Market microstructure and price discovery on the Tokyo Stock Exchange

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Stock return variances

1986 • 1,878 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

The Week‐End Effect in Common Stock Returns: The International Evidence

1985 • 706 citations

Noise

1986 • 499 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

1985 • 256 citations

Consolidation, Fragmentation, and Market Performance

1987 • 229 citations

Market Behavior in a Clearing House

1982 • 195 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 193 citations

Liquidity and stock returns

2011 • 175 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

Liquidity, Stock Markets, and Market Makers

1987 • 133 citations

The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 128 citations

Asset Price Behavior in a Dealership Market

1982 • 87 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

Random competitive exchange: Price distributions and gains from trade

1985 • 62 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

The Economics of the Stock Market.

1972 • 40 citations

Index and Index-Futures Returns

1989 • 36 citations

The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns

1977 • 31 citations

Securities market in Japan

1975 • 26 citations

The Economics of the Stock Market.

1972 • 25 citations

Relative Price Dispersion and Economic Shocks: An Inventory-Adjustment Approach

1982 • 9 citations