Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

Continuous Auctions and Insider Trading

1985 • 9,651 citations

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

1985 • 6,148 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

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

1984 • 2,564 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

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

1986 • 828 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

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

1984 • 615 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Insider Trading, Liquidity, and the Role of the Monopolist Specialist

1989 • 550 citations

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

1989 • 309 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 215 citations