Options markets and stock return volatility

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

Asset pricing and the bid-ask spread

Yakov Amihud, Haim Mendelson · Journal of Financial Economics · 1986 · 5.3K citations

Business, Economics, Finance +17

Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics · 1987 · 4.3K citations · Full text

Business, Economics, Finance +12

On estimating the expected return on the market

Robert C. Merton · Journal of Financial Economics · 1980 · 2.9K citations

Business, Economics, Finance +12

Estimating betas from nonsynchronous data

Myron S. Scholes, Joseph Williams · Journal of Financial Economics · 1977 · 2.8K citations

Natural Sciences, Biostatistics, Econometrics +6