Measuring Event Impacts in Thinly Traded Stocks

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

1985 • 6,148 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Stock return variances

1986 • 1,878 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

Special Information and Insider Trading

1974 • 1,307 citations

The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices

1972 • 944 citations

Risk and return: The case of merging firms

1974 • 927 citations

The Dynamics of Dealer Markets Under Competition

1983 • 790 citations

PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

1972 • 683 citations

Securities Market Efficiency in an Arrow-Debreu Economy

1975 • 158 citations

Private Incentives and Public Information

2016 • 124 citations