Market microstructure and securities values:

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

1980 • 25,774 citations

Using daily stock returns

1985 • 6,463 citations

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1985 • 6,148 citations

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1986 • 5,250 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

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1977 • 2,887 citations

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

1996 • 1,631 citations

Liquidity, Information, and Infrequently Traded Stocks

1996 • 1,466 citations

Liquidity and stock returns: An alternative test

1998 • 1,341 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

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 1,102 citations

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

1997 • 612 citations

Liquidity, Information, and Infrequently Traded Stocks

1996 • 418 citations

Trading Mechanisms in Securities Markets

1992 • 385 citations

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 316 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 307 citations

Survival

1995 • 291 citations

Consolidation, Fragmentation, and Market Performance

1987 • 229 citations

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1985 • 213 citations

Market Behavior in a Clearing House

1982 • 195 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 179 citations

Liquidity and stock returns

2011 • 175 citations

Market microstructure and asset pricing

1990 • 174 citations

Stock market microstructure and return volatility

1990 • 108 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 94 citations

The Trading Decision and Market Clearing under Transaction Price Uncertainty

1985 • 77 citations

UNLISTED TRADING PRIVILEGES, LIQUIDITY, AND STOCK RETURNS

1993 • 54 citations

Shifting gears: an economic evaluation of the reform of the Paris Bourse

1993 • 42 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 35 citations

Financial Markets Liberalisation and the Role of Banks

1993 • 16 citations

The Trading Decision and Market Clearing Under Transaction Price Uncertainty

1985 • 6 citations