Public Information Arrival

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Stock return variances

1986 • 1,878 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

What moves stock prices?

1989 • 1,131 citations

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

1989 • 951 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Stock Prices, News, and Business Conditions

1993 • 694 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 645 citations

Stock Market Structure and Volatility

1990 • 580 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

R2

1988 • 562 citations

The Impact of Public Information on the Stock Market

1994 • 532 citations

Periodic market closure and trading volume

1992 • 455 citations

R-S1-2

1988 • 412 citations

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

1991 • 307 citations

Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close

1992 • 179 citations

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

1987 • 143 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations

Price Formation on Stock Exchanges: The Evolution of Trading within the Day

1994 • 98 citations

1929 and all that

1975 • 6 citations