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Biases in computed returns

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References

1981The relationship between return and market value of common stocks5,928 cited
1979Risk measurement when shares are subject to infrequent trading2,767 cited
1977Estimating betas from nonsynchronous data2,751 cited
1968The Cost of Transacting1,909 cited
1983Size-related anomalies and stock return seasonality1,800 cited
1981Misspecification of capital asset pricing1,286 cited
1983The anomalous stock market behavior of small firms in January848 cited

Cited by

1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
1995The Behavior of Stock Prices Around Institutional Trades794 cited
1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
2007Mutual Fund Attributes and Investor Behavior765 cited
2001Characteristics of Risk and Return in Risk Arbitrage765 cited
1993The Informational Content of Implied Volatility761 cited
2011All the News That's Fit to Reprint: Do Investors React to Stale Information?678 cited
2002Stock return predictability and model uncertainty636 cited

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2004

The Econometrics of Event Studies

606 cited

2017Tracking Retail Investor Activity602 cited

1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited

2010Individual Investors and Local Bias597 cited

2003Order imbalance and individual stock returns: Theory and evidence571 cited

1995Multifactor models do not explain deviations from the CAPM571 cited

1999The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect545 cited

1984Orange Juice and Weather540 cited