Market Integration and Price Execution for NYSE‐Listed Securities

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

1985 • 6,148 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Trades, quotes, inventories, and information

1988 • 517 citations

The implementation shortfall

1988 • 466 citations

Liquidity , Trading Rules and Electronic Trading Systems .

1990 • 208 citations

Market microstructure and asset pricing

1990 • 174 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

1993 • 96 citations

Differences in Execution Prices Among the NYSE, the Regionals, and the NASD

1991 • 29 citations

Optimal forward coverage of international fixed–income portfolios

1991 • 10 citations

Bid-ask spreads, NYSE specialists, and NASD dealers

1991 • 9 citations