Short sales and put options: Where is the bad news first traded?

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 15.1K citations

Business, Economics, Finance +17

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

Constraints on short-selling and asset price adjustment to private information

Douglas W. Diamond, Robert E. Verrecchia · Journal of Financial Economics · 1987 · 1.9K citations

Social Sciences, Economics, Finance +14

Measuring the Information Content of Stock Trades

Joel Hasbrouck · The Journal of Finance · 1991 · 1.9K citations

Social Sciences, Economics, Finance +14

One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · The Journal of Finance · 1995 · 1.6K citations

Business, Economics, Finance +17