Short-term traders and liquidity:

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

1986 • 1,047 citations

Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange

1997 • 612 citations

When financial markets work too well: A cautious case for a securities transactions tax

1989 • 439 citations

Using tax policy to curb speculative short-term trading

1989 • 427 citations

The Price Effect of Option Introduction

1989 • 337 citations

Discounts on Restricted Stock: The Impact of Illiquidity on Stock Prices

1991 • 319 citations

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

1986 • 303 citations

Option listing and stock returns

1990 • 218 citations

Market microstructure and asset pricing

1990 • 174 citations

The Price Effect of Option Introduction

1989 • 75 citations

Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange

1996 • 1 citations