Information, trading, and volatility

Continuous Auctions and Insider Trading

1985 • 9,651 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

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

1985 • 6,148 citations

Bootstrap Methods for Standard Errors, Confidence Intervals, and Other Measures of Statistical Accuracy

1986 • 6,027 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

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

1984 • 2,564 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Stock return variances

1986 • 1,878 citations

Differences of Opinion Make a Horse Race

1993 • 1,618 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Time and the Process of Security Price Adjustment

1992 • 1,163 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

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

1989 • 951 citations

Transactions, Volume, and Volatility

1994 • 888 citations

Biases in computed returns

1983 • 846 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Probability and Statistics.

1978 • 655 citations

Variance Function Estimation

1987 • 649 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 645 citations

Market reaction to anticipated announcements

1991 • 643 citations

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

1991 • 630 citations

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

1984 • 615 citations

Stock Market Structure and Volatility

1990 • 580 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

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

1987 • 362 citations

Differences of opinion make a horse race

1993 • 329 citations

Time and the Process of Security Price Adjustment

1992 • 311 citations

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

1989 • 309 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 307 citations

Differences of Opinion in Financial Markets

1989 • 283 citations

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

The Effect of Public Information and Competition on Trading Volume and Price Volatility

1993 • 255 citations

Predictability of Stock Market Prices.

1971 • 252 citations

Price reversals

1990 • 220 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 215 citations

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

1989 • 204 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 193 citations

Variance Function Estimation

1987 • 189 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 155 citations

Probability and Statistics

1990 • 146 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations

Predictability of Stock Market Prices.

1971 • 109 citations

Stock market microstructure and return volatility

1990 • 108 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 94 citations

Financial Risk: Theory, Evidence and Implications

1988 • 85 citations

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

1987 • 81 citations

TABLES OF PERCENTAGE POINTS OF THE INVERTED BETA (F) DISTRIBUTION

1943 • 68 citations

A Theory of Common Stock Returns Over Trading and Non-Trading Periods

1980 • 41 citations

Corporate disclosure and price discovery associated with NYSE temporary trading halts*

1992 • 33 citations

Deleted Work

1955 • 0 citations