A transactions data analysis of the variability of common stock returns during 1980–1984

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Stock return variances

1986 • 1,878 citations

Biases in computed returns

1983 • 846 citations

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

1986 • 828 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Predictability of Stock Market Prices.

1971 • 252 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations

The Predictability of Stock Market Prices.

1971 • 119 citations

A Theory of Common Stock Returns Over Trading and Non-Trading Periods

1980 • 41 citations

INTRADAY AND OVERNIGHT RETURNS AND DAY‐OF‐THE‐WEEK EFFECTS

1985 • 26 citations

Simple Goodness-of-Fit Tests for Symmetric Stable Distributions

1977 • 9 citations