Zooming in on Liquidity

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Bruno Biais, Pierre Hillion, Chester S. Spatt · The Journal of Finance · 1995 · 1.1K citations

Business, Business Economics, Economics +17

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

Charles M.C. Lee, Belinda Mucklow, Mark J. Ready · Review of Financial Studies · 1993 · 1.1K citations

Business, Accountancy, Accounting +12

The effect of large block transactions on security prices: A cross-sectional analysis

Robert W. Holthausen, Richard Leftwich, David Mayers · Journal of Financial Economics · 1987 · 487 citations

Business, Business Economics, Economics +7

Earnings Announcements and the Components of the Bid‐Ask Spread

Itzhak Krinsky, Jason Lee · The Journal of Finance · 1996 · 382 citations

Business, Business Economics, Finance +17

Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks

Michael J. Barclay, William G. Christie, Jeffrey H. Harris et al. · The Journal of Finance · 1999 · 348 citations

Business, Business Economics, Finance +13