Microstructure and asset pricing

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

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Continuous Auctions and Insider Trading

1985 • 9,651 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

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

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A Simple Model of Capital Market Equilibrium with Incomplete Information

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Asset pricing and the bid-ask spread

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ARCH modeling in finance

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On the impossibility of informationally efficient markets

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

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Price, trade size, and information in securities markets

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Stock return variances

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Is Information Risk a Determinant of Asset Returns?

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Measuring the Information Content of Stock Trades

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When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Commonality in liquidity

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Estimating the components of the bid/ask spread

1988 • 1,681 citations

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

1996 • 1,631 citations

Trading Volume and Serial Correlation in Stock Returns

1993 • 1,580 citations

Price Momentum and Trading Volume

2000 • 1,512 citations

Liquidity, Information, and Infrequently Traded Stocks

1996 • 1,466 citations

Market microstructure theory

1995 • 1,457 citations

Stock Prices and Volume

1992 • 1,388 citations

Liquidity and stock returns: An alternative test

1998 • 1,341 citations

International Portfolio Investment Flows

1997 • 1,285 citations

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC…

1998 • 1,284 citations

Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

2018 • 1,259 citations

The Components of the Bid-Ask Spread: A General Approach

1997 • 1,198 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Time and the Process of Security Price Adjustment

1992 • 1,163 citations

Common factors in prices, order flows, and liquidity

2001 • 1,119 citations

The Microstructure Approach to Exchange Rates

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Market Statistics and Technical Analysis: The Role of Volume

1994 • 1,063 citations

Market microstructure: A survey

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Marginal Stockholder Tax Rates and the Clientele Effect

1970 • 922 citations

Transactions, Volume, and Volatility

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1998 • 886 citations

Trading activity and expected stock returns

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Liquidity Risk and Expected Stock Returns

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The Econometrics of Ultra-high-frequency Data

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A Critique of Size-Related Anomalies

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A Model of Intertemporal Asset Prices Under Asymmetric Information

1993 • 758 citations

Dynamic Volume-Return Relation of Individual Stocks

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One Day in the Life of a Very Common Stock

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Evaluating the effects of incomplete markets on risk sharing nad asset pricing

2010 • 666 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

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Information and the Cost of Capital

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Trading Volume and Cross‐Autocorrelations in Stock Returns

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Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

Stock Market Structure and Volatility

1990 • 580 citations

A Theory of Trading in Stock Index Futures

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The Cross Section of Expected REIT Returns

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On Technical Analysis

1989 • 533 citations

The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets

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Trades, quotes, inventories, and information

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Cream‐Skimming or Profit‐Sharing? The Curious Role of Purchased Order Flow

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Time-Variation in Expected Returns

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1995 • 484 citations

Differential Information and Dynamic Behavior of Stock Trading Volume

1995 • 480 citations

Transaction Costs and Asset Prices: A Dynamic Equilibrium model

1998 • 472 citations

Trade and the Revelation of Information through Prices and Direct Disclosure

1989 • 448 citations

High frequency data in financial markets: Issues and applications

1997 • 425 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

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The information content of the trading process

1997 • 379 citations

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

1987 • 362 citations

Liquidity and Asset Prices: Financial Management Implications

1988 • 361 citations

LAPM: A Liquidity‐Based Asset Pricing Model

2001 • 349 citations

Volume and Autocovariances in Short‐Horizon Individual Security Returns

1994 • 333 citations

Liquidity, Taxes, and Short-Term Treasury Yields

1994 • 301 citations

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1998 • 296 citations

Portfolio return autocorrelation

1993 • 293 citations

Market Microstructure and Stock Return Predictions

1994 • 274 citations

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Life in the Pits: Competitive Market Making and Inventory Control

1996 • 242 citations

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

1997 • 237 citations

Liquidity, exchange listing, and common stock performance

1985 • 213 citations

Liquidity shocks and equilibrium liquidity premia

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Equilibrium interest rate and liquidity premium with transaction costs

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Ex-Dividend Price Behavior of Common Stocks

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Short-term traders and liquidity:

1998 • 130 citations

Components of short-horizon individual security returns

1991 • 128 citations

The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence

2002 • 122 citations

The High Volume Return Premium

1999 • 117 citations

Time-Varying Arrival Rates of Informed and Uninformed Trades

2001 • 114 citations

Market microstructure and securities values:

2001 • 98 citations

Changing Risk, Changing Risk Premiums, and Dividend Yield Effects

1990 • 95 citations

Profits and position control: a week of FX dealing

1998 • 91 citations

A Transactions Data Analysis of Nonsynchronous Trading

1999 • 83 citations

IS NOISE TRADER RISK PRICED?

2001 • 69 citations

Predicting Equity Liquidity

2001 • 39 citations

The Microstructure of Stock Markets

2002 • 33 citations

Common determinants of bond and stock market liquidity: The impact of financial crises, monetary policy, and mutual fund flows

2001 • 16 citations

Basic Principles of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

2000 • 15 citations