Measuring the Information Content of Stock Trades

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

The theory and practice of econometrics

1986 • 4,551 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Dealership market

1980 • 998 citations

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

1989 • 951 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

The Only Game in Town

1971 • 899 citations

The Dynamics of Dealer Markets Under Competition

1983 • 790 citations

Comparing alternative tests of causality in temporal systems

1983 • 643 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Insider Trading, Liquidity, and the Role of the Monopolist Specialist

1989 • 550 citations

Market microstructure

1976 • 533 citations

Trades, quotes, inventories, and information

1988 • 517 citations

The Microeconomics of Market Making

1986 • 370 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

On The Dynamic Behavior of Prices in Disequilibrium

1980 • 302 citations

Liquidity and execution costs in equity markets

1988 • 227 citations

Insider Holdings and Perceptions of Information Asymmetry: A Note

1988 • 209 citations

On Dealer Markets Under Competition

1980 • 176 citations

Order Arrival, Quote Behavior, and the Return‐Generating Process

1987 • 161 citations

Estimation of Stock Price Variances and Serial Covariances from Discrete Observations

1990 • 151 citations

Asset Price Behavior in a Dealership Market

1982 • 87 citations

An algebra for evaluating hedge portfolios

1976 • 74 citations

Dealer Inventory Behavior: An Empirical Investigation of Nasdaq Stocks

1976 • 69 citations

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

1979 • 49 citations

The Growth Factor In Electric Utility Earnings

1952 • 9 citations