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On computing mean returns and the small firm premium

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1986Event study methodologies and the size effect293 cited
1997On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions287 cited
1999Murphy's Law and Market Anomalies271 cited
2010Liquidity biases in asset pricing tests☆260 cited
1983Size and stock returns, and other empirical regularities

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258 cited

1988An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk246 cited

1988Some New Filter Rule Tests: Methods and Results240 cited

1989The relation between the return interval and betas234 cited

1994Holiday Effects and Stock Returns: Further Evidence208 cited

1983The Behavior of the Common Stock of Bankrupt Firms198 cited

1991Asymmetric Predictability of Conditional Variances197 cited

1989Mean Reversion in Short-Horizon Expected Returns191 cited

2006Facts and Fantasies about Commodity Futures177 cited

2014Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks175 cited

1984Volume and turn-of-the-year behavior160 cited

1997Accounting‐Based Stock Price Anomalies: Separating Market Inefficiencies from Risk*159 cited