Liquidity, Information, and Infrequently Traded Stocks

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

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

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

1996 • 1,631 citations

Market Microstructure Theory.

1996 • 1,263 citations

One Day in the Life of a Very Common Stock

1997 • 683 citations

Investment Analysis and the Adjustment of Stock Prices to Common Information

1993 • 675 citations

Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading

1996 • 557 citations

A course in econometrics

1991 • 537 citations

Trades, quotes, inventories, and information

1988 • 517 citations