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

A-Tier

Journal: Journal of Financial Economics

Year: 1996

Volume: 41

Issue: 3

Pages: 441-464

Authors (2)

Brennan, Michael J. (University of California-Los A...) Subrahmanyam, Avanidhar (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count