Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC…
Data up to Jan 2025
Total Citations Per Year
Abstract
References (65)
Common risk factors in the returns on stocks and bonds
1993 • 26,177 citations
The Cross‐Section of Expected Stock Returns
1992 • 15,031 citations
Risk, Return, and Equilibrium: Empirical Tests
1973 • 14,580 citations
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
1993 • 10,751 citations
An Intertemporal Capital Asset Pricing Model
1973 • 6,653 citations
Multifactor Explanations of Asset Pricing Anomalies
1996 • 6,381 citations
The relationship between return and market value of common stocks
1981 • 6,052 citations
Investor Psychology and Security Market Under‐ and Overreactions
1998 • 5,459 citations
The Cross-Section of Expected Stock Returns
1992 • 5,405 citations
Asset pricing and the bid-ask spread
1986 • 5,250 citations
Contrarian Investment, Extrapolation, and Risk
1994 • 4,396 citations
A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
1977 • 3,099 citations
The Capital Asset Pricing Model: Some Empirical Tests
1972 • 2,784 citations
Risk measurement when shares are subject to infrequent trading
1979 • 2,767 citations
Evidence of Predictable Behavior of Security Returns
1990 • 2,552 citations
A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
1998 • 2,417 citations
INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS
1977 • 2,379 citations
A Test of the Efficiency of a Given Portfolio
1989 • 2,325 citations
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
1993 • 1,843 citations
Understanding Risk and Return
1996 • 1,818 citations
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
1997 • 1,718 citations
On the Estimation of Beta-Pricing Models
1992 • 1,685 citations
Estimating the components of the bid/ask spread
1988 • 1,681 citations
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
1996 • 1,631 citations
Multifactor Explanations of Asset Pricing Anomalies
1996 • 1,530 citations
The effect of personal taxes and dividends on capital asset prices
1979 • 1,248 citations
Data-Snooping Biases in Tests of Financial Asset Pricing Models
1990 • 1,155 citations
An Empirical Investigation of the Arbitrage Pricing Theory
1980 • 1,152 citations
Studies in the Theory of Capital Markets.
1973 • 1,060 citations
Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
1996 • 1,041 citations
The effects of dividend yield and dividend policy on common stock prices and returns
1974 • 1,034 citations
TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY
1970 • 832 citations
Dividends and taxes
1978 • 760 citations
Investment analysis and price formation in securities markets
1995 • 756 citations
Dividends and Taxes: Some Empirical Evidence
1982 • 684 citations
Multivariate tests of financial models
1982 • 632 citations
Contrarian Investment, Extrapolation, and Risk
1994 • 629 citations
Multifactor models do not explain deviations from the CAPM
1995 • 586 citations
Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis
1977 • 585 citations
On the exclusion of assets from tests of the two-parameter model
1982 • 532 citations
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
1997 • 528 citations
A Test for the Number of Factors in an Approximate Factor Model
1993 • 449 citations
Overreaction, Delayed Reaction, and Contrarian Profits
1995 • 436 citations
The empirical foundations of the arbitrage pricing theory
1988 • 388 citations
An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional Regression
1998 • 388 citations
Evidence of Predictable Behavior of Security Returns
1990 • 378 citations
Risk and Return in an Equilibrium APT
1987 • 343 citations
A unified beta pricing theory
1984 • 333 citations
An Empirical Investigation of the Arbitrage Pricing Theory
1980 • 314 citations
Posted versus effective spreads
1994 • 285 citations
Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings
1996 • 254 citations
Multivariate proxies and asset pricing relations
1987 • 233 citations
Dividends, Short Selling Restrictions, Tax‐Induced Investor Clienteles and Market Equilibrium
1980 • 200 citations
Residual risk revisited
1990 • 192 citations
A Test for the Number of Factors in an Approximate Factor Model
1993 • 184 citations
Market microstructure and asset pricing
1990 • 174 citations
A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
1983 • 155 citations
NYSE vs NASDAQ returns
1993 • 149 citations
The Alpha Factor Asset Pricing Model: A Parable
1998 • 130 citations
Multi‐Beta CAPM or Equilibrium‐APT?: A Reply
1985 • 102 citations
Differences in the Risks and Returns of NYSE and NASD Stocks
1993 • 79 citations
A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
1983 • 38 citations
Multi-Beta CAPM or Equilibrium-APT?: A Reply
1985 • 36 citations
Cross-Sectional Determinants of Expected Returns
2004 • 26 citations
(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
1998 • 5 citations