Market Models and Heteroscedasticity of Residual Security Returns

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Rank Correlation Methods.

1957 • 6,467 citations

The Adjustment of Stock Prices to New Information

1969 • 3,289 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Rank Correlation Methods.

1951 • 2,712 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

Some Tests for Homoscedasticity

1965 • 661 citations

Multivariate tests of financial models

1982 • 632 citations

A New Test for Heteroskedasticity

1969 • 524 citations

Econometric Methods, 2nd Ed.

1976 • 504 citations

Using Residuals Robustly I: Tests for Heteroscedasticity, Nonlinearity

1978 • 147 citations

Asymmetric Stable Distributed Security Returns

1980 • 98 citations

A SIMPLE MODEL OF NON‐STATIONARITY OF SYSTEMATIC RISK

1977 • 61 citations

Additional Evidence of Heteroscedasticity in the Market Model

1980 • 44 citations

Evidence of Heteroscedasticity in the Market Model

1975 • 35 citations

Heteroscedasticity in the Market Model: A Comment

1977 • 31 citations

CANADIAN EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL

1977 • 29 citations

1975: A Year of Recession, Recovery, and Decelerating Inflation

1975 • 9 citations

Asymptotically Optimal Tests for Heteroscedasticity in the General Linear Model

1981 • 7 citations