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

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

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

1984 • 2,564 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

Trading Volume and Price Reactions to Public Announcements

1991 • 1,132 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

Differential Information and Security Market Equilibrium

1985 • 944 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

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

1978 • 648 citations

Differential information and the small firm effect

1984 • 543 citations

Changes in the Standard and Poor's 500 List

1991 • 369 citations

The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500

1987 • 300 citations

THE NEGLECTED AND SMALL FIRM EFFECTS

1982 • 177 citations

Stock Prices and the Dissemination of Analysts' Recommendation

1991 • 171 citations

Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator

1990 • 152 citations

NEW LISTINGS AND THEIR PRICE BEHAVIOR

1970 • 90 citations

The Dow Jones investor's handbook

1970 • 10 citations