An Investigation of Market Microstructure Impacts on Event Study Returns

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Corporate financing and investment decisions when firms have information that investors do not have

1984 • 18,167 citations

Valuation effects of security offerings and the issuance process

1986 • 1,281 citations

Biases in computed returns

1983 • 846 citations

The effect of large block transactions on security prices: A cross-sectional analysis

1987 • 501 citations

Transaction costs and the small firm effect

1983 • 461 citations

Withdrawn Security Offerings

1988 • 414 citations

Tax-induced trading around ex-dividend days

1986 • 348 citations

Announcement effects of new equity issues and the use of intraday price data

1988 • 310 citations

Abnormal stock returns associated with media disclosures of ‘subject to’ qualified audit opinions

1986 • 277 citations

Volatility increases subsequent to stock splits: An empirical aberration

1985 • 267 citations

Trading costs for listed options

1980 • 218 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

Seasoned Equity Offerings: An Empirical Investigation

2007 • 173 citations

The Valuation Effects of Stock Splits and Stock Dividends

2007 • 74 citations

Size Effects of Seasoned Stock Issues: Empirical Evidence

1986 • 65 citations

The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

1992 • 54 citations