SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

Risk Aversion in the Small and in the Large

1976 • 4,953 citations

Risk Aversion in the Small and in the Large

1964 • 4,664 citations

Essays in the Theory of Risk-Bearing.

1972 • 4,221 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

The Theory of Syndicates

1968 • 1,168 citations

The Theory of Finance

1972 • 1,064 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

The effects of dividend yield and dividend policy on common stock prices and returns

1974 • 1,034 citations

Statistical Methods of Econometrics

1970 • 828 citations

The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

1970 • 735 citations

RISK AND THE REQUIRED RETURN ON EQUITY

1967 • 646 citations

A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL

1973 • 510 citations

The Fundamental Theorem of Parameter-Preference Security Valuation

1973 • 472 citations

The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds

1970 • 451 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

Criteria for Choice Among Risky Ventures

1959 • 401 citations

Investment, Interest and Capital.

1971 • 395 citations

Measurement of Portfolio Performance Under Uncertainty

1970 • 392 citations

OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.

1975 • 383 citations

The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money

1989 • 367 citations

Statistical Methods of Econometrics.

1967 • 348 citations

Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

1970 • 346 citations

Statistical Methods of Econometrics.

1967 • 202 citations

The Extension of Portfolio Analysis to Three or More Parameters

1971 • 185 citations

Capital Market Equilibrium with Divergent Borrowing and Lending Rates

1971 • 159 citations

A New Look at the Capital Asset Pricing Model

1973 • 147 citations

A Comparative Statics Analysis of Risk Premiums

1973 • 141 citations

Investment, Interest and Capital.

1971 • 122 citations

A UTILITY FUNCTION DEPENDING ON THE FIRST THREE MOMENTS

1969 • 117 citations

Choices with Risk: Beyond the Mean and Variance

1970 • 111 citations

Cardinal Utility, Portfolio Selection and Taxation

1960 • 83 citations

MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†

1975 • 72 citations

Regression Estimation from Grouped Observations

1974 • 62 citations

Experimental Evidence on Alternative Portfolio Decision Rules

1972 • 62 citations

Risk Disposition and the Separation Property in Portfolio Selection

1969 • 54 citations

THE SPECULATIVE BEHAVIOR OF MUTUAL FUNDS

1972 • 31 citations

Distribution Moments and Equilibrium: A Comment

1972 • 27 citations

Market Equilibrium in a Multiperiod State Preference Model with Logarithmic Utility

1975 • 27 citations

A quantitative framework for financial management

1969 • 26 citations

Optimal Growth Portfolios When Yields are Serially Correlated

1970 • 22 citations

The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments11Aid from the National Science Foundation is gratefully acknowledged, and from my M.I.T. students and co-researchers: Robert C. Merton, from whose conversations I have again benefited, and Dr. Stanley Fischer (now of the University of Chicago) whose 1969 M.I.T. doctoral dissertation, Essays on Assets and Contingent Commodities contains independently-derived results on compact …

1975 • 14 citations

SECULAR TRENDS IN RISK PREMIUMS

1972 • 8 citations