Volume and turn-of-the-year behavior

The relationship between return and market value of common stocks

1981 • 6,052 citations

Estimating betas from nonsynchronous data

1977 • 2,887 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

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Biases in computed returns

1983 • 846 citations

Differential information and the small firm effect

1984 • 543 citations

Transaction costs and the small firm effect

1983 • 461 citations

Weekend Effects on Stock Returns: A Note

1982 • 438 citations

Vas Ist Das?

1983 • 433 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

New evidence on the nature of size-related anomalies in stock prices

1983 • 362 citations

Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence

2011 • 347 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Certain Observations on Seasonal Movements in Stock Prices

1942 • 316 citations

Optimal stock trading with personal taxes

1984 • 301 citations

Stock return seasonalities and the tax-loss selling hypothesis

1983 • 264 citations

Size and stock returns, and other empirical regularities

1983 • 260 citations

CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR

1977 • 256 citations

A Tax Loss Trading Rule

1977 • 247 citations

Giraffes, Institutions and Neglected Firms

1983 • 236 citations

Trading rules, large blocks and the speed of price adjustment

1977 • 203 citations

A Direct Test of Roll's Conjecture on the Firm Size Effect

1982 • 194 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Trading Cost: The Critical Link Between Investment Information and Results

1983 • 171 citations

Year‐End Tax‐Induced Sales and Stock Market Seasonality

1983 • 142 citations

Seasonality in Australian capital markets

1975 • 132 citations

THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS

1978 • 80 citations

The Relation Between Common Stock Returns Trading Activity and Market Value

1983 • 76 citations

Weekend Effects on Stock Returns: A Comment

1985 • 75 citations

Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist

1979 • 49 citations

Opening prices on the New York Stock Exchange

1981 • 22 citations

Continuous Versus Intermittent Trading on Auction Markets

1979 • 20 citations

The Small Firm Effect

1983 • 18 citations

The Holding Period Distinction of the Capital Gains Tax

1981 • 11 citations

The effect of capital gains taxation on the stock market

1973 • 6 citations