Inferring investor behavior: Evidence from TORQ data

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Investor Sentiment and the Closed-End Fund Puzzle

1991 • 1,422 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

1997 • 943 citations

One Day in the Life of a Very Common Stock

1997 • 683 citations

Survey evidence on diffusion of interest and information among investors

1989 • 601 citations

Earnings news and small traders

1992 • 522 citations

Cream‐Skimming or Profit‐Sharing? The Curious Role of Purchased Order Flow

1996 • 507 citations

The effect of large block transactions on security prices: A cross-sectional analysis

1987 • 501 citations

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

1990 • 479 citations

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

1988 • 439 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 423 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Investor Sophistication and Market Earnings Expectations

1997 • 317 citations

Market Microstructure and Stock Return Predictions

1994 • 274 citations

On the occurrence and consequences of inaccurate trade classification

2000 • 273 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

A Test of the Extended Functional Fixation Hypothesis

2016 • 248 citations

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

1997 • 245 citations

An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of Pennsylvania, and University of Wisconsion provided many helpful suggestions. Minder Cheng, Nicole Parent, and Ed Steffelin provided excellent research support. This research was completed while Madhavan was …

1998 • 233 citations

THE INDIVIDUAL INVESTOR: ATTRIBUTES AND ATTITUDES

1974 • 212 citations

Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow

1996 • 198 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 142 citations

New York Stock Exchange Systems and Trading Procedures

1996 • 129 citations

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

1988 • 121 citations

Information Value and Investor Wealth: The Case of Earnings Announcements

1988 • 113 citations

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

1990 • 112 citations

Market Integration and Price Execution for NYSE-Listed Securities

1993 • 107 citations

THE INDIVIDUAL INVESTOR

1995 • 79 citations

The Individual Investor: Attributes and Attitudes

1974 • 62 citations

A Baysian Model of Intraday Specialist Pricing

1991 • 51 citations

Multi-market trading and the informativeness of stock trades: An empirical intraday analysis

1997 • 15 citations

THE ECONOMIC AND FINANCE LITERATURE AND DECISION MAKING

1974 • 10 citations