Order Flow, Trading Costs and Corporate Acquisition Announcements

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Statistical Decision Theory and Bayesian Analysis

1985 • 7,736 citations

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

1985 • 6,148 citations

The market for corporate control

1983 • 4,278 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Stastical Decision Theory and Bayesian Analysis.

1988 • 3,052 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

Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test

1976 • 1,761 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Specification Searches: Ad Hoc Inference with Non-Experimental Data.

1981 • 1,125 citations

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

1993 • 1,050 citations

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

1989 • 951 citations

A STATISTICAL PARADOX

1957 • 947 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 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 Examination of the Robustness of the Weekend Effect

1989 • 451 citations

Corporate payout policy

1988 • 441 citations

Stock Trading Before the Announcement of Tender Offers: Insider Trading or Market Anticipation?

1989 • 325 citations

The behavior of daily stock market trading volume

1989 • 290 citations

Information Asymmetry and the Dealer's Bid‐Ask Spread: A Case Study of Earnings and Dividend Announcements

1986 • 237 citations

Insider Holdings and Perceptions of Information Asymmetry: A Note

1988 • 209 citations

Target Firm Abnormal Returns and Trading Volume Around the Initiation of Change in Control Transactions

1992 • 126 citations

Dealer Bid‐Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options

1984 • 92 citations

The power of tests employing log-transformed volume in detecting abnormal trading

1991 • 77 citations

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

1981 • 76 citations

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

1976 • 64 citations

The stock exchange specialist system : an economic analysis

1985 • 58 citations

Bid-Ask Spreads around Earnings Announcements: Evidence from the NASDAQ National Market System

1993 • 20 citations

TRADE SIZES AND THEORIES OF THE BID‐ASK SPREAD

1993 • 16 citations

A Comment of Verrecchia's No Trading "Theorem"

1984 • 7 citations