Price effects of trading and components of the bid-ask spread on the Paris Bourse

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

1987 • 15,268 citations

Macroeconomics and Reality

1980 • 12,249 citations

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

1985 • 6,148 citations

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

1988 • 3,715 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

1981 • 2,374 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Dummy Endogenous Variables in a Simultaneous Equation System

1978 • 1,730 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 1,102 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 1,002 citations

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

1989 • 951 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

Institutional trades and intraday stock price behavior

1993 • 652 citations

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

1991 • 630 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

1984 • 615 citations

Why is Consumption So Smooth?

1989 • 592 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

1993 • 524 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Large-block transactions, the speed of response, and temporary and permanent stock-price effects

1990 • 468 citations

An ordered probit analysis of transaction stock prices

1992 • 454 citations

Measuring the Information Content of Stock Trades

1991 • 426 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 423 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 316 citations

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

1996 • 275 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 209 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

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

1989 • 204 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 142 citations

A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International

1995 • 120 citations

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

1994 • 60 citations

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

1996 • 4 citations