Publications
6 shownLiquidity, Asset Prices and Financial Policy
(1991). Liquidity, Asset Prices and Financial Policy. Financial Analysts Journal: Vol. 47, No. 6, pp. 56-66.
Liquidity and the 1987 stock market crash
T he Crash of October 1987 was a puzzling event puzzling not only for what happened on October 19, but also for what subsequently did not happen. In spite of the magnitude and m...
The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the pu...
Frequent Co-Authors
Researcher Info
- h-index
- 6
- Publications
- 6
- Citations
- 6,988
- Institution
- University of Rochester
External Links
Identifiers
- ORCID
- 0000-0003-0431-6072
Impact Metrics
h-index
6
h-index: Number of publications with at least h citations each.