Nonstationary expected returns

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

Expected stock returns and volatility

1987 • 4,291 citations

The market for corporate control

1983 • 4,278 citations

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

1988 • 3,715 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

The Adjustment of Stock Prices to New Information

1969 • 3,289 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

On estimating the expected return on the market

1980 • 2,932 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Stock returns and the term structure

1987 • 2,322 citations

Stock return variances

1986 • 1,878 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Performance of Mutual Funds in the Period 1945-1964

1968 • 1,763 citations

Predicting takeover targets

1986 • 1,399 citations

Price performance of common stock new issues

1975 • 1,377 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

The option pricing model and the risk factor of stock

1976 • 1,293 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

Foundations of Finance.

1977 • 1,197 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Stock Prices and Social Dynamics

1984 • 851 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Biases in computed returns

1983 • 846 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Risk aversion, uncertain information, and market efficiency

1988 • 531 citations

Time-Variation in Expected Returns

1988 • 489 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

Further Evidence on Investor Overreaction and Stock Market Seasonality

1987 • 384 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 336 citations

The relation between the return interval and betas

1989 • 252 citations

Stocks, bonds, bills, and inflation : the past and the future

1982 • 178 citations

The Capital Formation Problem in the United States

1979 • 124 citations

A Possible Explanation of the Small Firm Effect

1981 • 92 citations

Income Variation and Balance Sheet Compositions

1976 • 25 citations