Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange

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

1980 • 25,774 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Measuring security price performance

1980 • 3,397 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Commonality in the determinants of expected stock returns

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Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

1986 • 1,047 citations

Following the Pied Piper: Do Individual Returns Herd around the Market?

1995 • 1,045 citations

Dealership market

1980 • 998 citations

Merger bids, uncertainty, and stockholder returns

1983 • 979 citations

Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?

1994 • 792 citations

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

1991 • 520 citations

New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index

1997 • 518 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings

1994 • 432 citations

Changes in the Standard and Poor's 500 List

1991 • 369 citations

Liquidity and Asset Prices: Financial Management Implications

1988 • 361 citations

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

1994 • 336 citations

Discounts on Restricted Stock: The Impact of Illiquidity on Stock Prices

1991 • 319 citations

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

1991 • 307 citations

Liquidity, Taxes, and Short-Term Treasury Yields

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The value line enigma (1965–1978)

1982 • 243 citations

Cost of Transacting and Expected Returns in the Nasdaq Market

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Market Structures and Liquidity: A Transactions Data Study of Exchange Listings

1994 • 220 citations

Liquidity, exchange listing, and common stock performance

1985 • 213 citations

USING DUMMY VARIABLES IN THE EVENT METHODOLOGY

1988 • 207 citations

Market Behavior in a Clearing House

1982 • 195 citations

Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods

1985 • 190 citations

The Microstructure of Securities Markets.

1986 • 178 citations

Liquidity and the 1987 stock market crash

1990 • 166 citations

Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares

1986 • 149 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

Stock market microstructure and return volatility

1990 • 108 citations

New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index

1996 • 99 citations

MARKET REACTION TO NYSE LISTINGS: TESTS OF THE MARKETABILITY GAINS HYPOTHESIS

1986 • 79 citations

European financial integration

1991 • 63 citations

Random competitive exchange: Price distributions and gains from trade

1985 • 62 citations

UNLISTED TRADING PRIVILEGES, LIQUIDITY, AND STOCK RETURNS

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Trading cost expectations: Evidence from S&P 500 index replacement stock announcements

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Market microstructure and price discovery on the Tokyo Stock Exchange

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How (not) to integrate the European capital markets

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Institutional Investing

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