Asset pricing models with and without consumption data: An empirical evaluation

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

The equity premium: A puzzle

1985 • 5,686 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Efficient Capital Markets: II

1991 • 5,145 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

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

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Stock returns and the term structure

1987 • 2,322 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Understanding Risk and Return

1996 • 1,818 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 1,730 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

The equity premium puzzle and the risk-free rate puzzle

1989 • 1,394 citations

Stochastic Trends and Economic Fluctuations

1991 • 1,332 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

The consumption of stockholders and nonstockholders

1991 • 1,223 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Nonexpected Utility in Macroeconomics

1990 • 1,019 citations

THE DEMAND FOR RISKY ASSETS

1977 • 977 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

1993 • 935 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Empirical Tests of the Consumption‐Oriented CAPM

1989 • 759 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

On the exclusion of assets from tests of the two-parameter model

1982 • 532 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns

1993 • 457 citations

Asset returns and intertemporal preferences

1991 • 386 citations

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

1991 • 292 citations

The Consumption of Stockholders and Non-Stockholders

1990 • 277 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 255 citations

Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

1992 • 240 citations

Risk and Return: Consumption Beta Versus Market Beta

1986 • 174 citations

Consumption, production, inflation and interest rates

1986 • 161 citations

Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model

1989 • 98 citations

Estimating the Continuous-Time Consumption-Based Asset-Pricing Model

1987 • 88 citations

A General Equilibrium Model of Changing Risk Premia: Theory and Tests

1989 • 81 citations

Short Rates and Expected Asset Returns

1990 • 49 citations

Some tests of the consumption-based asset pricing model

1988 • 48 citations

Exact Solutions for Expected Rates of Return under Markov Regime Switching: Implications for the Equity Premium Puzzle

1994 • 44 citations

Mean Reversion and Consumption Smoothing

1990 • 41 citations

Relative cost of capital for marginal firms over the business cycle

1992 • 36 citations

An Intemporal Model of Asset Prices in a Markov Economy with a Limiting Stationary Distribution

1992 • 28 citations

Macroeconomic Variables and Asset Pricing: Further Results

1990 • 20 citations

Optimal portfolio policies under time-dependent returns

1992 • 19 citations

INTERTEMPORAL ASSET PRICING WITHOUT CONSUMPTION DATA: EMPIRICAL TESTS

1997 • 17 citations