CHANGES IN TRADING ACTIVITY FOLLOWING STOCK SPLITS AND THEIR EFFECT ON VOLATILITY AND THE ADVERSE‐INFORMATION COMPONENT OF THE BID‐ASK SPREAD

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

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

1984 • 2,564 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Stock return variances

1986 • 1,878 citations

The Advanced Theory of Statistics.

1967 • 1,411 citations

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

1989 • 951 citations

Transactions, Volume, and Volatility

1994 • 888 citations

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

1991 • 630 citations

Stock Prices and the Supply of Information

1991 • 584 citations

Noise

1986 • 499 citations

Stock Splits and Stock Dividends: Why, Who, and When

1987 • 426 citations

The Market Reaction to Stock Splits

1987 • 367 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Liquidity Changes Following Stock Splits

1979 • 304 citations

Volatility increases subsequent to stock splits: An empirical aberration

1985 • 267 citations

Management's View of Stock Splits

1980 • 229 citations

Price reversals

1990 • 220 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

The Effects of Splitting on the Ex: A Microstructure Reconciliation

1992 • 155 citations

ASSET PRICING AND BID-ASK SPREAD

1986 • 118 citations

Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks

1993 • 111 citations

Volatility increases Subsequent to NYSE and AMEX Stock Splits

1991 • 102 citations

A Note on the Behavior of Stock Returns around Ex‐Dates of Stock Distributions

1987 • 88 citations

Estimation Bias Induced by Discrete Security Prices

1988 • 82 citations

The Effects of Stock Splits on Bid-Ask Spreads

1990 • 54 citations

FURTHER EVIDENCE ON THE LIQUIDITY EFFECTS OF STOCK SPLITS AND STOCK DIVIDENDS

1985 • 46 citations

Why Companies Issue Stock Splits

1992 • 32 citations

FINANCIAL CHARACTERISTICS RELATED TO MANAGEMENTS'STOCK SPLIT AND STOCK DIVIDEND DECISIONS

1985 • 20 citations

Deleted Work

1955 • 0 citations