Market microstructure and asset pricing

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

The Cost of Transacting

1968 • 1,909 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Liquidity and Market Structure

1988 • 1,528 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

Dealership market

1980 • 998 citations

The Only Game in Town

1971 • 899 citations

THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

1978 • 648 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

1984 • 615 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

Insider Trading, Liquidity, and the Role of the Monopolist Specialist

1989 • 550 citations

Market microstructure

1976 • 533 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

The Economics of Liquidity Services

1972 • 440 citations

Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

1981 • 394 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

The Supply of Dealer Services in Securities Markets

1978 • 261 citations

Liquidity, exchange listing, and common stock performance

1985 • 213 citations

Liquidity and Market Structure

1988 • 193 citations

Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market

1972 • 189 citations

BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD

1977 • 172 citations

Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator

1990 • 152 citations

The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 128 citations

The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks

1978 • 113 citations

Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices

1987 • 81 citations

THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS

1978 • 80 citations

Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator

1990 • 80 citations

Which Road to an Efficient Stock Market: Free Competition or Regulated Monopoly?

1971 • 73 citations

Dealer Inventory Behavior: An Empirical Investigation of Nasdaq Stocks

1976 • 69 citations

Performance Evaluation of New York Stock Exchange Specialists

1974 • 64 citations

Explaining the NYSE Listing Choices of NASDAQ Firms

1992 • 48 citations

The Effect of Risk on the Market Maker’s Spread

1975 • 45 citations

Bid-Asked Spreads on the AMEX and the Big Board

1977 • 33 citations

The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets

1978 • 25 citations

The First shall be Last

1979 • 24 citations

Competition and the cost of liquidity to investors

1985 • 20 citations

The impact of designated market makers on security prices

1977 • 19 citations

Firms' fiscal years, size and industry

1989 • 18 citations

Market information and price dispersion: Unlisted stocks and NASDAQ

1987 • 11 citations

Is illiquidity a bar to buying small cap stocks?

1983 • 8 citations