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Market microstructure and securities values:

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1985Using daily stock returns6,497 cited
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
1986Asset pricing and the bid-ask spread5,087 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1977Estimating betas from nonsynchronous data2,751 cited
1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
1998Liquidity and stock returns: An alternative test1,318 cited
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.11,197 cited
1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

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