Comovement

Noise Trader Risk in Financial Markets

J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers et al. · Journal of Political Economy · 1990 · 6.4K citations · Full text

Business, Economics, Finance +17

Size and Book‐to‐Market Factors in Earnings and Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1995 · 3.2K citations

Business, Business Economics, Finance +10

Risk measurement when shares are subject to infrequent trading

Elroy Dimson · Journal of Financial Economics · 1979 · 2.9K citations

Management, Finance, Financial Economics +12

Estimating betas from nonsynchronous data

Myron S. Scholes, Joseph Williams · Journal of Financial Economics · 1977 · 2.8K citations

Natural Sciences, Biostatistics, Econometrics +6

Stock return variances

Kenneth R. French, Richard Roll · Journal of Financial Economics · 1986 · 1.9K citations