Time-Variation in Expected Returns

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

1980 • 25,774 citations

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

Stock returns and the term structure

1987 • 2,322 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Estimation and Inference in Two-Step Econometric Models

2002 • 1,315 citations

Biases in computed returns

1983 • 846 citations

Some New Stock-Market Indexes

1966 • 558 citations

Stock returns and inflation

1987 • 432 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

New evidence on the nature of size-related anomalies in stock prices

1983 • 362 citations

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

1985 • 321 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Systematic Risk of the CRSP Equal-Weighted Common Stock Index: A History Estimated by Stochastic-Parameter Regression

1982 • 107 citations

Deleted Work

1955 • 0 citations