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Noisy prices and the Fama–French five-factor asset pricing model in China. (2017). Lin, QI.
In: Emerging Markets Review.
RePEc:eee:ememar:v:31:y:2017:i:c:p:141-163.

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  38. Paying for Market Quality. (2005). Weaver, Daniel G. ; Tanggaard, Carsten ; Anand, Amber.
    In: Finance Research Group Working Papers.
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  39. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
    In: Staff Reports.
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  40. Liquidity, default, taxes and yields on municipal bonds. (2005). Wang, Junbo ; Zhang, Frank ; Wu, Chunchi.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-35.

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

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  42. Disclosure and liquidity. (2005). Espinosa, Monica ; Tapia, Mikel ; Trombetta, Marco.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb050202.

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  43. Hypothesis Testing in Predictive Regressions. (2004). Hurvich, Clifford ; Amihud, Yakov ; Wang, YI.
    In: Finance.
    RePEc:wpa:wuwpfi:0412022.

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  44. Predictive Regressions: A Reduced-Bias Estimation Method. (2004). Hurvich, Clifford ; Amihud, Yakov.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412008.

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  45. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
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  46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

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  47. Multi-market Trading and Arbitrage. (2004). Karolyi, G. ; Gagnon, Louis.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-9.

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  48. From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings. (2004). Harris, Jeffrey ; Panchapagesan, Venkatesh ; Angel, James J. ; Werner, Ingrid.
    In: Working Paper Series.
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  49. Asset Pricing with Liquidity Risk. (2003). Pedersen, Lasse ; Acharya, Viral.
    In: CEPR Discussion Papers.
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  50. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-27.

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