The Relation Between Price Changes and Trading Volume: A Survey

The Behavior of Stock-Market Prices

1965 • 8,575 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Information Content of Annual Earnings Announcements

1968 • 2,768 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 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

Brownian Motion in the Stock Market

1959 • 967 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

A Theory of Trading Volume

1986 • 565 citations

The intraday speed of adjustment of stock prices to earnings and dividend announcements

1984 • 450 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES

1963 • 391 citations

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

1986 • 381 citations

Tax-induced trading around ex-dividend days

1986 • 348 citations

Cross-Security Tests of the Mixture of Distributions Hypothesis

1986 • 291 citations

Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination

1981 • 280 citations

Stock Market Prices and Volumes of Sales

1966 • 275 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

Predictability of Stock Market Prices.

1971 • 252 citations

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

1986 • 211 citations

Futures Price Variability: A Test of Maturity and Volume Effects

1986 • 199 citations

Security Price Changes and Transaction Volumes: Theory and Evidence

1975 • 184 citations

The Dependence of Prices and Volume

1978 • 182 citations

THE RANDOM‐WALK HYPOTHESIS OF STOCK MARKET BEHAVIORa

1964 • 178 citations

Asymmetrical Information in Securities Markets and Trading Volume

1980 • 175 citations

The Volume of Transactions and Price Changes on the New York Stock Exchange

1970 • 155 citations

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

1977 • 154 citations

The relationship between volume and price variability in futures markets

2000 • 145 citations

Stock Market Reaction to Estimates of Earnings per Share by Company Officials

1973 • 121 citations

A FURTHER EXAMINATION OF STOCK PRICE CHANGES AND TRANSACTION VOLUME

1985 • 113 citations

COSTLY SHORT SALES AND THE CORRELATION OF RETURNS WITH VOLUME

1988 • 106 citations

Stock Prices and Heteroscedasticity

1976 • 106 citations

Information Dissemination and Portfolio Choice

1983 • 92 citations

On the Relationship Between Volume Reaction and Consensus of Investors: Implications for Interpreting Tests of Information Content

1981 • 76 citations

The Relation Between Common Stock Returns Trading Activity and Market Value

1983 • 76 citations

An Empirical Investigation of NYSE Volume and Price Reactions to the Announcement of Quarterly Earnings

1972 • 76 citations

Information Characteristics of Earnings Announcements and Stock Market Behavior

1983 • 76 citations

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

1976 • 74 citations

A Probability Model of Asset Trading

1977 • 69 citations

A Nonlinear Test of the Random-Walk Hypothesis

2016 • 60 citations

Market Makers and the Market Spread: A Review of Recent Literature

1979 • 58 citations

Security Price Changes and Transaction Volumes: Some Additional Evidence

1977 • 56 citations

The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation

1979 • 46 citations

Determinants of trading volume in futures markets

1987 • 43 citations

A Formal Dynamic Model of Market Making

1979 • 29 citations

Informational Differences Between Limit and Market Orders for a Market Maker

1981 • 24 citations

Investor Behavior and Information

1976 • 18 citations

Security Price Changes and Transaction Volumes: Comment

1978 • 15 citations

Security Price Changes and Transaction Volumes: Additional Evidence

1978 • 14 citations

Trading Volume and Beta Stability

1981 • 13 citations

Dispersion of Expectations and Trading Volume

1987 • 11 citations

Selected writings on futures markets : research directions in commodity markets, 1970-1980

1984 • 9 citations

On Information Dissemination and Equilibrium Asset Prices: A Note

1984 • 9 citations

THE EFFECT ON NONMEMBER BANKS OF THE IMPOSITION OF MEMBER BANK RESERVE REQUIREMENTS—WITH AND WITHOUT FEDERAL RESERVE SERVICES

1976 • 5 citations

INFORMATION UNCERTAINTY AND TRADING VOLUME

1985 • 5 citations

Volume determination in stock and stock index futures markets: an analysis of arbitrage and volatility effects

1987 • 3 citations

Security Price Changes and Transaction Volumes: Reply

1978 • 3 citations