Stock return variances

The Behavior of Stock-Market Prices

1965 • 8,575 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Stock returns and the weekend effect

1980 • 1,965 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

1984 • 615 citations

A monthly effect in stock returns

2011 • 503 citations

A monthly effect in stock returns

1987 • 480 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations

SOME THEOREMS ON TIME SERIES II. THE SIGNIFICANCE OF THE SERIAL CORRELATION COEFFICIENT

1948 • 106 citations

SOME THEOREMS ON TIME SERIES. I

1947 • 57 citations

The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

1982 • 50 citations

Some Theorems on Time Series: II The Significance of the Serial Correlation Coefficient

1948 • 48 citations

A Theory of Common Stock Returns Over Trading and Non-Trading Periods

1980 • 41 citations

The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process

1982 • 15 citations