Stock returns and trading at the close
Data up to Jan 2025
Total Citations Per Year
Abstract
References (12)
Inferring Trade Direction from Intraday Data
1991 • 2,983 citations
Inferring Trade Direction from Intraday Data
1991 • 989 citations
Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
1997 • 943 citations
An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks
1992 • 906 citations
A transaction data study of weekly and intradaily patterns in stock returns
1986 • 828 citations
The Dependence between Hourly Prices and Trading Volume
1988 • 700 citations
Transactions costs and investment style: an inter-exchange analysis of institutional equity trades
1997 • 658 citations
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
1996 • 645 citations
Trading Mechanisms in Securities Markets
1992 • 385 citations
Price Discovery in Auction Markets: A Look Inside the Black Box
2000 • 235 citations
An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of Pennsylvania, and University of Wisconsion provided many helpful suggestions. Minder Cheng, Nicole Parent, and Ed Steffelin provided excellent research support. This research was completed while Madhavan was …
1998 • 233 citations
A Day-End Transaction Price Anomaly
1989 • 217 citations