Transactions Costs and Holding Periods for Common Stocks

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Introduction to the Theory and Practice of Econometrics

1989 • 2,349 citations

The Cost of Transacting

1968 • 1,909 citations

The relationship between earnings' yield, market value and return for NYSE common stocks

1983 • 1,692 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Introduction to the Theory and Practice of Econometrics.

1988 • 1,143 citations

The hidden costs of stock market liquidity

1993 • 1,027 citations

The Only Game in Town

1971 • 899 citations

THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

1978 • 648 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

A Theory of Trading Volume

1986 • 565 citations

Differential information and the small firm effect

1984 • 543 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

Transaction costs and the small firm effect

1983 • 461 citations

The Economics of Liquidity Services

1972 • 440 citations

When financial markets work too well: A cautious case for a securities transactions tax

1989 • 439 citations

Using tax policy to curb speculative short-term trading

1989 • 427 citations

Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence

2011 • 347 citations

Transaction taxes and the behavior of the Swedish stock market

1993 • 330 citations

The seasonal behavior of the liquidity premium in asset pricing

1993 • 321 citations

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

1989 • 309 citations

Systematic risk, total risk and size as determinants of stock market returns

1986 • 295 citations

Price Reversals, Bid-Ask Spreads, and Market Efficiency

1990 • 290 citations

Stock return seasonalities and the tax-loss selling hypothesis

1983 • 264 citations

MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE

1997 • 237 citations

Securities Transaction Taxes: An Overview of Costs, Benefits and Unresolved Questions

1993 • 195 citations

Introductory Econometrics

2020 • 183 citations

BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD

1977 • 172 citations

Change at the Exchange: The Causes and Effects of Deregulation

1984 • 112 citations

Introductory Econometrics (2nd ed.).

1983 • 92 citations

The Demand for Brokers' Services: The Relation between Security Trading Volume and Transaction Cost

1976 • 74 citations

Competition, Scale Economies, and Transaction Cost in the Stock Market

1976 • 64 citations

Adverse Implications of a Securities Transactions Excise Tax

1991 • 25 citations

Seasonality in NASDAQ Dealer Spreads

1989 • 20 citations