An empirical examination of information, differences of opinion, and trading activity

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

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

1987 • 1,865 citations

Information, trade and common knowledge

1982 • 1,739 citations

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

Differences of Opinion Make a Horse Race

1993 • 1,618 citations

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

1976 • 1,388 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 996 citations

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

1990 • 818 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

1993 • 679 citations

Investment Analysis and the Adjustment of Stock Prices to Common Information

1993 • 675 citations

Variance Function Estimation

1987 • 649 citations

A Theory of Trading in Stock Index Futures

1991 • 579 citations

The Impact of Public Information on the Stock Market

1994 • 532 citations

Volume, Volatility, and the Dispersion of Beliefs

1993 • 492 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Short-Sale Restrictions and Market Reaction to Short-Interest Announcements

1993 • 342 citations

Differences of opinion make a horse race

1993 • 329 citations

Portfolio return autocorrelation

1993 • 293 citations

Futures-Trading Activity and Stock Price Volatility

1992 • 291 citations

The behavior of daily stock market trading volume

1989 • 290 citations

Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 287 citations

The Effect of Public Information and Competition on Trading Volume and Price Volatility

1993 • 255 citations

Security Baskets and Index-Linked Securities

1993 • 245 citations

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

1976 • 242 citations

Program Trading and Expiration-Day Effects

1987 • 210 citations

Asymmetric Predictability of Conditional Variances

1991 • 209 citations

Variance Function Estimation

1987 • 189 citations

Information, trading, and volatility

1994 • 182 citations

Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close

1992 • 179 citations

Imperfect Information and Cross‐Autocorrelation among Stock Prices

1993 • 164 citations

Some Properties of Absolute Return: An Alternative Measure of Risk

1995 • 156 citations

Heteroskedasticity in Stock Returns

1990 • 144 citations

The Impact of Public Information on the Stock Market

1994 • 111 citations

Short Selling and Common Stock Prices

1994 • 110 citations

On the Relationship Between Volume Reaction and Consensus of Investors: Implications for Interpreting Tests of Information Content

1981 • 76 citations

Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close

1992 • 44 citations

Imperfect Information and Cross-Autocorrelation Among Stock Prices

1993 • 35 citations

Profitability of Short-Selling and Exploitability of Short Information

1994 • 32 citations

Some Properties of Absolute Return, An Alternative Measure of Risk

1995 • 28 citations

Differences of Opinion and the Volume of Trade

1985 • 16 citations