1. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48. [Downloadable!] (restricted)
2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
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4. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 175-205. [Downloadable!] (restricted)
   Other versions:
   • Andrew W. Lo & A. Craig MacKinlay, 1991. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
5. John Y. Campbell & Robert J. Shiller, 1989. "Interpreting Cointegrated Models," NBER Working Papers 2568, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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   • Campbell, John Y. & Shiller, Robert J., 1988. "Interpreting cointegrated models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 505-522. [Downloadable!] (restricted)
6. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July. [Downloadable!] (restricted)
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   • Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
7. Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(3), pages 489-519.
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9. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October. [Downloadable!] (restricted)
10. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
    Other versions:
    • Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
11. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March. [Downloadable!] (restricted)
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13. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364. [Downloadable!] (restricted)
14. Conrad, Jennifer & Kaul, Gautam, 1989. "Mean Reversion in Short-Horizon Expected Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 225-40. [Downloadable!] (restricted)
15. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October. [Downloadable!] (restricted)
16. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(4), pages 973-93. [Downloadable!] (restricted)
    Other versions:
    • Narasimhan Jegadeesh & Sheridan Titman, 1992. "Overreaction, Delayed Reaction, and Contrarian Profits," University of California at Los Angeles, Anderson Graduate School of Management 1159, Anderson Graduate School of Management, UCLA. [Downloadable!]
17. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January. [Downloadable!] (restricted)
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    • Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation, Yale University, revised Jul 1988. [Downloadable!]
18. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1991. "Asymmetric Predictability of Conditional Variances," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(4), pages 597-622. [Downloadable!] (restricted)
19. Lehmann, Bruce N, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 1-28, February. [Downloadable!] (restricted)
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25. Moore, Michael J. & Copeland, Laurence S., 1995. "A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency Baillie and Bollerslev revisited," Economics Letters, Elsevier, vol. 47(2), pages 131-135, February. [Downloadable!] (restricted)
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28. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October. [Downloadable!] (restricted)
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1. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics. [Downloadable!]