Biases in computed returns
Data up to Jan 2025
Total Citations Per Year
Abstract
References (25)
The relationship between return and market value of common stocks
1981 • 6,052 citations
Estimating betas from nonsynchronous data
1977 • 2,887 citations
Risk measurement when shares are subject to infrequent trading
1979 • 2,767 citations
The Cost of Transacting
1968 • 1,909 citations
Size-related anomalies and stock return seasonality
1983 • 1,852 citations
Misspecification of capital asset pricing
1981 • 1,344 citations
The anomalous stock market behavior of small firms in January
1983 • 885 citations
Some New Stock-Market Indexes
1966 • 558 citations
Transaction costs and the small firm effect
1983 • 461 citations
A Possible Explanation of the Small Firm Effect
1981 • 422 citations
New evidence on the nature of size-related anomalies in stock prices
1983 • 362 citations
Market Making and Reversal on the Stock Exchange
1966 • 360 citations
On computing mean returns and the small firm premium
1983 • 319 citations
A Direct Test of Roll's Conjecture on the Firm Size Effect
1982 • 194 citations
BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD
1977 • 172 citations
The Arbitrage Pricing Theory: Some Empirical Results
1981 • 167 citations
A Possible Explanation of the Small Firm Effect
1981 • 92 citations
Market Making and Reversal on the Stock Exchange
1966 • 74 citations
Risk, Investment Strategy and the Long-Run Rates of Return
1974 • 64 citations
PORTFOLIO RETURNS AND THE RANDOM WALK THEORY
1971 • 48 citations
The Arbitrage Pricing Theory: Some Empirical Results
1981 • 44 citations
A Direct Test of Roll's Conjecture on the Firm Size Effect
1982 • 43 citations
Bid-Asked Spreads on the AMEX and the Big Board
1977 • 33 citations
Consumer Instalment and Home-Mortgage Debt
1956 • 17 citations
Portfolio Returns and the Random Walk Theory
1971 • 9 citations