World wide security market regularities

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 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

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 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

Portfolio Selection: Efficient Diversification of Investments

1959 • 5,744 citations

Efficient Capital Markets: II

1991 • 5,145 citations

Equilibrium in a Capital Asset Market

1966 • 4,832 citations

The variation of certain speculative prices

1997 • 4,766 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Portfolio Selection

1952 • 4,159 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Mutual Fund Performance

1966 • 3,489 citations

The Long‐Run Performance of initial Public Offerings

1991 • 3,447 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

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

1977 • 3,099 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

Théorie de la spéculation

1900 • 2,440 citations

INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS

1977 • 2,379 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 2,212 citations

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings

1990 • 2,121 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 1,843 citations

Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

1989 • 1,791 citations

The Performance of Mutual Funds in the Period 1945-1964

1968 • 1,763 citations

The relationship between earnings' yield, market value and return for NYSE common stocks

1983 • 1,692 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM

1989 • 1,578 citations

Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings

1989 • 1,430 citations

Investor Sentiment and the Closed-End Fund Puzzle

1991 • 1,422 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Efficient Capital Markets: II

1991 • 1,302 citations

Survivorship Bias in Performance Studies

1992 • 1,161 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry

1992 • 1,130 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior

1992 • 1,022 citations

Determinants of Portfolio Performance

1986 • 1,007 citations

The Investment, Financing, and Valuation of the Corporation

1963 • 983 citations

Anomalies: Foreign Exchange

1990 • 955 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios

1993 • 911 citations

The Long-Run Performance of Initial Public Offerings

1991 • 889 citations

Measuring abnormal performance

1992 • 864 citations

Capital Equipment Analysis: The Required Rate of Profit

1956 • 851 citations

Biases in computed returns

1983 • 846 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

Anomalies in relationships between securities' yields and yield-surrogates

1978 • 779 citations

Can Stock Market Forecasters Forecast?

1933 • 717 citations

Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984

1989 • 664 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Studies in the Theory of Capital Markets.

1973 • 644 citations

Industrial Structure and the Comparative Behavior of International Stock Market Indices

1992 • 603 citations

Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis

1977 • 585 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 561 citations

The Structure and Performance of the Money Management Industry

1992 • 535 citations

Nonstationary expected returns

1989 • 512 citations

A monthly effect in stock returns

2011 • 503 citations

Noise

1986 • 499 citations

Earnings Yields, Market Values, and Stock Returns

1989 • 494 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1991 • 488 citations

A monthly effect in stock returns

1987 • 480 citations

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

1990 • 479 citations

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

1988 • 439 citations

Vas Ist Das?

1983 • 433 citations

Size, Seasonality, and Stock Market Overreaction

1990 • 404 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 397 citations

Further Evidence on Investor Overreaction and Stock Market Seasonality

1987 • 384 citations

Security Analysis: Principles and Technique.

1963 • 380 citations

Evidence of Predictable Behavior of Security Returns

1990 • 378 citations

Stock splits, stock prices, and transaction costs

1988 • 309 citations

Were Japanese stock prices too high?

1991 • 291 citations

STOCK‐MARKET “PATTERNS” AND FINANCIAL ANALYSIS: METHODOLOGICAL SUGGESTIONS

1959 • 289 citations

Volatility increases subsequent to stock splits: An empirical aberration

1985 • 267 citations

Industrial Structure and the Comparative Behavior of International Stock Market Indices

1992 • 264 citations

Anomalies: A Mean-Reverting Walk Down Wall Street

1989 • 262 citations

The value line enigma (1965–1978)

1982 • 243 citations

The New Finance: The Case Against Efficient Markets.

1995 • 236 citations

Turn‐of‐Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects

1990 • 231 citations

Stock Returns and Dividend Yields: Some More Evidence

1980 • 227 citations

Dividend yields and stock returns: Implications of abnormal January returns

1985 • 217 citations

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

1989 • 211 citations

Stock market anomalies

1989 • 208 citations

Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets

1986 • 200 citations

The italian stock market

1990 • 195 citations

Portfolio Rebalancing and the Turn‐of‐the‐Year Effect

1989 • 182 citations

Market microstructure and asset pricing

1990 • 174 citations

Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior

1992 • 173 citations

Land and Stock Prices in Japan

1993 • 152 citations

The effect of value line investment survey rank changes on common stock prices

1985 • 148 citations

Estimating Expected Return

1995 • 146 citations

Calendar Anomalies: Abnormal Returns at Calendar Turning Points

1988 • 137 citations

Why a weekend effect

1988 • 134 citations

Disentangling Equity Return Regularities: New Insights and Investment Opportunities

1988 • 129 citations

Does Market Risk Really Explain the Size Effect?

1992 • 124 citations

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

1988 • 121 citations

Price-Earnings Ratios

1960 • 120 citations

Stock-Market "Patterns" and Financial Analysis: Methodological Suggestions

1959 • 115 citations

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

1990 • 112 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 111 citations

Japanese security market regularities

1991 • 110 citations

Asset allocation with hedged and unhedged foreign stocks and bonds

1989 • 108 citations

Evaluating the Diversification Benefits of the New Country Funds

1992 • 103 citations

Beta Changes around Stock Splits: A Note

1988 • 98 citations

Odd-Lot Transactions around the Turn of the Year and the January Effect

1992 • 96 citations

Earnings Yields, Market Values, and Stock Returns

1989 • 94 citations

The relation between the Value Line enigma and post-earnings-announcement drift

1992 • 92 citations

A Note on the Behavior of Stock Returns around Ex‐Dates of Stock Distributions

1987 • 88 citations

Weekly Patterns in Japanese Stock Returns

1990 • 87 citations

Do Winners Repeat? Patterns in Mutual Fund Behavior

1990 • 68 citations

Portfolio Rebalancing and the Turn-Of-The-Year Effect

1989 • 59 citations

Hot Hands in Mutual Funds: The Persistence of Performance, 1974-87

1990 • 58 citations

Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects

1990 • 58 citations

Market Efficiency and Value Line's Record

1990 • 56 citations

Value Line Rank and Firm Size

1987 • 56 citations

The Anatomy of a Stock Market Winner

1988 • 53 citations

Closed-end fund discounts

1992 • 51 citations

Short Rates and Expected Asset Returns

1990 • 49 citations

The Theory of Security Pricing and Market Structure

1991 • 45 citations

Macroeconomics and finance

1998 • 45 citations

Industry Relative Price-Earnings Ratios as Indicators of Investment Returns

1983 • 44 citations

A Study of Mutual Funds.

1963 • 42 citations

OR Practice—Playing the Turn-of-the-Year Effect with Index Futures

1987 • 41 citations

Currency hedging strategies for internationally diversified equity portfolios

1990 • 38 citations

Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets

1986 • 37 citations

The Relative Performance of the PSR and PER Investment Strategies

1987 • 34 citations

Beta Changes Around Stock Splits: A Note

1988 • 34 citations

UNUSUAL FEATURES OF LIFE INSURANCE INVESTING*

1951 • 33 citations

Beta Changes around Stock Splits Revisited

1992 • 33 citations

The negative earnings effect

1991 • 31 citations

Being a winner in the Tokyo stock market

1990 • 26 citations

On the Value of ‘Value’

1988 • 25 citations

A Note on the Behavior of Stock Returns around Ex-Dates of Stock Distributions

1987 • 22 citations

Incentive Fees: The Basic Issues

1987 • 20 citations

Comment on ”Why a Weekend Effect?“

1993 • 19 citations

The January Barometer

1995 • 19 citations

Investing in the Turn-of-the-Year Effect in the US Futures Markets

1994 • 18 citations

Estimating Expected Returns

2003 • 17 citations

The CAPM and the Calendar: Empirical Anomalies and the Risk-Return Relationship

1992 • 16 citations

How to profit from intradaily stock returns

1986 • 14 citations