Intraday volatility and trading volume after takeover announcements

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 25.8K citations

Empirical Finance, Econometric Model, Volatility Modeling +13

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.3K citations

Empirical Finance, Volatility Innovations, Volatility Modeling +15

The relationship between return and market value of common stocks

Rolf W. Banz · Journal of Financial Economics · 1981 · 6.1K citations

Market Microstructure, Financial Economics, Asset Pricing +7

The market for corporate control

Michael C. Jensen, Richard S. Ruback · Journal of Financial Economics · 1983 · 4.2K citations

Control Environment, Ownership Structure, Corporate Control +5

A Theory of Intraday Patterns: Volume and Price Variability

Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.2K citations

Empirical Finance, Intraday Patterns, Market Design +17