References

• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1983Information Effects on the Bid-Ask Spread1,875 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
• 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
• 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
• 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
• 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
• 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
• 1990