Portfolio return autocorrelation

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

The Random Character of Stock Market Prices

1968 • 931 citations

Some New Stock-Market Indexes

1966 • 558 citations

Time-Variation in Expected Returns

1988 • 489 citations

Some A Posteriori Probabilities in Stock Market Action

1937 • 254 citations

Asymmetric Predictability of Conditional Variances

1991 • 209 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Components of short-horizon individual security returns

1991 • 128 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

New Trading Practices and Short-run Market Efficiency

1990 • 26 citations

An explanation for the time-series properties of stock returns

1990 • 1 citations