Measuring abnormal performance

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Efficient Capital Markets: II

1991 • 5,145 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 2,176 citations

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings

1990 • 2,121 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 1,843 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

1989 • 1,791 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM

1989 • 1,578 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 citations

Price performance of common stock new issues

1975 • 1,377 citations

Efficient Capital Markets: II

1991 • 1,302 citations

Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence

1988 • 1,150 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Studies in the Theory of Capital Markets.

1973 • 644 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Equilibrium Short Horizons of Investors and Firms

1990 • 554 citations

Nonstationary expected returns

1989 • 512 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

Long‐Term Market Overreaction or Biases in Computed Returns?

1993 • 465 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 442 citations

Vas Ist Das?

1983 • 433 citations

Size, Seasonality, and Stock Market Overreaction

1990 • 404 citations

Stocks, bonds, bills, and inflation yearbook

1993 • 385 citations

Further Evidence on Investor Overreaction and Stock Market Seasonality

1987 • 384 citations

Evidence of Predictable Behavior of Security Returns

1990 • 378 citations

Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence

1988 • 360 citations

Fundamentals and Stock Returns in Japan

1991 • 359 citations

Risk and return

1984 • 330 citations

Event study methodologies and the size effect

1986 • 310 citations

Systematic risk, total risk and size as determinants of stock market returns

1986 • 295 citations

Security Returns Around Earnings Announcements

2016 • 260 citations

A Test of the Extended Functional Fixation Hypothesis

2016 • 248 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

Seasonalities in security returns

1988 • 197 citations

Long-Term Market Overreaction or Biases in Computed Returns?

1993 • 189 citations

Portfolio Rebalancing and the Turn‐of‐the‐Year Effect

1989 • 182 citations

The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 128 citations

Good News, Bad News, Volatility, and Betas

1995 • 97 citations

Can Tax‐Loss Selling Explain the January Seasonal in Stock Returns?

1986 • 74 citations

Portfolio Rebalancing and the Turn-Of-The-Year Effect

1989 • 59 citations

Value Line Rank and Firm Size

1987 • 56 citations

Common Factors in the Serial Correlation of Stock Returns

1986 • 36 citations

Can Tax-Loss Selling Explain the January Seasonal in Stock Returns?

1986 • 20 citations