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A New Look at the Random Walk Hypothesis
15 references·14 citing·30 second hop
A New Look at the Random Walk Hypothesis (1968)A New Look at the Random Walk HypothesisThe Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Measurement of a Random Process in Futures Prices (1976)Measurement of a Random Proce…The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Cost of Transacting (1968)The Cost of TransactingStock Market Prices and Volumes of Sales (1966)Stock Market Prices and Volum…Market Making and Reversal on the Stock Exchange (1966)Market Making and Reversal on…Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models (1966)Forecasts of Future Prices, U…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Clustering of Stock Prices (1965)Clustering of Stock PricesPublic Regulation of the Securities Markets (1964)Public Regulation of the Secu…Periodic Structure in the Brownian Motion of Stock Prices (1962)Periodic Structure in the Bro…Price Movements in Speculative Markets : Trends or Random Walks (1961)Price Movements in Speculativ…A Revision of Previous Conclusions Regarding Stock Price Behavior (1960)A Revision of Previous Conclu…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms (2023)Does investor sentiment creat…Firm-level investor sentiment and corporate announcement returns (2022)Firm-level investor sentiment…Investor sentiment and its role in asset pricing: An empirical study for India (2019)Investor sentiment and its ro…The relationship between market sentiment index and stock rates of return: a panel data analysis (2012)The relationship between mark…Random Walks and Technical Theories: Some Additional Evidence (2002)Random Walks and Technical Th…Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle (1987)Commodity futures price chang…The weak form efficiency of the London Metal Exchange (1985)The weak form efficiency of t…TEMPORARY TRADING SUSPENSIONS IN INDIVIDUAL NYSE SECURITIES (1978)TEMPORARY TRADING SUSPENSIONS…‘WHITE‐NOISE’ IN IMPERFECT MARKETS: THE CASE OF THE FRANC/DOLLAR EXCHANGE RATE (1977)‘WHITE‐NOISE’ IN IMPERFECT MA…Stock Price Movement Associated with Temporary Trading Suspensions: Bear Market Versus Bull Market (1976)Stock Price Movement Associat…MARKET‐MAKING AND THE ASSESSMENT OF MARKET EFFICIENCY (1975)MARKET‐MAKING AND THE ASSESSM…Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks (1974)Seasonal Variations in Prices…Random Walk and Forward Exchange Rates: A Spectral Analysis (1972)Random Walk and Forward Excha…The Random Walk Hypothesis and Technical Analysis (1970)The Random Walk Hypothesis an…DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: II (1991)An Anatomy of Trading Strategies (1998)Using genetic algorithms to find technical trading rules (1999)The illusory nature of momentum profits (2003)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)The New Issues Puzzle (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)On computing mean returns and the small firm premium (1983)Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices (1987)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)On the Distribution of Stock Price Differences (1967)Long-term dependence in common stock returns (1977)Orange Juice and Weather (1984)Portfolio Analysis in a Stable Paretian Market (1965)Rational Theory of Warrant Pricing (2015)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Forecasting Stock Returns (2013)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1968The Cost of Transacting1,909 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 1964Public Regulation of the Securities Markets679 cited
  • 1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
  • 1966Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models440 cited
  • 1966Market Making and Reversal on the Stock Exchange371 cited
  • 1962Periodic Structure in the Brownian Motion of Stock Prices361 cited
  • 1966Stock Market Prices and Volumes of Sales266 cited
  • 1965Clustering of Stock Prices156 cited
  • 1960A Revision of Previous Conclusions Regarding Stock Price Behavior87 cited
  • 1976Measurement of a Random Process in Futures Prices81 cited

Cited by

  • 1977‘WHITE‐NOISE’ IN IMPERFECT MARKETS: THE CASE OF THE FRANC/DOLLAR EXCHANGE RATE

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74 cited
  • 1987Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle66 cited
  • 1978TEMPORARY TRADING SUSPENSIONS IN INDIVIDUAL NYSE SECURITIES50 cited
  • 2019Investor sentiment and its role in asset pricing: An empirical study for India42 cited
  • 2002Random Walks and Technical Theories: Some Additional Evidence42 cited
  • 2022Firm-level investor sentiment and corporate announcement returns35 cited
  • 1975MARKET‐MAKING AND THE ASSESSMENT OF MARKET EFFICIENCY35 cited
  • 2012The relationship between market sentiment index and stock rates of return: a panel data analysis33 cited
  • 1985The weak form efficiency of the London Metal Exchange31 cited
  • 1970The Random Walk Hypothesis and Technical Analysis26 cited
  • 1974Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks26 cited
  • 1976Stock Price Movement Associated with Temporary Trading Suspensions: Bear Market Versus Bull Market25 cited
  • 2023Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms24 cited
  • 1972Random Walk and Forward Exchange Rates: A Spectral Analysis12 cited