Trading Volume and Cross‐Autocorrelations in Stock Returns

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1992 • 1,388 citations

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1998 • 1,341 citations

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC…

1998 • 1,284 citations

A Further Investigation of the Weekend Effect in Stock Returns

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1988 • 700 citations

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1988 • 489 citations

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1994 • 392 citations

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1995 • 349 citations

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1993 • 321 citations

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1996 • 264 citations

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Return Autocorrelations around Nontrading Days

1993 • 122 citations

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1997 • 65 citations

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1999 • 24 citations