The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

Limited-dependent and qualitative variables in econometrics

1983 • 13,615 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Stock returns and the weekend effect

1980 • 1,965 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Biases in computed returns

1983 • 846 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

The Behavior of Stock Prices on Fridays and Mondays

1973 • 797 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

The Choice Between Equity and Debt: An Empirical Study

1982 • 717 citations

The Week‐End Effect in Common Stock Returns: The International Evidence

1985 • 706 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Some New Stock-Market Indexes

1966 • 558 citations

Transaction costs and the small firm effect

1983 • 461 citations

The Economics of Liquidity Services

1972 • 440 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Predicting Tender Offer Success: A Logistic Analysis

1985 • 274 citations

Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

1985 • 256 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

1989 • 211 citations

An Investigation of Market Microstructure Impacts on Event Study Returns

1991 • 184 citations

Volume and turn-of-the-year behavior

1984 • 168 citations

Determinants of the Firm's Capital Structure

1975 • 165 citations

Explaining intra-day and overnight price behavior

1989 • 38 citations

The Issuing of Corporate Securities

1970 • 6 citations

Deleted Work

1955 • 0 citations