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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

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

1985 • 6,148 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 5,293 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Stock prices and top management changes

1988 • 1,665 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

Special Information and Insider Trading

1974 • 1,307 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 1,002 citations

On corporate governance

1983 • 993 citations

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

1989 • 951 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

An Empirical Analysis of Illegal Insider Trading

1992 • 813 citations

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

1994 • 659 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

Differential information and the small firm effect

1984 • 543 citations

Corporate payout policy

1988 • 441 citations

The Economics of Liquidity Services

1972 • 440 citations

Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy

1996 • 432 citations

Limit Order Trading

1996 • 410 citations

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

1981 • 394 citations

A Specialist's Quoted Depth and the Limit Order Book

1999 • 293 citations

Limit orders and the bid–ask spread

1999 • 254 citations

Information Asymmetry and the Dealer's Bid‐Ask Spread: A Case Study of Earnings and Dividend Announcements

1986 • 237 citations

Giraffes, Institutions and Neglected Firms

1983 • 236 citations

Insider Holdings and Perceptions of Information Asymmetry: A Note

1988 • 209 citations

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

1972 • 189 citations

THE NEGLECTED AND SMALL FIRM EFFECTS

1982 • 177 citations

New York Stock Exchange Systems and Trading Procedures

1996 • 129 citations

MARKETPLACE ORGANIZATION AND MARKETABILITY: NASDAQ, THE STOCK EXCHANGE, AND THE NATIONAL MARKET SYSTEM

1978 • 94 citations

Generic stocks

1985 • 74 citations

Competition, Scale Economies, and Transaction Cost in the Stock Market

1976 • 64 citations