Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 1,453 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

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

1973 • 481 citations

Drawing inferences from statistics based on multiyear asset returns

1989 • 434 citations

BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

1954 • 345 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR

1977 • 256 citations

A Tax Loss Trading Rule

1977 • 247 citations

Year‐End Tax‐Induced Sales and Stock Market Seasonality

1983 • 142 citations

The Approximate Slopes of Econometric Tests

1981 • 82 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1988 • 22 citations