Differential Information and Security Market Equilibrium

FOUNDATIONS OF STATISTICS

2001 • 7,247 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Applied Statistical Decision Theory

1962 • 2,252 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

The effect of estimation risk on optimal portfolio choice

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Differential information and the small firm effect

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The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets

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Estimation Risk and Optimal Portfolio Choice.

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Capital asset prices with heterogeneous beliefs

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Expectations and the Structure of Share Prices

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Prediction and Decision Problems in Regression Models from the Bayesian Point of View

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The effect of limited information and estimation risk on optimal portfolio diversification

1977 • 181 citations

THE NEGLECTED AND SMALL FIRM EFFECTS

1982 • 177 citations

The Effect of Estimation Risk on Capital Market Equilibrium

1979 • 136 citations

Estimation Risk in the Portfolio Selection Model

1971 • 77 citations

The impact of variance estimation in option valuation models

1977 • 76 citations

OPTIMAL SPECULATION AGAINST AN EFFICIENT MARKET*

1976 • 63 citations

Investor Preference for Large Firms: New Evidence on Economies of Size

1983 • 42 citations

Effects of Uncertain and Nonstationary Parameters Upon Capital Market Equilibrium Conditions

1978 • 32 citations

Expectations and the Structure of Share Prices.

1984 • 25 citations

Nonstationarity and Portfolio Choice

1976 • 23 citations

A Bayesian approach to portfolio analysis

1973 • 1 citations