Information, trading and stock returns: Lessons from dually-listed securities

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Stock return variances

1986 • 1,878 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Differences of Opinion Make a Horse Race

1993 • 1,618 citations

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

1992 • 906 citations

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

1986 • 828 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 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

Measuring the Information Content of Stock Trades

1991 • 426 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

Differences of opinion make a horse race

1993 • 329 citations

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

1991 • 307 citations

Differences of Opinion in Financial Markets

1989 • 283 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

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

1992 • 189 citations

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

1993 • 155 citations

A transactions data analysis of the variability of common stock returns during 1980–1984

1990 • 104 citations

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

1991 • 94 citations