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REFERENCES

  • 1
    Sidney S. Alexander. “Price Movements in Speculative Markets: Trends or Random Walks.” Industrial Management Review, 2 (May 1961), 726. Also reprinted in [8], 199–218.
  • 2
    Sidney S. Alexander. “Price Movements in Speculative Markets: Trends or Random Walks. No. 2,” in [8], 33872.
  • 3
    Louis Bachelier. Théorie de la Speculation (Paris: Gauthier-Villars, 1900), and reprinted in English in [8], 1778.
  • 4
    Ray Ball and Phillip Brown. “An Empirical Evaluation of Accounting Income Numbers.” Journal of Accounting Research, 6 (Autumn, 1968), 15978.
  • 5
    William Beaver. “The Information Content of Annual Earnings Announcements.” Empirical Research in Accounting: Selected Studies, 1968, supplement to Vol. 7 of the Journal of Accounting Research, 6792.
  • 6
    Robert Blattberg and Thomas Sargent. “Regression with Non-Gaussian Disturbances: Some Sampling Results,” forthcoming in Econometrica.
  • 7
    Marshall Blume. “The Assessment of Portfolio Performance.” Unpublished Ph.D. thesis, University of Chicago, 1968. A paper summarizing much of this work will appear in the April, 1970, Journal of Business.
  • 8
    Paul Cootner (ed.). The Random Character of Stock Market Prices. Cambridge: M.I.T., 1964.
  • 9
    Paul Cootner. “Stock Prices: Random vs. Systematic Changes.” Industrial Management Review, 3 (Spring 1962), 2445. Also reprinted in [8], 231–52.
  • 10
    Eugene F. Fama. “The Behavior of Stock Market Prices.” Journal of Business, 38 (January, 1965), 34105.
  • 11
    Eugene F. Fama. “Multiperiod Consumption-Investment Decisions.” American Economic Review, (March, 1970).
  • 12
    Eugene F. Fama. “Risk, Return and Equilibrium.” Report No. 6831, University of Chicago, Center for Math. Studies in Business and Economics, June, 1968.
  • 13
    Eugene F. Fama and Marshall Blume. “Filter Rules and Stock Market Trading Profits.” Journal of Business, 39 (Special Supplement, January, 1966), 22641.
  • 14
    Lawrence Fisher, Michael Jensen and Richard Roll. “The Adjustment of Stock Prices to New Information.” International Economic Review, X (February, 1969), 121.
  • 15
    Lawrence Fisher and Richard Roll. “Some Properties of Symmetric Stable Distributions.” Journal of the American Statistical Association, 63 (September, 1968), 81736.
  • 16
    Michael D. Godfrey, C. W. J. Granger and O. Morgenstern. “The Random Walk Hypothesis of Stock Market Behavior.” Kyklos, 17 (1964), 130.
  • 17
    C. W. J. Granger and O. Morgenstern. “Spectral Analysis of New York Stock Market Prices,” Kyklos, 16 (1963), 127. Also reprinted in [8], 162–88.
  • 18
    John R. Hicks. Value and Capital. Oxford: The Clarendon Press, 1946.
  • 19
    Michael Jensen. “The Performance of Mutual Funds in the Period 1945–64,” Journal of Finance, 23 (May, 1968), 389416.
  • 20
    Michael Jensen. “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios,” Journal of Business, 42 (April, 1969), 167247.
  • 21
    Maurice G. Kendall. “The Analysis of Economic Time-Series, Part I: Prices,” Journal of the Royal Statistical Society, 96 (Part I, 1953), 1125.
  • 22
    Ruben A. Kessel. “The Cyclical Behavior of the Term Structure of Interest Rates,” National Bureau of Economic Research Occasional Paper No. 91. New York: Columbia University Press, 1965.
  • 23
    Benjamin F. King. “Market and Industry Factors in Stock Price Behavior,” Journal of Business, 39 (Special Supplement January, 1966), 13990.
  • 24
    John Lintner. “Security Prices, Risk, and Maximal Gains from Diversification,” Journal of Finance, 20 (December, 1965), 587615.
  • 25
    John Lintner. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Economics and Statistics, 47 (February, 1965), 1337.
  • 26
    Fredrich A. Lutz. “The Structure of Interest Rates,” Quarterly Journal of Economics, 40 (194041).
  • 27
    Benoit Mandelbrot. “Forecasts of Future Prices, Unbiased Markets, and Martingale Models,” Journal of Business, 39 (Special Supplement, January, 1966), 24255.
  • 28
    Benoit Mandelbrot. “The Variation of Certain Speculative Prices.” Journal of Business, 36 (October, 1963), 394419.
  • 29
    Benoit Mandelbrot and Howard M. Taylor. “On the Distribution of Stock Price Differences.” Operations Research, 15 (November-December, 1967), 105762.
  • 30
    Harry Markowitz. Portfolio Selection: Efficient Diversification of Investment. New York: John Wiley & Sons, 1959.
  • 31
    Arnold Moore. “A Statistical Analysis of Common Stock Prices”. Unpublished Ph.D. thesis, Graduate School of Business, University of Chicago, 1962.
  • 32
    Victor Niederhoffer and M. F. M. Osborne. “Market Making and Reversal on the Stock Exchange.” Journal of the American Statistical Association, 61 (December, 1966), 897916.
  • 33
    M. F. M. Osborne. “Brownian Motion in the Stock Market,” Operations Research, 7 (March-April, 1959), 14573. Also reprinted in [8], 100–28.
  • 34
    M. F. M. Osborne. “Periodic Structure in the Brownian Motion of Stock Prices.” Operations Research, 10 (MayJune, 1962), 34579. Also reprinted in [8], 262–96.
  • 35
    S. James Press. “A compound Events Model for Security Prices.” Journal of Business, 40 (July, 1968), 31735.
  • 36
    Harry V. Roberts. “Stock Market ‘Patterns’ and Financial Analysis: Methodological Suggestions.” Journal of Finance, 14 (March, 1959), 110.
  • 37
    Richard Roll. “The Efficient Market Model Applied to U.S. Treasury Bill Rates.” Unpublished Ph.D. thesis, Graduate School of Business, University of Chicago, 1968.
  • 38
    Paul A. Samuelson. “Proof That Properly Anticipated Prices Fluctuate Randomly.” Industrial Management Review, 6 (Spring, 1965), 419.
  • 39
    Myron Scholes. “A Test of the Competitive Hypothesis: The Market for New Issues and Secondary Offerings.” Unpublished PH.D. thesis, Graduate School of Business, University of Chicago, 1969.
  • 40
    William F. Sharpe. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, 19 (September, 1964), 42542.
  • 41
    William F. Sharpe. “Mutual Fund Performance.” Journal of Business, 39 (Special Supplement January, 1966), 11938.
  • 42
    William F. Sharpe. “Risk Aversion in the Stock Market.” Journal of Finance, 20 (September, 1965), 41622.
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  • 43
    James Tobin. “Liquidity Preference as Behavior Towards Risk,” Review of Economic Studies, 25 (February, 1958), 6585.
  • 44
    Jack L. Treynor. “How to Rate Management of Investment Funds.” Harvard Business Review, 43 (January-February, 1965), 6375.
  • 45
    Roger N. Waud. “Public Interpretation of Discount Rate Changes: Evidence on the ‘Announcement Effect.’” forthcoming in Econometrica.
  • 46
    John Wise. “Linear Estimators for Linear Regression Systems Having Infinite Variances.” Unpublished paper presented at the Berkeley-Stanford Mathematical Economics Seminar, October, 1963.
  • 47
    Holbrook Working. “A Random Difference Series for Use in the Analysis of Time Series.” Journal of the American Statistical Association, 29 (March, 1934), 1124.