Presidential Address: Liquidity and Price Discovery

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A liquidity-augmented capital asset pricing model (2006, background): “This is in line with O’Hara (2003), who argues that transactions costs of liquidity and risks of price discovery need to be incorporated into asset pricing models.”
Financial reporting quality and idiosyncratic return volatility (2011, background): “Following Kothari (2000) and O’Hara (2003) we identify deteriorating financial reporting quality as another explanation for the upward trend in idiosyncratic volatility.3 3 Morck, Yeung and Yu (2000) and Jin and Myers (2006) document a cross-sectional association between lower stock market…”
Exit as Governance: An Empirical Analysis (2010, neutral): “The key feature of stock markets that cause prices to impound information in the first place is liquidity: liquid markets encourage traders to collect information and trade on it, a process that ultimately improves the information content of the prices themselves (O’Hara 2003).”