New evidence on the nature of size-related anomalies in stock prices
Data up to Jan 2025
Total Citations Per Year
Abstract
References (37)
Risk, Return, and Equilibrium: Empirical Tests
1973 • 14,580 citations
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
1962 • 7,696 citations
An Intertemporal Capital Asset Pricing Model
1973 • 6,653 citations
The relationship between return and market value of common stocks
1981 • 6,052 citations
Techniques for Testing the Constancy of Regression Relationships Over Time
1975 • 4,552 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
The Capital Asset Pricing Model: Some Empirical Tests
1972 • 2,784 citations
INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS
1977 • 2,379 citations
Size-related anomalies and stock return seasonality
1983 • 1,852 citations
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
1962 • 1,514 citations
Misspecification of capital asset pricing
1981 • 1,344 citations
The option pricing model and the risk factor of stock
1976 • 1,293 citations
Foundations of Finance.
1977 • 1,197 citations
Specification Searches: Ad Hoc Inference with Non-Experimental Data.
1981 • 1,125 citations
The effects of dividend yield and dividend policy on common stock prices and returns
1974 • 1,034 citations
Anomalies in relationships between securities' yields and yield-surrogates
1978 • 779 citations
Studies in the Theory of Capital Markets.
1973 • 644 citations
Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis
1977 • 585 citations
Transaction costs and the small firm effect
1983 • 461 citations
A Possible Explanation of the Small Firm Effect
1981 • 422 citations
Econometrics: Statistical Foundations and Applications
1972 • 287 citations
Risk and return in finance
1977 • 275 citations
Econometrics: Statistical Foundations and Applications.
1971 • 239 citations
Two Methods for Examining the Stability of Regression Coefficients
1977 • 215 citations
The effect of limited information and estimation risk on optimal portfolio diversification
1977 • 181 citations
Some identification and estimation results for regression models with stochastically varying coefficients
1980 • 161 citations
On Seemingly Unrelated Regressions with Error Components
1980 • 133 citations
Seemingly Unrelated Regressions with Error Components
2021 • 97 citations
A Possible Explanation of the Small Firm Effect
1981 • 92 citations
Specification Searches: Ad Hoc Inference with Nonexperimental Data
1981 • 75 citations
A Simple Test for Serial Correlation in Regression Analysis
1974 • 74 citations
Tests of an Adaptive Regression Model
1973 • 60 citations
Two Methods for Examining the Stability of Regression Coefficients
1977 • 49 citations
Time series processor
1978 • 44 citations
A Simple Test for Serial Correlation in Regression Analysis
1974 • 24 citations