articleTop 1% cited
Using daily stock returns
Journal of Financial Economics · 1985 · Vol. 14(1) · pp. 3–31
Stephen J. Brown✉(Yale University)Jerold B. Warner(University of Rochester)
Financial Markets and Investment StrategiesAuditing, Earnings Management, GovernanceCorporate Finance and GovernanceEconometricsAutocorrelationStock (firearms)StatisticsEvent studyVariance (accounting)EconomicsMathematicsGeographyAccounting
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References
Risk measurement when shares are subject to infrequent trading
Journal of Financial Economics · 1979 · 2,850 citations
Estimating betas from nonsynchronous data
Journal of Financial Economics · 1977 · 2,840 citations
Probability and Measure.
Journal of the American Statistical Association · 1996 · 6,656 citations
Stock returns and the weekend effect
Journal of Financial Economics · 1980 · 1,962 citations
Measuring security price performance
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Time Series Analysis: Forecasting and Control
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