Testing for micro-structure effects of international dual listings using intraday data

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

Social Sciences, Economics, Auction Theory +7

A Simple Model of Capital Market Equilibrium with Incomplete Information

Robert C. Merton · The Journal of Finance · 1987 · 5.8K citations · Full text

Business, Economics, Finance +8

Inferring Trade Direction from Intraday Data

Charles M.C. Lee, Mark J. Ready · The Journal of Finance · 1991 · 3K citations

Business, Data Science, Data Mining +11

The Cost of Transacting

Harold Demsetz · The Quarterly Journal of Economics · 1968 · 1.9K citations

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Information Effects on the Bid‐Ask Spread

Thomas E. Copeland, Dan Galai · The Journal of Finance · 1983 · 1.8K citations

Social Sciences, Economics, Finance +17