Seasonality Estimation in Thin Markets

The Behavior of Stock-Market Prices

1965 • 8,575 citations

An Introduction to the Theory of Statistics

1911 • 4,589 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

An Introduction to the Theory of Statistics

1973 • 1,503 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Dealership market

1980 • 998 citations

The Behavior of Stock Prices on Fridays and Mondays

1973 • 797 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

Some New Stock-Market Indexes

1966 • 558 citations

A Model of Asset Trading Under the Assumption of Sequential Information Arrival

1976 • 530 citations

Weekend Effects on Stock Returns: A Note

1982 • 438 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

A Direct Test of Roll's Conjecture on the Firm Size Effect

1982 • 194 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Seasonality in Australian capital markets

1975 • 132 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

The Analytic Relationship between Intervaling and Nontrading Effects in Continuous Time

1983 • 17 citations