6Amihud, Y., and H. Mendelson, Asset pricing and the bid-ask spread, Journal of Financial Economics, 1986.17:223-249
7Amihud, Y. Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Market, 2002.5:31-56
8Brennan, M. J., and Subrahmanyam, A. Market microstructure and asset pricing: on the compensation for iUiquidity in stock returns, Journal of Financial Economics, 1996. 41:441-464
9Brennan, M. J., Chordia T., and Subrahmanyam, A. Alternative factor specifications, security characteristics, and the cross-section of expected returns, Journal of Financial Economics, 1998. 49:345-373
10Chalmers, J. M., and Kadlec, G. B. An empirical examination of the amortized spread, Journal of Financial Economics , 1998.48:159-188
