Options markets and stock return volatility

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

1985 • 6,148 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Expected stock returns and volatility

1987 • 4,291 citations

On estimating the expected return on the market

1980 • 2,932 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

The Information Content of Annual Earnings Announcements

1968 • 2,768 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

The Cost of Transacting

1968 • 1,909 citations

Stock return variances

1986 • 1,878 citations

Foundations of Finance.

1977 • 1,197 citations

Fact and Fantasy in the Use of Options

1975 • 1,046 citations

The Only Game in Town

1971 • 899 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

Noise

1986 • 499 citations

Corporate payout policy

1988 • 441 citations

Option Prices as Predictors of Equilibrium Stock Prices

1982 • 381 citations

Volatility increases subsequent to stock splits: An empirical aberration

1985 • 267 citations

Risk measurement when shares are subject to infrequent trading

1983 • 248 citations

Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets

1986 • 200 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 193 citations

Options markets and the information content of accounting earnings releases

1990 • 176 citations

Option Prices as Predictors of Equilibrium Stock Prices

1982 • 141 citations

The impact of options on the underlying securities

1980 • 64 citations

SHORT TERM IMPACT OF OPTION TRADING ON UNDERLYING SECURITIES

1983 • 55 citations

Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets

1986 • 37 citations

Heteroskedasticity In Stock Returns

1988 • 4 citations