"Poison or Placebo? Evidence on the Deterrence and Wealth Effects of Modern Antitakeover Measures," with Robert Comment, Journal of Financial Economics, 39 (September 1995) 3-43. Reprinted in the Proceedings of the Seminar on the Analysis of Security Prices, (November 1993).
"Securities Transaction Taxes: An Overview of Costs, Benefits and Unresolved Questions," with Paul J. Seguin, Financial Analysts Journal, 49 (September/October 1993) 27-35. Reprinted in Securities Transaction Taxes: False Hopes and Unintended Consequences, Suzanne Hammond, ed., (Chicago: Catalyst Institute, 1995), 1-26.
"The Journal of Financial Economics: A Retrospective Evaluation, 1974-91," Journal of Financial Economics, 33 (June 1993) 369-424.
Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992).
"Heteroskedasticity in Stock Returns," Journal of Finance, 45 (September 1990) 1129-1155, with Paul J. Seguin.
"Stock Returns and Real Activity: A Century of Evidence," Journal of Finance, 45 (September 1990) 1237-1257.
"Stock Market Volatility," Financial Analysts Journal, 46 (May-June 1990) 23-34 (Graham and Dodd Plaque). Reprinted in Market Volatility and Investor Confidence, New York Stock Exchange, (June 7, 1990) C1-C24. Summarized in The C.F.A. Digest, 21 (Winter 1991) 51-53.
"Alternative Models for Conditional Stock Volatility," Journal of Econometrics, 45 (July 1990) 267-290, with Adrian R. Pagan.
"Indexes of United States Stock Prices from 1802 to 1987," Journal of Business, 63 (July 1990) 399-426. Correction: Journal of Business, 64 (July 1991) 442. Summarized in The C.F.A. Digest, 21 (Winter 1991) 3-5.
"Stock Volatility and the Crash of '87," Review of Financial Studies, 3 (1990) 77-102.
"Why Does Stock Market Volatility Change Over Time?" Journal of Finance, 44 (December 1989) 1115-1153 (Smith-Breeden Distinguished Paper Award). Reprinted in Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992).
"Business Cycles, Financial Crises and Stock Volatility," Carnegie-Rochester Conference Series on Public Policy, 31 (Autumn 1989) 83-125. Reprinted in the Proceedings of the Seminar on the Analysis of Security Prices, Vol. 33 No. 2 (November 1988) 207-243. Excerpted in the Simon Research Review, 1 (Fall 1989) 1-8.
"Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business and Economic Statistics, 7 (April 1989) 147-159.
"Expected Stock Returns and Volatility," Journal of Financial Economics, 19 (September 1987) 3-29, with Kenneth R. French and Robert F. Stambaugh. Reprinted in the Proceedings of the Seminar on the Analysis of Security Prices, Vol. 31 No. 1 (May 1986) 119-148, in Frontiers of Finance: The Batterymarch Fellowship Papers, Deborah H. Miller and Stewart C. Myers, eds. (New York: Basil Blackwell, 1990) 190-215, and in ARCH: Selected Readings, Robert F. Engle, ed. (New York, Oxford University Press, 1995) 61-86.
"Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data," Journal of Monetary Economics, 20 (July 1987) 73-103.
"Information Aggregation, Inflation, and the Pricing of Indexed Bonds," Journal of Political Economy, 93 (February 1985) 92-114, with Gur Huberman.
"Size and Stock Returns, and Other Empirical Regularities," Journal of Financial Economics, 12 (May 1983) 3-12. Reprinted in Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992).
"Effects of Nominal Contracting on Stock Returns," Journal of Political Economy, 91 (February 1983) 70-96, with Kenneth R. French and Richard S. Ruback. Reprinted in Proceedings of the Seminar on the Analysis of Security Prices, Vol. 26, No. 2 (November 1981) 1-36.
"Differencing as a Test of Specification," International Economic Review, 23 (October 1982) 535-552, with Charles I. Plosser and Halbert White.
"Tests for Predictive Relationships Between Time Series Variables: A Monte Carlo Investigation," Journal of the American Statistical Association, 77 (March 1982) 11-18, with Charles R. Nelson.
"Using Financial Data To Measure Effects of Regulation," Journal of Law and Economics, 24 (April 1981) 121-158. Excerpted in Economics of Corporation Law and Securities Regulation, Richard Posner and Kenneth Scott, eds. (New York, Little, Brown, 1980) 185-191.
"The Adjustment of Stock Prices to Information About Inflation," Journal of Finance, 36 (March 1981) 15-29.
"Tests of Causality: The Message in the Innovations," Carnegie-Rochester Conference Series on Public Policy (Supplement to Journal of Monetary Economics), 10 (Spring 1979) 55-96. Reprinted in Theory, Policy, Institutions: Papers from the Carnegie-Rochester Conferences on Public Policy, Karl Brunner and Allan Meltzer, eds. (Amsterdam: North-Holland, 1983) 215-256.
"Inflation, Interest, and Relative Prices," Journal of Business, 52 (April 1979) 183-209, with Eugene F. Fama.
"Money, Income and Sunspots: Measuring Economic Relationships and the Effects of Differencing," Journal of Monetary Economics, 4 (November 1978) 637-660, with Charles I. Plosser.
"Asset Returns and Inflation," Journal of Financial Economics, 5 (November 1977) 115-146, with Eugene F. Fama. Reprinted in Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992).
"Estimation of a Noninvertible Moving Average Process: The Case of Overdifferencing," Journal of Econometrics, 6 (September 1977) 199-224, with Charles I. Plosser.
"On Testing the Hypothesis that the Real Rate of Interest is Constant," The American Economic Review, 67 (June 1977) 478-486, with Charles R. Nelson.
"Public Regulation of National Securities Exchanges: A Test of the Capture Hypothesis," The Bell Journal of Economics, 8 (Spring 1977) 128-150. Summarized in The C.F.A. Digest, 8 (Winter 1978) 59-60.
"Human Capital and Capital Market Equilibrium," Journal of Financial Economics, 4 (January 1977) 95-125, with Eugene F. Fama. French version: "Capital Humain et Equilibré des Marches de Capitaux," in Institutions et Marches Financiers, F. Aftalian, et al., eds. (Centre d'Etudes et de Recherche de l'ESSEC, 1977).
"Stock Exchange Seats as Capital Assets," Journal of Financial Economics, 4 (January 1977) 51-78.
"Estimating Distributed Lag Models from Cross Section Data: The Case of Hospital Admissions and Discharges," Journal of the American Statistical Association, 69 (September 1974) 627-633, with Charles R. Nelson.
"Review of The Great Myths of 1929 and the Lessons to be Learned by Harold Bierman," Journal of Finance, 47 (March 1992) 410-413.
"Stock Market Crash of October 1987," New Palgrave Dictionary of Money and Finance, P. Newman, M. Milgate and J. Eatwell, eds. (New York: Stockton Press, 1992) Vol. 3, 577-582.
"Testing for Unit Roots," New Palgrave Dictionary of Money and Finance, P. Newman, M. Milgate and J. Eatwell, eds. (New York: Stockton Press, 1992) Vol. 3, 653-654.
"Review of Market Volatility by Robert Shiller: Much Ado About . . . Very Little," Journal of Portfolio Management, 17 (Summer 1991) 74-78.
"Testing for Covariance Stationarity in Stock Market Data," Economics Letters, 33 (1990) 165-170, with Adrian R. Pagan.
"Margin Regulation and Stock Volatility," Journal of Financial Services Research, 3 (December 1989) 153-164.
"Business Cycles, Financial Crises and Stock Volatility: Reply to Shiller," Carnegie-Rochester Conference Series on Public Policy, 31 (Autumn 1989) 133-138.
"The Time Series Behavior of Real Interest Rates: A Comment," Carnegie-Rochester Conference Series on Public Policy, 24 (Spring 1986) 275-288.
"A Discussion of CEO Deaths and the Reaction of Stock Prices," Journal of Accounting and Economics, 7 (April 1985) 175-178.
"The Market for Corporate Control," panel discussion published in the Midland Corporate Finance Journal, Summer 1983, pp. 21-47; reprinted in Six Roundtable Discussions with Joel Stern, Donald H. Chew, Jr., ed. (New York: Quorum Books, 1986) 101-143.
"Potential GNP: Its Measurement and Significance -- A Dissenting Opinion," Carnegie-Rochester Conference Series on Public Policy (supplement to Journal of Monetary Economics), 10 (Spring 1979) 179-186, with Charles I. Plosser.
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