On computing mean returns and the small firm premium

The relationship between return and market value of common stocks

1981 • 6,052 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

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

1977 • 3,099 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Biases in computed returns

1983 • 846 citations

Vas Ist Das?

1983 • 433 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

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

1982 • 194 citations

The Arbitrage Pricing Theory: Some Empirical Results

1981 • 167 citations

PRICE, BETA, AND EXCHANGE LISTING

1973 • 113 citations

Unbiased Estimators of Long-Run Expected Rates of Return

1974 • 99 citations

A Possible Explanation of the Small Firm Effect

1981 • 92 citations

Market Making and Reversal on the Stock Exchange

1966 • 74 citations

The Risk-Return Relationship and Stock Prices

1979 • 49 citations

The Arbitrage Pricing Theory: Some Empirical Results

1981 • 44 citations

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

1982 • 43 citations

Portfolio strategies based on market capitalization

1983 • 41 citations

Price, Beta, and Exchange Listing

1973 • 24 citations

Unbiased Estimators of Long-Run Expected Rates of Return

1974 • 19 citations

Statistical Biases and Security Rates of Return

1971 • 14 citations