TIME‐VARYING FACTORS AND CROSS‐AUTOCORRELATIONS IN SHORT‐HORIZON STOCK RETURNS

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Stock returns and the term structure

1987 • 2,322 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Introduction to Multiple Time Series Analysis

1991 • 1,079 citations

A Model of Competitive Stock Trading Volume

1994 • 969 citations

Transactions, Volume, and Volatility

1994 • 888 citations

Structural and Return Characteristics of Small and Large Firms

1991 • 800 citations

Intertemporal asset pricing

1990 • 647 citations

New Indexes of Coincident and Leading Economic Indicators

1989 • 612 citations

Evaluation of likelihood functions for Gaussian signals

1965 • 549 citations

Time-Variation in Expected Returns

1988 • 489 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

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

1994 • 392 citations

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

1995 • 358 citations

Portfolio return autocorrelation

1993 • 293 citations

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory

1984 • 290 citations

Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series

1981 • 163 citations

Components of short-horizon individual security returns

1991 • 128 citations