Price reversals

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Does the Stock Market Overreact?

1985 • 7,120 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

Estimating betas from nonsynchronous data

1977 • 2,887 citations

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

1984 • 2,564 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 2,212 citations

Stock return variances

1986 • 1,878 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

Biases in computed returns

1983 • 846 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

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

1984 • 615 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 561 citations

The size and power of the variance ratio test in finite samples

1989 • 523 citations

Time-Variation in Expected Returns

1988 • 489 citations

R-S1-2

1988 • 412 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 336 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 193 citations

The Microstructure of Securities Markets.

1986 • 178 citations

R 2

1988 • 171 citations

Components of short-horizon individual security returns

1991 • 128 citations

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

1948 • 106 citations

Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices

1987 • 81 citations

Market Making and Reversal on the Stock Exchange

1966 • 74 citations

SOME THEOREMS ON TIME SERIES. I

1947 • 57 citations

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

1948 • 48 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1988 • 22 citations