Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 5,293 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Herd Behavior and Investment

1990 • 2,877 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

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

1983 • 1,692 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

The Noise Trader Approach to Finance

1990 • 1,576 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 1,247 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Size, Seasonality, and Stock Market Overreaction

1990 • 404 citations

A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

1994 • 392 citations

Evidence of Predictable Behavior of Security Returns

1990 • 378 citations

Patterns of Institutional Investment, Prudence, and the Managerial "Safety-Net" Hypothesis

1989 • 268 citations

Giraffes, Institutions and Neglected Firms

1983 • 236 citations

Rational expectations equilibrium with conditioning on past prices: A mean-variance example

1982 • 189 citations

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

1984 • 167 citations

Imperfect Information and Cross‐Autocorrelation among Stock Prices

1993 • 164 citations

Two Tiers - But How Many Decisions?

1976 • 50 citations

Small Firm Effect: Are there Abnormal Returns in the Market?

1990 • 9 citations