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Abstract

References (23)

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Price performance of common stock new issues

1975 • 1,377 citations

Some New Stock-Market Indexes

1966 • 558 citations

A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS

1973 • 467 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

Risk measurement when shares are subject to infrequent trading

1983 • 248 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Estimating and Adjusting for the Intervalling-Effect Bias in Beta

1983 • 154 citations

Equity Rights Issues and the Efficiency of the UK Stock Market

1979 • 142 citations

A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas

1973 • 125 citations

The Market Model Applied to European Common Stocks: Some Empirical Results

1974 • 101 citations

AN INDUSTRY STUDY OF THE PROFITABILITY OF MERGERS IN THE UNITED KINGDOM

1977 • 99 citations

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

1974 • 81 citations

Stock exchange seats as capital assets

1977 • 73 citations

The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

1978 • 72 citations

Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk

1980 • 71 citations

Equity Rights Issues and the Efficiency of the UK Stock Market

1979 • 70 citations

Comparative Analysis of Risk Measures: France and the United States

1974 • 43 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

An Industry Study of the Profitability of Mergers in the United Kingdom

1977 • 26 citations

The Analytic Relationship between Intervaling and Nontrading Effects in Continuous Time

1983 • 17 citations

On the time-behavior of financial parameters : an investigation of the intervaling effect

1977 • 8 citations

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Friction in the trading process and the estimation of systematic risk (1983) – Journal of Financial Economics | Metascience Observatory Explorer