Theory-Based Illiquidity and Asset Pricing

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The Capital Asset Pricing Model (CAPM): The History of a Failed Revolutionary Idea in Finance? (2013, unknown): “More recently, studies have begun to identify cross-sectional predictability with frictions due to the cognitive limitations of investors (e.g., Cohen and Frazzini, 2008; Chordia et al., 2009).”
Liquidity Shocks and Stock Market Reactions (2014, methodology): “While Chordia, Subrahmanyam, and Anshuman (2001) and Pereira and Zhang (2010) find a negative relation between the volatility of liquidity and the 5The Amihud’s measure of stock level illiquidity has been used by Acharya and Pedersen (2005) and Chordia, Huh, and Subrahmanyam (2009), among others.”
Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011, unknown): “Nevertheless, as Chordia et al. (2009) and O' Hara and Ye (2009) note, the introduction of electronic markets has allowed institutional investors to break up large orders and execute them in smaller increments but at a higher frequency in the very recent years.”