, Pedro.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0749.

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  26. Portfolio choice and the effects of liquidity. (2007). Gonzalez, Ana ; Rubio, Gonzalo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1035.

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  27. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12877.

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  28. Three Liquidity Crises in Retrospective: Implications for Central Banking Today. (2007). Sauer, Stephan .
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:2011.

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  29. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

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  30. Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World. (2007). van Dijk, Mathijs ; Karolyi, G. ; LEE, KUANHUI .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2007-16.

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  31. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6390.

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  32. Fire Sales, Foreign Entry and Bank Liquidity. (2007). Yorulmazer, Tanju ; Shin, Hyun Song ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6309.

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  33. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6117.

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  34. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. (2006). Beber, Alessandro ; Brandt, Michael W. ; Kavajecz, Kenneth A..
    In: NBER Working Papers.
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  35. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12360.

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  36. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12020.

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  37. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert .
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

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  38. The Nontradable Share Reform in the Chinese Stock Market. (2006). Bortolotti, Bernardo ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:fem:femwpa:2006.131.

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  39. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

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  40. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5491.

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  41. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11413.

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  42. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

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  43. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-10.

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  44. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

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  45. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10755.

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  46. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:425.

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  47. Liquidity Black Holes. (2003). Shin, Hyun Song ; Morris, Stephen.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1434.

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  48. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Nieto, Belen ; Miguel Angel A. Martinez, ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200205.

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  49. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Nieto, Belen ; Tapia, Mikel ; Rubio, Gonzalo.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb026022.

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  50. Liquidity Risk and Expected Stock Returns. (2002). Stambaugh, Robert ; Pastor, Lubos.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3494.

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