The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

Expected stock returns and volatility

1987 • 4,291 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

On estimating the expected return on the market

1980 • 2,932 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

No news is good news

1992 • 1,945 citations

The Present-Value Relation: Tests Based on Implied Variance Bounds

1981 • 1,402 citations

Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends

1980 • 1,351 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

What moves stock prices?

1989 • 1,131 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

1987 • 987 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

R2

1988 • 562 citations

R-S1-2

1988 • 412 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

The Use of Volatility Measures in Assessing Market Efficiency*

1981 • 347 citations

Changes of Variance in First-Order Autoregressive Time Series Models-With an Application

1976 • 122 citations

Stock-price volatility, mean-reverting diffusion, and noise

1989 • 84 citations

The Effect of Inflation on Stock Prices: International Evidennce: Discussion

1981 • 23 citations

DISCUSSION

1981 • 2 citations

Deleted Work

1955 • 0 citations