Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

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

1985 • 6,148 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 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

Estimating the components of the bid/ask spread

1988 • 1,681 citations

The Components of the Bid-Ask Spread: A General Approach

1997 • 1,198 citations

Time and the Process of Security Price Adjustment

1992 • 1,163 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

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

1989 • 951 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

Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?

1994 • 792 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

1996 • 645 citations

Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

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

1984 • 615 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

1993 • 524 citations

Trades, quotes, inventories, and information

1988 • 517 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 423 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

1993 • 397 citations

Trading Mechanisms in Securities Markets

1992 • 385 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?

1994 • 336 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

Time and the Process of Security Price Adjustment

1992 • 311 citations

Market Microstructure and Stock Return Predictions

1994 • 274 citations

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

1997 • 245 citations

On the Estimation of Bid-Ask Spreads: Theory and Evidence

1988 • 244 citations

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

1989 • 204 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 193 citations

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

1992 • 189 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 179 citations

Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?

1994 • 165 citations

Order Arrival, Quote Behavior, and the Return‐Generating Process

1987 • 161 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 142 citations

Components of short-horizon individual security returns

1991 • 128 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

1993 • 96 citations

Why did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?

1994 • 94 citations

Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices

1987 • 81 citations

Quotes, Prices, and Estimates in a Laboratory Market

1996 • 63 citations

Displayed and Effective Spreads By Market

1992 • 53 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 49 citations

Order Arrival, Quote Behavior, and the Return-Generating Process

1987 • 47 citations

Market Transparency: Who Wins and Who Loses?

1998 • 37 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 35 citations