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  • HANSEN, Lars Peter, 1982. Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 1029-1054. [about 1,120]
  • BLACK, Fischer, 1986. Noise, Journal of Finance, Volume 41, Issue 3, Papers and Proceedings of the Forty-Fourth Annual Meeting of the America Finance Association, New York, New York, December 20-30, 1985 (Jul., 1986), 529-543. [929]
  • LUCAS, Robert E., Jr., 1978. Asset Prices in an Exchange Economy, Econometrica, Volume 46, Issue 6 (Nov., 1978), 1429-1445. [about 868]
  • FAMA, Eugene F., 1970. Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, Volume 25, Issue 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), 383-417. [777]
  • GROSSMAN, Sanford J., and Joseph E. STIGLITZ, 1980. On the Impossibility of Informationally Efficient Markets, The American Economic Review, Vol. 70, No. 3, (June 1980), pp. 393-408. [about 750]
  • JEGADEESH, Narasimhan and Sheridan TITMAN, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, Volume 48, Issue 1 (Mar., 1993), 65-91. [about 708]
  • MANDELBROT, Benoit, 1963. The Variation of Certain Speculative Prices, The Journal of Business, Volume 36, Issue 4 (Oct., 1963), 394-419. [about 646] Fama97.pdf
  • FAMA, Eugene F., 1991. Efficient Capital Markets: II, Journal of Finance, Volume 46, Issue 5 (Dec., 1991), 1575-1617. [620]
  • GROSSMAN, Sanford .J., and Joseph E. STIGLITZ, 1976. Information and Competitive Price Systems, The American Economic Review, Volume 66, Issue 2, Papers and Proceedings of the Eighty-eighth Annual Meeting of the American Economic Association (May, 1976), 246-253. [595]
  • FAMA, Eugene F., 1998. Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49 (1998) 283-306. [496]
  • BROWN, Stephen J., William N. GOETZMANN, Stephen A. ROSS, 1995. Survival, The Journal of Finance, Vol. 50, No. 3, Papers and Proceedings Fifty-Fifth Annual Meeting, American Finance, Association, Washington, D.C., January 6-8, 1995. (Jul., 1995), pp. 853-873. [about 471]
  • HARRISON, M., and D. KREPS, 1979. Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, 20, 381-408. [about 470]
  • MUTH (1961), J. F., Rational Expectations and the Theory of Price Movements, Econometrica, 29, 315-35. [about 436]
  • FAMA, Eugene F., 1965. The Behavior of Stock-Market Prices, Journal of Business, Volume 38, Issue 1 (Jan., 1965), 34-105. [395]
  • COX, J., and S. ROSS, 1976. The Valuation of Options for Alternative Stochastic Processes, Journal of Financial Economics, 3, 145-166. [about 390]
  • FAMA, Eugene F., and Kenneth R. FRENCH, 1988. Permanent and Temporary Components of Stock Prices, The Journal of Political Economy, Volume 96, Issue 2 (Apr., 1988), 246-273. [360]
  • FAMA, Eugene F., et al., 1969. The Adjustment of Stock Prices to New Information, International Economic Review, Volume 10, Issue 1. (Feb., 1969), 1-21. [328]
  • COOTNER, P. (ed.), 1964. The Random Character of Stock Market Prices [326]
  • LO, Andrew W., and A. Craig MACKINLAY, 1988. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, The Review of Financial Studies, Volume 1, number 1, pp. 41-66 and erratum slip. [316]
  • LO, Andrew W., 1991. Long-Term Memory in Stock Market Prices, Econometrica, Volume 59, Issue 5 (Sep., 1991), 1279-1313. [about 310]
  • BALL, R., and P. BROWN, 1968. An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research. [274]
  • POTERBA, James M. and Lawrence H. SUMMERS, 1988. Mean Reversion in Stock Prices: Evidence and Implications, Journal of Financial Economics, 22, 27-59. [about 266]
  • HANSEN, Lars Peter, and Kenneth J. SINGLETON, 1982. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica, Vol. 50, No. 5. (Sep., 1982), pp. 1269-1286. [about 261]
  • JENSEN, Michael C., 1968. The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance, Volume 23, Issue 2, Papers and Proceedings of the Twenty-Sixth Annual Meeting of the American Finance Association Washington, D.C. December 28-30, 1967 (May, 1968), 389-416. [244]
  • DIMSON, E., 1979. Risk Measurement When Shares Are Subject to Infrequent Trading, Journal of Financial Economics. [about 217]
  • FRENCH, Kenneth R., and Richard ROLL, 1986. Stock Return Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics, 17, 5-26. [189]
  • BACHELIER, L., 1900. Th�orie de la Sp�culation, Annales Scientifiques de l'Ecole Normale Superieure, I I I -17, 21-86. (English Translation;- Cootner (ed.), (1964) Random Character of Stock Market Prices, Massachusetts Institute of Technology pp17-78) [about 174]
  • LEHMANN, Bruce N. Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics, Volume 105, Issue 1 (Feb., 1990), 1-28. [about 170]
  • JEGADEESH, Narasimhan, 1990. Evidence of Predictable Behavior of Security Returns, The Journal of Finance, Volume 45, Issue 3 (Jul., 1990), 881-898. [about 170]
  • ROLL, Richard, 1984. A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance, Volume 39, Issue 4 (Sep., 1984), 1127-1139. [167]
  • LEROY, Stephen F., Efficient Capital Markets and Martingales, Journal of Economic Literature, Volume 27, Issue 4 (Dec., 1998), 1583-1621. [about 143]
  • SUMMERS, Lawrence H., Does the Stock Market Rationally Reflect Fundamental Values?, [about 141]
  • JENSEN, M., 1978. Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics, 6, 95-102. [about 136]
  • FARMER, J. Doyne and Andrew W. LO, Evolution and Efficient Markets, 1999. [about 135]
  • COWLES 3rd, Alfred, 1933. Can Stock Market Forecasters Forecast?, Econometrica, Volume 1, Issue 3 (Jul., 1933), 309-324. [about 110]
  • JUNG, Jeeman and Robert J. SHILLER, One Simple Test of Samuelson's Dictum for the Stock Market. [about 109]
  • FAMA, Eugene F., and Marshall E. BLUME, 1966. Filter Rules and Stock-Market Trading, The Journal of Business, Volume 39, Issue 1, Part 2: Supplement on Security Prices (Jan., 1966), 226-241. [105]
  • HELLSTRÖM, Thomas and Kenneth HOLMSTRÖM, Predicting the Stock Market. [about 106]