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

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

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

1985 • 6,148 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 5,293 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

The theory and practice of econometrics

1986 • 4,551 citations

Elements of econometrics

1971 • 3,087 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Elements of Econometrics.

1972 • 1,419 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Elements of Econometrics.

1988 • 1,255 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

The effects of dividend yield and dividend policy on common stock prices and returns

1974 • 1,034 citations

Dealership market

1980 • 998 citations

The Only Game in Town

1971 • 899 citations

The Theory and Practice of Econometrics.

1981 • 866 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

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

1978 • 648 citations

Studies in the Theory of Capital Markets.

1973 • 644 citations

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

1974 • 590 citations

Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio

2016 • 556 citations

Transaction costs and the small firm effect

1983 • 461 citations

Liquidity and Asset Prices: Financial Management Implications

1988 • 361 citations

Consolidation, Fragmentation, and Market Performance

1987 • 229 citations

Market Behavior in a Clearing House

1982 • 195 citations

Risk, Return, and Equilibrium: A Revisit

1986 • 185 citations

The Microstructure of Securities Markets.

1986 • 178 citations

The Securities Markets

2012 • 133 citations

The Microstructure of Securities Markets

1986 • 133 citations

NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL

1978 • 114 citations

Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing

1980 • 75 citations

Random competitive exchange: Price distributions and gains from trade

1985 • 62 citations

Deleted Work

1955 • 0 citations