Volume and Autocovariances in Short‐Horizon Individual Security Returns

Does the Stock Market Overreact?

1985 • 7,120 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Trading Volume and Serial Correlation in Stock Returns

1993 • 1,580 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 1,063 citations

Risk aversion, uncertain information, and market efficiency

1988 • 531 citations

Time-Variation in Expected Returns

1988 • 489 citations

Asymmetric Predictability of Conditional Variances

1991 • 209 citations

Information, trading, and volatility

1994 • 182 citations

Components of short-horizon individual security returns

1991 • 128 citations