Liquidity and Market Structure

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

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

1984 • 2,564 citations

The Cost of Transacting

1968 • 1,909 citations

Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

1981 • 394 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

Liquidity, exchange listing, and common stock performance

1985 • 213 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

Economic costs and benefits of the proposed one—minute time bracketing regulation

1986 • 23 citations