The Short-Run Dynamics of the Price Adjustment to New Information

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

1984 • 2,564 citations

How Markets Process Information: News Releases and Volatility

1993 • 976 citations

The intraday speed of adjustment of stock prices to earnings and dividend announcements

1984 • 450 citations

Announcement effects of new equity issues and the use of intraday price data

1988 • 310 citations

Price Reversals, Bid-Ask Spreads, and Market Efficiency

1990 • 290 citations

Price reversals

1990 • 220 citations

Response of Hourly Stock Prices and Trading Volume to Economic News

1988 • 182 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

Estimation of Stock Price Variances and Serial Covariances from Discrete Observations

1990 • 151 citations

Information Content and the Speed of Stock Price Adjustment

1985 • 94 citations

Estimating the Volatility of Discrete Stock Prices

1988 • 86 citations

Intradaily Price‐Volume Adjustments of NYSE Stocks to Unexpected Earnings

1988 • 85 citations