Jang, J., Kang, J., & Lee, C. (2017). State-dependent variations in the expected illiquidity premium. Review of Finance, 21(6), 2277-2314.
Chen, C. C., Tai, C. L., & Cho, Y. C. (2019). Market illiquidity premium on stock returns: An empirical study of Taiwan stock markets. Asian Economic and Financial Review, 9(7), 778-788.
Ben-Rephael, A., Kadan, O., & Wohl, A. (2015). The diminishing liquidity premium. Journal of Financial and Quantitative Analysis, 50(1-2), 197-229.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.
Amihud, Y. (2014). The pricing of the illiquidity factor's systematic risk. Available at SSRN 2411856.
Amihud, Y., & Noh, J. (2021). Illiquidity and stock returns II: Cross-section and time-series effects. The Review of Financial Studies, 34(4), 2101-2123.