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Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication

Larry Harris, Andrea Amato

Critical Finance Review, 2019. DOI 10.1561/104.00000058

Has this study been replicated?

This paper is itself a replication attempt. The study it set out to replicate is listed below.

Study replicated

• Illiquidity and stock returns: cross-section and time-series effects, Amihud (2002). Journal of Financial Markets. View paper

Cite this record

Harris, L., & Amato, A. (2019). Illiquidity and Stock Returns: Cross-Sectionand Time-Series Effects: A Replication. Critical Finance Review, 8(1–2), 173–202. https://doi.org/10.1561/104.00000058

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