The “CalPERS effect” revisited again

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 25.8K citations

Empirical Finance, Econometric Model, Volatility Modeling +13

Using daily stock returns

Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 1985 · 6.5K citations

Asset Pricing, Market Trend, Business +4

Efficient Capital Markets: II

Eugene F. Fama · The Journal of Finance · 1991 · 5.1K citations · Full text

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964

Michael C. Jensen · The Journal of Finance · 1968 · 4.4K citations · Full text

Measuring security price performance

Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 1980 · 3.4K citations

Engineering, Information Security, Security Analysis +8