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

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

1985 • 6,148 citations

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

1984 • 2,564 citations

Stock return variances

1986 • 1,878 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Dealership market

1980 • 998 citations

The Only Game in Town

1971 • 899 citations

Biases in computed returns

1983 • 846 citations

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

1981 • 394 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

The stock exchange specialist system : an economic analysis

1985 • 58 citations

Portfolio theory, 25 years after: Essays in honor of Harry Markowitz

1980 • 15 citations

Deleted Work

1955 • 0 citations