A Trading Volume Benchmark: Theory and Evidence

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Disclosure, Liquidity, and the Cost of Capital

1991 • 3,218 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

Good Timing: CEO Stock Option Awards and Company News Announcements

1997 • 1,048 citations

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

1986 • 1,047 citations

The distorting effect of the prudent-man laws on institutional equity investments

1996 • 809 citations

The Behavior of Stock Prices Around Institutional Trades

1995 • 791 citations

Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

1997 • 658 citations

New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index

1997 • 518 citations

An aggregation theorem for securities markets

1974 • 507 citations

Two-Person Dynamic Equilibrium in the Capital Market

1989 • 392 citations

OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.

1975 • 383 citations

The Information Content of Annual Earnings Releases: A Trading Volume Approach

1986 • 381 citations

An Anatomy of the “S&P Game”: The Effects of Changing the Rules

1996 • 364 citations

Tax-induced trading around ex-dividend days

1986 • 348 citations

An empirical examination of information, differences of opinion, and trading activity

1996 • 315 citations

Volume for Winners and Losers: Taxation and Other Motives for Stock Trading

1986 • 309 citations

The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis

1998 • 252 citations

S&P 500 Trading Strategies and Stock Betas

1994 • 232 citations

A test of dividend irrelevance using volume reactions to a change in dividend policy

1986 • 211 citations

Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day

1995 • 182 citations

Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index

1987 • 143 citations

Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List

1995 • 140 citations

Target Firm Abnormal Returns and Trading Volume Around the Initiation of Change in Control Transactions

1992 • 126 citations

The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange

1995 • 100 citations

Direct Tests of Index Arbitrage Models

1996 • 87 citations

Testing Financial Market Equilibrium under Asymmetric Information

1992 • 54 citations

Financial markets and incomplete information

1989 • 28 citations

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000 • 8 citations