References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
• 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
• 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
• 1985Continuous Auctions and Insider Trading9,626 cited
• 1965The Behavior of Stock-Market Prices8,707 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1986Asset pricing and the bid-ask spread5,087 cited
• 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1980On estimating the expected return on the market2,818 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1979Risk measurement when shares are subject to infrequent trading2,767 cited
• 1977Estimating betas from nonsynchronous data2,751 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’