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Chapter 12 Market microstructure
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Chapter 12 Market microstructure (1995)Chapter 12 Market microstructureStock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Liquidity and Market Structure (1988)Liquidity and Market StructureA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Information, trade and common knowledge (1982)Information, trade and common…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The Market for "Lemons": Qual…The Cost of Transacting (1968)The Cost of TransactingThe Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of rational option pricing (2005)Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)In Search of Attention (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Market structure, information, futures markets, and price formation. (1984)The theory of economic growth (1955)"The Economic Value of Education." (1964)Risk and insurance (1973)The Evolution of Cooperation (1981)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Resource-Based Theory of Competitive Advantage: Implications for Strategy Formulation (1991)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Asset pricing and the bid-ask spread (1986)Networks: Between markets and hierarchies (1986)
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References

  • 1970The Market for "Lemons": Quality Uncertainty and the Market Mechanism24,221 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,717 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1986Stock return variances1,841 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 1988Liquidity and Market Structure1,573 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981

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Optimal dealer pricing under transactions and return uncertainty
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