The Behavior of Stock Returns: Is it Stationary of Evolutionary?

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Statistical methods

1967 • 19,533 citations

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

1970 • 15,798 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

The variation of certain speculative prices

1997 • 4,766 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Théorie de la spéculation

1900 • 2,440 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Foundations of Finance.

1977 • 1,197 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

Brownian Motion in the Stock Market

1959 • 967 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

A Compound Events Model for Security Prices

1967 • 463 citations

Beta as a Random Coefficient

1978 • 387 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 230 citations

Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks

1980 • 179 citations

Tests for Variance Shift at an Unknown Time Point

1977 • 135 citations

Detecting Shifts of Parameter in Gamma Sequences with Applications to Stock Price and Air Traffic Flow Analysis

1979 • 125 citations

ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION

1978 • 117 citations

A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns

1982 • 82 citations

The market speed of adjustment to new information

1979 • 78 citations

More on Beta as a Random Coefficient

1982 • 60 citations

Money and stock prices

1964 • 58 citations

Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes

1971 • 45 citations

On the Use of Beta in Regulatory Proceedings: An Empirical Examination

1978 • 38 citations

The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives

1982 • 34 citations

Market Model Stationarity of Individual Public Utilities

1983 • 33 citations

Robust inferences for structural shift in regression models

1982 • 17 citations