Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis

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2005 • 18,630 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

An Empirical Evaluation of Accounting Income Numbers

1968 • 6,381 citations

Equilibrium in a Capital Asset Market

1966 • 4,832 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

Intervention Analysis with Applications to Economic and Environmental Problems

1975 • 2,217 citations

Applied analysis

1961 • 1,590 citations

ON THE ASSESSMENT OF RISK

1971 • 736 citations

DIVIDEND ANNOUNCEMENTS, SECURITY PERFORMANCE, AND CAPITAL MARKET EFFICIENCY

1972 • 624 citations

Econometric Methods, 2nd Ed.

1976 • 504 citations

Beta as a Random Coefficient

1978 • 387 citations

THE ADJUSTMENT OF STOCK PRICES TO BOND RATING CHANGES

1978 • 299 citations

A change in level of a non-stationary time series

1965 • 243 citations

Relationship between Accounting Changes and Stock Prices: Problems of Measurement and Some Empirical Evidence

1973 • 158 citations

A REEXAMINATION OF STOCK SPLITS USING MOVING BETAS

1977 • 101 citations

EARNINGS CHANGES, STOCK PRICES, AND MARKET EFFICIENCY

1978 • 89 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

Assessing the Impact of Market Disturbances Using Intervention Analysis

1977 • 73 citations

A SIMPLE MODEL OF NON‐STATIONARITY OF SYSTEMATIC RISK

1977 • 61 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

Investigations of Nonstationarity in Prices

1974 • 56 citations

Additional Evidence of Heteroscedasticity in the Market Model

1980 • 44 citations

THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS

1977 • 37 citations