Stock market anomalies

The relationship between return and market value of common stocks

1981 • 6,052 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS

1977 • 2,379 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

The relationship between earnings' yield, market value and return for NYSE common stocks

1983 • 1,692 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

The effect of personal taxes and dividends on capital asset prices

1979 • 1,248 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Biases in computed returns

1983 • 846 citations

Anomalies in relationships between securities' yields and yield-surrogates

1978 • 779 citations

Dividends and Taxes: Some Empirical Evidence

1982 • 684 citations

Stock market seasonality

1983 • 594 citations

Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis

1977 • 585 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

Event study methodologies and the size effect

1986 • 310 citations

Sample‐Dependent Results Using Accounting and Market Data: Some Evidence

1986 • 265 citations

Stock Returns and Dividend Yields: Some More Evidence

1980 • 227 citations

Dividend yields and stock returns: Implications of abnormal January returns

1985 • 217 citations

The Stability of UK Risk Measures and The Problem of Thin Trading

1983 • 185 citations

Size and Earnings/Price Ratio Anomalies: One Effect or Two?

1984 • 167 citations

The Turn‐of‐the‐Year in Canada

1984 • 166 citations

Equity Rights Issues and the Efficiency of the UK Stock Market

1979 • 142 citations

PRICE, BETA, AND EXCHANGE LISTING

1973 • 113 citations

Taxation and the stock market valuation of capital gains and dividends

1980 • 111 citations

Earnings Yields, Market Values, and Stock Returns

1989 • 94 citations

A Possible Explanation of the Small Firm Effect

1981 • 92 citations

Seasonality in the Risk‐Return Relationship: Some International Evidence

1987 • 84 citations

Equity Rights Issues and the Efficiency of the UK Stock Market

1979 • 70 citations

The Stability of UK Risk Measures and the Problem of Thin Trading

1983 • 61 citations

Sample-Dependent Results Using Accounting and Market Data: Some Evidence

1986 • 59 citations

A simple examination of the empirical relationship between dividend yields and deviations from the CAPM

1983 • 46 citations

Industry Relative Price-Earnings Ratios as Indicators of Investment Returns

1983 • 44 citations

The Interaction of Firm Size and Price-Earnings Ratio on Portfolio Performance

1986 • 33 citations

The Turn-of-the-Year in Canada

1984 • 25 citations

Price, Beta, and Exchange Listing

1973 • 24 citations

Seasonality in the Risk-Return Relationship: Some International Evidence

1987 • 24 citations