Imperfect Information and Cross‐Autocorrelation among Stock Prices

Continuous Auctions and Insider Trading

1985 • 9,651 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

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

1984 • 2,564 citations

Stock return variances

1986 • 1,878 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION

1976 • 1,388 citations

Information aggregation in a noisy rational expectations economy

1981 • 1,135 citations

Dealership market

1980 • 998 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets

1985 • 821 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Stock Market Structure and Volatility

1990 • 580 citations

Some New Stock-Market Indexes

1966 • 558 citations

The Information Content of Aggregate Insider Trading

1988 • 355 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 307 citations

Nonsynchronous Security Trading and Market Index Autocorrelation

1987 • 214 citations

Market Behavior in a Clearing House

1982 • 195 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Information Quality and Market Efficiency

1988 • 121 citations

Portfolio Serial Correlation and Nonsynchronous Trading

1985 • 62 citations

A Message from the President of the Society for Financial Studies

1988 • 34 citations

New Trading Practices and Short-run Market Efficiency

1990 • 26 citations

Insider Trading and asset Pricing in an Imperfectly Competitive Multi- Secrity Market

1989 • 12 citations

Information And Index Arbitrage

1990 • 7 citations

TRANSACTION PRICES WHEN INSIDERS TRADE PORTFOLIOS

1993 • 6 citations