Presidential Address: Friction

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

Asset pricing and the bid-ask spread

1986 • 5,250 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

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

1984 • 2,564 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC…

1998 • 1,284 citations

The Components of the Bid-Ask Spread: A General Approach

1997 • 1,198 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Stealth trading and volatility

1993 • 1,007 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 1,002 citations

Dealership market

1980 • 998 citations

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

1989 • 951 citations

The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices

1972 • 944 citations

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

1997 • 943 citations

The Only Game in Town

1971 • 899 citations

Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?

1994 • 792 citations

The Behavior of Stock Prices Around Institutional Trades

1995 • 791 citations

The Dynamics of Dealer Markets Under Competition

1983 • 790 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Public Regulation of the Securities Markets

1964 • 711 citations

One Day in the Life of a Very Common Stock

1997 • 683 citations

PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

1972 • 683 citations

Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

1997 • 658 citations

Institutional trades and intraday stock price behavior

1993 • 652 citations

THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

1978 • 648 citations

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

1991 • 630 citations

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

1974 • 590 citations

Stock Price Clustering and Discreteness

1991 • 585 citations

Stock Market Structure and Volatility

1990 • 580 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Trade Size and Components of the Bid-Ask Spread

1995 • 563 citations

Market microstructure

1976 • 533 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Commonality in Liquidity

1999 • 463 citations

Transaction costs and the small firm effect

1983 • 461 citations

An ordered probit analysis of transaction stock prices

1992 • 454 citations

The Economics of Liquidity Services

1972 • 440 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 423 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

1993 • 397 citations

Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

1981 • 394 citations

Trading Mechanisms in Securities Markets

1992 • 385 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets

1993 • 351 citations

Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks

1999 • 351 citations

A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks

1997 • 346 citations

Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities

1995 • 342 citations

Common Factors in Prices, Order Flows and Liquidity

1999 • 288 citations

Posted versus effective spreads

1994 • 285 citations

Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison

1999 • 278 citations

Market Microstructure and Stock Return Predictions

1994 • 274 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

On the Estimation of Bid-Ask Spreads: Theory and Evidence

1988 • 244 citations

Life in the Pits: Competitive Market Making and Inventory Control

1996 • 242 citations

Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange

1998 • 233 citations

Market Structures and Liquidity: A Transactions Data Study of Exchange Listings

1994 • 220 citations

An Operational Measure of Liquidity

2016 • 174 citations

BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD

1977 • 172 citations

MARKETABILITY OF COMMON STOCKS IN CANADA AND THE U.S.A.: A COMPARISON OF AGENT VERSUS DEALER DOMINATED MARKETS

1974 • 123 citations

An operational measure of liquidity

1984 • 117 citations

The Specialist's Discretion: Stopped Orders and Price Improvement

1999 • 112 citations

The stock exchange specialist system : an economic analysis

1985 • 58 citations

Dealer market structure, outside competition, and the bid-ask spread

1995 • 19 citations

Conflicts of Interest: Substance or Subterfuge?

1971 • 7 citations