Bid-ask spreads in the interbank foreign exchange markets

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Efficient Capital Markets: II

1991 • 5,145 citations

The Cost of Transacting

1968 • 1,909 citations

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Efficient Capital Markets: II

1991 • 1,302 citations

Anomalies: Foreign Exchange

1990 • 955 citations

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

1989 • 951 citations

The Message in Daily Exchange Rates

2002 • 828 citations

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

1991 • 630 citations

Stock Price Clustering and Discreteness

1991 • 585 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Futures-Trading Activity and Stock Price Volatility

1992 • 291 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

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

1989 • 204 citations

An Investigation of Market Microstructure Impacts on Event Study Returns

1991 • 184 citations

Adverse Selection and Large Trade Volume: The Implications for Market Efficiency

1992 • 137 citations

Exchange rate risk and transactions costs: Evidence from bid-ask spreads

1987 • 101 citations

Market Microstructure Effects of Government Intervention in the Foreign Exchange Market

1991 • 99 citations

EXCHANGE RATE RISK and THE BID‐ASK SPREAD: A SEVEN COUNTRY COMPARISON

1988 • 59 citations

An Investigation of Market Microstructure Impacts on Event Study Returns

1991 • 58 citations

The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

1992 • 54 citations

Consistency between Predicted and Actual Bid‐Ask Quote‐Revisions

1991 • 37 citations

Consistency between Predicted and Actual Bid-Ask Quote-Revisions

1991 • 13 citations