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Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken…
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