Market Liquidity and Trading Activity

Continuous Auctions and Insider Trading

1985 • 9,651 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Contrarian Investment, Extrapolation, and Risk

1994 • 4,396 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

The Cost of Transacting

1968 • 1,909 citations

Commonality in liquidity

2000 • 1,683 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

1994 • 1,334 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Momentum Strategies

1996 • 1,172 citations

Common factors in prices, order flows, and liquidity

2001 • 1,119 citations

Transactions, Volume, and Volatility

1994 • 888 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

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

1986 • 828 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000 • 702 citations

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

1994 • 659 citations

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

1993 • 645 citations

Multimarket Trading and Market Liquidity

1991 • 634 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

1990 • 479 citations

Commonality in Liquidity

1999 • 463 citations

Common Factors in Prices, Order Flows and Liquidity

1999 • 288 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

1989 • 211 citations

The capital asset pricing model and the liquidity effect: A theoretical approach

2000 • 198 citations

Some evidence on the news content of preliminary earnings estimates

1994 • 79 citations

Microstructure and Seasonality in the UK Equity Market

1997 • 64 citations

The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis

1999 • 57 citations

A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS

1988 • 51 citations

Common Factors in Prices, Order Flows and Liquidity

1998 • 8 citations