Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist

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

1970 • 15,798 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

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Stochastic Differential Equations

2006 • 1,328 citations

Stochastic Differential Equations

1972 • 942 citations

Market microstructure

1976 • 533 citations

Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

1981 • 394 citations

On The Dynamic Behavior of Prices in Disequilibrium

1980 • 302 citations

Investment Analysis and Portfolio Management.

1969 • 204 citations

Investment Analysis and Portfolio Management.

1982 • 133 citations

THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS

1978 • 80 citations

An algebra for evaluating hedge portfolios

1976 • 74 citations

Performance Evaluation of New York Stock Exchange Specialists

1974 • 64 citations

DYNAMIC MARKET PROCESSES AND THE REWARDS TO UP-TO-DATE INFORMATION

1977 • 31 citations

Impending Changes for Securities Markets: What Role for the Exchanges?

1980 • 17 citations

From Orders to Trades: Some Alternative Market Mechanisms

1977 • 15 citations

Reply: Specialists' Performance and Serial Dependence of Stock Price Changes

1976 • 5 citations