References

• 1990Noise Trader Risk in Financial Markets6,259 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1997Disclosure level and the cost of equity capital.3,577 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
• 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
• 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
• 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
• 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
• 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
• 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
• 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
• 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
• 1995Trade Size and Components of the Bid-Ask Spread