Predictable events and excess returns: The case of dividend announcements

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Using daily stock returns

1985 • 6,463 citations

An Empirical Evaluation of Accounting Income Numbers

1968 • 6,381 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Measuring security price performance

1980 • 3,397 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

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

1977 • 3,099 citations

Elements of econometrics

1971 • 3,087 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Intervention Analysis with Applications to Economic and Environmental Problems

1975 • 2,217 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test

1976 • 1,761 citations

Price performance of common stock new issues

1975 • 1,377 citations

Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis

1980 • 1,082 citations

Dividends and Taxes: Some Empirical Evidence

1982 • 684 citations

DIVIDEND ANNOUNCEMENTS, SECURITY PERFORMANCE, AND CAPITAL MARKET EFFICIENCY

1972 • 624 citations

A New Approach to Estimating Switching Regressions

1972 • 578 citations

Models of Stock Returns—A Comparison

1984 • 561 citations

The effects of capital structure change on security prices

1980 • 541 citations

Estimating Mixtures of Normal Distributions and Switching Regressions

1978 • 489 citations

Dividend information, stock returns and market efficiency-II

1978 • 435 citations

Anticipated information releases reflected in call option prices

1979 • 346 citations

Wealth redistributions or changes in firm value

1984 • 264 citations

CONCEPTUAL PROBLEMS IN THE USE OF RISK-ADJUSTED DISCOUNT RATES*

1966 • 223 citations

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

1982 • 194 citations

The Influence of Quarterly Earnings Announcements on Investor Decisions as Reflected in Common Stock Price Changes

1971 • 148 citations

The Impact of Dividend and Earnings Announcements: A Reconciliation

1976 • 98 citations

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

1980 • 79 citations

Specification Tests for Portfolio Regression Parameter Stationarity and the Implications for Empirical Research

1979 • 38 citations