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THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

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1974

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The Market Model Applied to European Common Stocks: Some Empirical Results

100 cited

Cited by

1978THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS83 cited
1980Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis78 cited
2022A ReMeDI for Microstructure Noise68 cited
1980Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk66 cited
1997Tests and Properties of Variance Ratios in Microstructure Studies56 cited
1982The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process52 cited
1979Information dissemination, market efficiency and the frequency of transactions50 cited
1989Market microstructure and price discovery on the Tokyo Stock Exchange47 cited
1979Heteroscedasticity, R 2 and Thin Trading on the Toronto Stock Exchange46 cited
1980An Analytical Examination of the Intervaling Effect on Skewness and Other Moments33 cited
1992THE MARKET IMPACT OF UK COMPANY NEWS ANNOUNCEMENTS31 cited
1989Index and Index-Futures Returns30 cited
1987Time Aggregation and the Estimation of the Market Model: Empirical Evidence29 cited