Is the ex ante risk premium always positive?

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Efficient Capital Markets: II

1991 • 5,145 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Expected stock returns and volatility

1987 • 4,291 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

On estimating the expected return on the market

1980 • 2,932 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Wald Criteria for Jointly Testing Equality and Inequality Restrictions

1986 • 1,449 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

1991 • 986 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

The real term structure and consumption growth

1988 • 690 citations

Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns

1994 • 505 citations

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

1982 • 477 citations

The Fisher hypothesis and the forecastability and persistence of inflation

1987 • 394 citations

Indexes of U.S. Stock Prices from 1802 to 1987

1990 • 386 citations

On the Cross‐sectional Relation between Expected Returns and Betas

1994 • 368 citations

A multivariate analogue of the one-sided test

1963 • 363 citations

Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model

1977 • 343 citations

One-Sided Testing Problems in Multivariate Analysis

1969 • 321 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Testing inequality constraints in linear econometric models

1989 • 254 citations

Term premiums and default premiums in money markets

1986 • 248 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Econometric Evaluation of Asset Pricing Models

1995 • 214 citations

An Exact Test for Multiple Inequality and Equality Constraints in the Linear Regression Model

1987 • 193 citations

The real rate of interest from 1800–1990

1992 • 148 citations

The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

1991 • 139 citations

On the Cross-Sectional Relation between Expected Returns and Betas

1994 • 123 citations

Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models

1989 • 114 citations

General Tests of Latent Variable Models and Mean‐Variance Spanning

1993 • 107 citations

Econometric Aspects of the Variance-Bounds Tests: A Survey

1991 • 97 citations

A Mean-Variance Framework for Tests of Asset Pricing Models

1989 • 97 citations

Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns

1994 • 95 citations

On the microeconomic theory of investment under uncertainty

1977 • 79 citations

the real rate of Interest from 1800-1990: A Study of the U.S. and U.K

1991 • 72 citations

The Specification of Conditional Expectations

1991 • 56 citations

A critique of latent variable tests of asset pricing models

1989 • 50 citations

Capital market theory and the pricing of financial securities

1987 • 40 citations

The monotonicity of the term premium

1992 • 28 citations

Market Frictions and Consumption-Based Asset Pricing

1994 • 26 citations

Power function comparisons in inequality hypothesis testing

1982 • 12 citations

Market Frictions and Consumption-Based Asset Pricing

1992 • 5 citations

The application of transformations to non-linear models

1980 • 3 citations