The intraday speed of adjustment of stock prices to earnings and dividend announcements

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

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

The Random Character of Stock Market Prices

1968 • 931 citations

Anomalies in relationships between securities' yields and yield-surrogates

1978 • 779 citations

Market microstructure

1976 • 533 citations

THE SUPERIORITY OF ANALYST FORECASTS AS MEASURES OF EXPECTATIONS: EVIDENCE FROM EARNINGS

1978 • 462 citations

Dividend information, stock returns and market efficiency-II

1978 • 435 citations

Comovements in Stock Prices in the Very Short Run

1979 • 435 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Periodic Structure in the Brownian Motion of Stock Prices

1962 • 355 citations

The Random Character of Stock Market Prices.

1965 • 331 citations

Empirical anomalies based on unexpected earnings and the importance of risk adjustments

1982 • 301 citations

Systematic ‘abnormal’ returns after quarterly earnings announcements

1978 • 249 citations

Trading rules, large blocks and the speed of price adjustment

1977 • 203 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 179 citations

Comovements in Stock Prices in the Very Short Run

1979 • 174 citations

Clustering of Stock Prices

1965 • 156 citations

The stock market and economic efficiency

1965 • 147 citations

The Superiority of Analyst Forecasts as Measures of Expectations: Evidence from Earnings

1978 • 124 citations

Obustness of Some Procedures for the Two-Sample Location Problem

1964 • 116 citations

A New Look at Clustering of Stock Prices

1966 • 99 citations

Standardized Unexpected Earnings—1971–77

1979 • 97 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

A New Look at the Random Walk Hypothesis

1968 • 79 citations

The market speed of adjustment to new information

1979 • 78 citations

Market Making and Reversal on the Stock Exchange

1966 • 74 citations

Performance Evaluation of New York Stock Exchange Specialists

1974 • 64 citations

Robustness of Some Procedures for the Two-Sample Location Problem

1964 • 64 citations

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

1979 • 49 citations

On the independence of transactions on the New York Stock exchange

1977 • 48 citations

Standardized Unexpected Earnings--1971-77

1979 • 46 citations

The API and the Design of Experiments

1979 • 37 citations

A Test of the Serial Independence Price Changes in Soybean Futures

1965 • 36 citations

Nonrandom Price Changes in Association with Trading in Large Blocks

1973 • 36 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 35 citations

Note on the behavior of residual security returns for winner and loser portfolios

1981 • 31 citations

The Dynamics of Stock Trading

1965 • 23 citations

Opening prices on the New York Stock Exchange

1981 • 22 citations

Continuous Versus Intermittent Trading on Auction Markets

1979 • 20 citations

Impending Changes for Securities Markets: What Role for the Exchanges?

1980 • 17 citations

Residual (API) Analysis and the Private Value of Information

1979 • 17 citations

From Orders to Trades: Some Alternative Market Mechanisms

1977 • 15 citations

Assimilating earnings and split information

1981 • 13 citations

Common-Stock Transaction Sequences and the Random-Walk Model

1971 • 10 citations

Comment: Assessing the Impact of Stock Exchange Specialists on Stock Volatility

1976 • 9 citations

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

1979 • 8 citations

Market and price factors in transaction-to-transaction price change behaviour of common stocks

1974 • 6 citations

Reply: Specialists' Performance and Serial Dependence of Stock Price Changes

1976 • 5 citations