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On the Predictability of Common Stock Returns: World-Wide Evidence
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  • 2000Tax-Motivated Trading and Price Pressure: An Analysis of Mutual Fund Holdings104 cited
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  • 1998The Restrictions on Predictability Implied by Rational Asset Pricing Models90 cited
  • 20152001): “Comparative financial systems: a survey89 cited
  • 2002A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from the Kuala Lumpur Stock Exchange81 cited
  • 2007Multivariate Shrinkage for Optimal Portfolio Weights80 cited
  • 2006Book-to-market ratio and returns on the JSE69 cited
  • 1998The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle69 cited
  • 1997The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings68 cited
  • 2015The efficient market hypothesis and calendar anomalies: a literature review66 cited

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  • 2003Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification61 cited
  • 2004The risk and predictability of equity returns of the EU accession countries55 cited