News Events, Information Acquisition, and Serial Correlation

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

The equity premium: A puzzle

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Investor Psychology and Security Market Under‐ and Overreactions

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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

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The Relation Between Price Changes and Trading Volume: A Survey

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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

1998 • 2,417 citations

The American Economic Review

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International Momentum Strategies

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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 1,843 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Trading Volume and Serial Correlation in Stock Returns

1993 • 1,580 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 1,530 citations

Stock Prices and Volume

1992 • 1,388 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Does the Stock Market Overreact?

1985 • 1,093 citations

A Model of Intertemporal Asset Prices Under Asymmetric Information

1993 • 758 citations

Managerial Incentives and Capital Management

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Market reaction to anticipated announcements

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Insider Trading: Should It Be Prohibited?

1992 • 619 citations

Equilibrium Short Horizons of Investors and Firms

1990 • 554 citations

On Technical Analysis

1989 • 533 citations

Trade and the Revelation of Information through Prices and Direct Disclosure

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Measuring the Information Content of Stock Trades

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Evidence of Predictable Behavior of Security Returns

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Imperfect Competition among Informed Traders

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Public disclosure, private information collection, and short-term trading

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The Effect of Public Information and Competition on Trading Volume and Price Volatility

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Momentum Strategies

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Price reversals

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Seasonalities in security returns

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Liquidity and Market Structure

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Security Analysis and Trading Patterns when Some Investors Receive Information Before Others

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Short-Term Investment and the Informational Efficiency of the Market

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Institutional ownership, differential predisclosure precision and trading volume at announcement dates

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Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation

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Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis

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Strategic Trading When Agents Forecast the Forecasts of Others

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Generic stocks

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DIFFERENTIAL INFORMATION, THE VARIABILITY OF UK STOCK RETURNS, AND EARNINGS ANNOUNCEMENTS

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Arbitrage Chains

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Do Noise Traders "Create Their Own Space?"

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Capital Asset Prices and the Temporal Resolution of Uncertainty

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