The informational role of prices

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

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

1985 • 6,148 citations

The equity premium: A puzzle

1985 • 5,686 citations

On the Impossibility of Informationally Efficient Markets

1980 • 4,825 citations

On the impossibility of informationally efficient markets

1980 • 3,972 citations

Takeover Bids, The Free-Rider Problem, and the Theory of the Corporation

1980 • 3,168 citations

The Informational Role of Warranties and Private Disclosure about Product Quality

1981 • 2,457 citations

Stock return variances

1986 • 1,878 citations

Constraints on short-selling and asset price adjustment to private information

1987 • 1,865 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION

1976 • 1,388 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

On the aggregation of information in competitive markets

1980 • 1,192 citations

Dealership market

1980 • 998 citations

Informed Speculation with Imperfect Competition

1989 • 956 citations

The Only Game in Town

1971 • 899 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

Multimarket Trading and Market Liquidity

1991 • 634 citations

Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets

1988 • 608 citations

Market Liquidity, Hedging, and Crashes

1990 • 595 citations

Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models

1982 • 583 citations

A Theory of Trading in Stock Index Futures

1991 • 579 citations

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

1989 • 550 citations

Market microstructure

1976 • 533 citations

On Technical Analysis

1989 • 533 citations

Learning, estimation, and the stability of rational expectations

1982 • 511 citations

Insider Trading and the Efficiency of Stock Prices

1992 • 459 citations

Trade and the Revelation of Information through Prices and Direct Disclosure

1989 • 448 citations

An Introduction to the Theory of Rational Expectations Under Asymmetric Information

1981 • 434 citations

Information Effects on the Bid-Ask Spread

1983 • 381 citations

Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information

1989 • 363 citations

Risk Aversion, Market Liquidity, and Price Efficiency

1991 • 337 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities

1977 • 326 citations

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

1989 • 309 citations

Insiders, Outsiders, and Market Breakdowns

1991 • 270 citations

Direct and Indirect Sale of Information

1990 • 260 citations

Implementation in differential information economies

1986 • 259 citations

Sunshine Trading and Financial Market Equilibrium

1991 • 259 citations

Black Monday and the future of financial markets

1989 • 255 citations

Arrow and the Ascent of Modern Economic Theory

1987 • 252 citations

On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information

1976 • 242 citations

Information Aggregation in an Experimental Market

1990 • 234 citations

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

1989 • 211 citations

Selling and Trading on Information in Financial Markets

1988 • 204 citations

Further results on the informational efficiency of competitive stock markets

1978 • 198 citations

The Informational Role of Prices.

1990 • 193 citations

Market structure, information, futures markets, and price formation.

1984 • 191 citations

Long-Lived Private Information and Imperfect Competition

1992 • 189 citations

The Microstructure of Securities Markets.

1986 • 178 citations

Rational Learning and Rational Expectations

1987 • 177 citations

The Efficient Market Hypothesis and Insider Trading on the Stock Market

1990 • 162 citations

Dual-capacity trading and the quality of the market

1990 • 159 citations

Price Competition between Market Makers

1993 • 124 citations

Public Signals and the Equilibrium Allocation of Private Information

1991 • 119 citations

Underestimation of Portfolio Insurance and the Crash of October 1987

1992 • 113 citations

Anomalies in Financial Economics: Blueprint for Change?

1986 • 107 citations

The Allocational Role of Takeover Bids in Situations of Asymmetric Information

1981 • 102 citations

Unemployment with Observable Aggregate Shocks

1983 • 67 citations

Market Power in a Securities Market with Endogenous Information

1985 • 58 citations

International agricultural trade: Advanced readings in price formation, market structure and price instability

1985 • 54 citations

Trading Costs, Liquidity, and Asset Holdings

1991 • 50 citations

Private information in large economies

1986 • 48 citations

The Allocational Role of Takeover Bids in Situations of Asymmetric Information

1981 • 27 citations

The Limits of Price Information in Market Processes.

1977 • 22 citations

Sunshine trading and financial market equilibrium

1991 • 13 citations

Insider Trading and asset Pricing in an Imperfectly Competitive Multi- Secrity Market

1989 • 12 citations

Insider Trading: Should It Be Prohibited?

1990 • 8 citations

Security Prices and Market Transparency

1991 • 7 citations

INSIDERS, OUTSIDERS AND MARKET BREAKDOWNS

1989 • 1 citations