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Risk and return

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References

1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
1981The relationship between return and market value of common stocks5,928 cited
1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
1981Misspecification of capital asset pricing1,286 cited
1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
1976Capital market seasonality: The case of stock returns1,229 cited
1977Foundations of Finance.1,128 cited
1983The anomalous stock market behavior of small firms in January848 cited
1983Stock market seasonality573 cited
1983Vas Ist Das?429 cited
1983New evidence on the nature of size-related anomalies in stock prices337 cited

Cited by

2007Seasonality in the cross-section of stock returns☆316 cited
1993The seasonal behavior of the liquidity premium in asset pricing312 cited
1997Institutions and Individuals at the Turn-of-the-Year276 cited

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1989Portfolio Rebalancing and the Turn-Of-The-Year Effect195 cited

1995Calendar effects in the London Stock Exchange FT–SE indices189 cited

1986Risk, Return, and Equilibrium: A Revisit179 cited

1989Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships159 cited

2005Seasonality in stock returns and volatility: The Ramadan effect154 cited

2018Asset Pricing: A Tale of Night and Day147 cited

2009Macroeconomic determinants of Malaysian stock market138 cited

2006Tax‐Loss Selling and the January Effect: Evidence from Municipal Bond Closed‐End Funds135 cited

1997Security price anomalies in the London International Stock Exchange: a 60 year perspective126 cited

2002Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis118 cited

1987Property portfolio allocation: A multi‐factor model117 cited

2012Growth to value: Option exercise and the cross section of equity returns109 cited

1998Risk analysis and management of Private Finance Initiative projects105 cited