A Theory of Trading Volume

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Information Content of Annual Earnings Announcements

1968 • 2,768 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

The Cost of Transacting

1968 • 1,909 citations

Aggregate Demand Management in Search Equilibrium

1982 • 1,899 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Information aggregation in a noisy rational expectations economy

1981 • 1,135 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

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

1976 • 635 citations

A Model of Asset Trading Under the Assumption of Sequential Information Arrival

1976 • 530 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

The Information Content of Annual Earnings Releases: A Trading Volume Approach

1986 • 381 citations

Tax-induced trading around ex-dividend days

1986 • 348 citations

Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination

1981 • 280 citations

A test of dividend irrelevance using volume reactions to a change in dividend policy

1986 • 211 citations

Security Price Changes and Transaction Volumes: Theory and Evidence

1975 • 184 citations

Asymmetrical Information in Securities Markets and Trading Volume

1980 • 175 citations

Stock Market Reaction to Estimates of Earnings per Share by Company Officials

1973 • 121 citations

Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange

1982 • 119 citations

The Trading Decision and Market Clearing under Transaction Price Uncertainty

1985 • 77 citations

An Empirical Investigation of NYSE Volume and Price Reactions to the Announcement of Quarterly Earnings

1972 • 76 citations

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

1981 • 76 citations

Information Characteristics of Earnings Announcements and Stock Market Behavior

1983 • 76 citations

The Demand for Brokers' Services: The Relation between Security Trading Volume and Transaction Cost

1976 • 74 citations

Discriminatory, Status-based Wages among Tradition-oriented, Stochastically Trading Coconut Producers

1985 • 62 citations

Market Makers and the Market Spread: A Review of Recent Literature

1979 • 58 citations

Wall Street Journal Announcements and the Securities Markets

1982 • 28 citations

Investor Behavior and Information

1976 • 18 citations

INFORMATION UNCERTAINTY AND TRADING VOLUME

1985 • 5 citations