Trading patterns, bid-ask spreads, and estimated security returns

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

Size-related anomalies and stock return seasonality

Donald B. Keim · Journal of Financial Economics · 1983 · 1.8K citations

Business, Finance, Financial Economics +13

Estimating the components of the bid/ask spread

Lawrence R. Glosten, Lawrence Harris · Journal of Financial Economics · 1988 · 1.7K citations

Business, Economics, Auction Theory +10

Are Seasonal Anomalies Real? A Ninety-Year Perspective

Josef Lakonishok, Seymour Smidt · Review of Financial Studies · 1988 · 1.2K citations

Business, Finance, Climatology +15

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

Hans R. Stoll · The Journal of Finance · 1989 · 949 citations

Business, Accountancy, Business Economics +14