A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

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

1988 • 3,715 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 2,176 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

Biases in computed returns

1983 • 846 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Some New Stock-Market Indexes

1966 • 558 citations

Time-Variation in Expected Returns

1988 • 489 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 442 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

Evidence of Predictable Behavior of Security Returns

1990 • 378 citations

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

1988 • 368 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Portfolio return autocorrelation

1993 • 293 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 215 citations

Nonsynchronous Security Trading and Market Index Autocorrelation

1987 • 214 citations

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

1989 • 211 citations

Asymmetric Predictability of Conditional Variances

1991 • 209 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 193 citations

The October 1987 S&P 500 Stock‐Futures Basis

1989 • 169 citations

Components of short-horizon individual security returns

1991 • 128 citations

Return Autocorrelations around Nontrading Days

1993 • 122 citations

MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS

1997 • 100 citations

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

1980 • 71 citations

Portfolio Serial Correlation and Nonsynchronous Trading

1985 • 62 citations

Market Serial Correlation on a Small Security Market: A Note

1988 • 38 citations

The October 1987 S&P 500 Stock-Futures Basis

1989 • 32 citations

Autocorrelation of daily index returns: intraday-to-intraday versus close-to-close intervals

1991 • 27 citations

Maximizing Predictability in the Stock and Bond Markets

1992 • 12 citations

The behavior of prices in the Value Line stock index futures market under both versions of the spot index

1993 • 1 citations