Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

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

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

The Cost of Transacting

1968 • 1,909 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

Some New Stock-Market Indexes

1966 • 558 citations

Market microstructure

1976 • 533 citations

A Model of Asset Trading Under the Assumption of Sequential Information Arrival

1976 • 530 citations

The Market Model Applied to European Common Stocks: Some Empirical Results

1974 • 101 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS

1978 • 80 citations

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

1977 • 78 citations

The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

1978 • 72 citations

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

1977 • 61 citations

Information dissemination, market efficiency and the frequency of transactions

1979 • 55 citations

Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist

1979 • 49 citations

The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications

1980 • 24 citations

LIMIT ORDERS, MARKET STRUCTURE, AND THE RETURNS GENERATION PROCESS

1978 • 23 citations

Continuous Versus Intermittent Trading on Auction Markets

1979 • 20 citations

Evidence of Intertemporal Systematic Risks in the Daily Price Movements of NYSE and AMEX Common Stocks

1980 • 11 citations

Intertemporal Differences in Systematic Stock Price Movements

1975 • 9 citations

Comment: Assessing the Impact of Stock Exchange Specialists on Stock Volatility

1976 • 9 citations

On the time-behavior of financial parameters : an investigation of the intervaling effect

1977 • 8 citations

A note on temporal aggregation and serial correlation

1978 • 6 citations