Trade Size and Components of the Bid-Ask Spread

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

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 1,063 citations

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

1993 • 1,050 citations

The hidden costs of stock market liquidity

1993 • 1,027 citations

Inferring Trade Direction from Intraday Data

1991 • 989 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

The Only Game in Town

1971 • 899 citations

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

1986 • 828 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Institutional trades and intraday stock price behavior

1993 • 652 citations

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

1993 • 645 citations

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

1991 • 630 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

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

1989 • 550 citations

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

1993 • 524 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Large-block transactions, the speed of response, and temporary and permanent stock-price effects

1990 • 468 citations

Periodic market closure and trading volume

1992 • 455 citations

The Economics of Liquidity Services

1972 • 440 citations

Measuring the Information Content of Stock Trades

1991 • 426 citations

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

1993 • 397 citations

Information Effects on the Bid-Ask Spread

1983 • 381 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Risk Aversion, Market Liquidity, and Price Efficiency

1991 • 337 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

Market Microstructure and Stock Return Predictions

1994 • 274 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

1990 • 249 citations

On the Estimation of Bid-Ask Spreads: Theory and Evidence

1988 • 244 citations

Liquidity and execution costs in equity markets

1988 • 227 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 222 citations

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

1989 • 204 citations

The Effects of Stock Splits on Bid‐Ask Spreads

1990 • 203 citations

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

1992 • 189 citations

Order Arrival, Quote Behavior, and the Return‐Generating Process

1987 • 161 citations

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

1993 • 155 citations

New York Stock Exchange Systems and Trading Procedures

1996 • 129 citations

Information Quality and Market Efficiency

1988 • 121 citations

An analysis of transactions data for the Toronto Stock Exchange

1990 • 115 citations

Market Integration and Price Execution for NYSE-Listed Securities

1993 • 107 citations

A transactions data analysis of the variability of common stock returns during 1980–1984

1990 • 104 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989

1990 • 101 citations

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

1993 • 96 citations

Equity Markets: Structure, Trading, and Performance

1988 • 92 citations

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

1976 • 64 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 49 citations

Order Arrival, Quote Behavior, and the Return-Generating Process

1987 • 47 citations

INTRADAY VARIATIONS IN TRADING ACTIVITY, PRICE VARIABILITY, AND THE BID‐ASK SPREAD

1992 • 24 citations