Heterogeneity in Financial Market Participation: Appraising its Implications for the C-CAPM*

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

1964 • 15,720 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Journal of economic literature

1996 • 10,163 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

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

1965 • 7,112 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Time to Build and Aggregate Fluctuations

1982 • 5,852 citations

The American Economic Review

2011 • 5,693 citations

The equity premium: A puzzle

1985 • 5,686 citations

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

1999 • 5,300 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

Essays in the Theory of Risk-Bearing.

1972 • 4,221 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The journal of financial economics

1993 • 2,535 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

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

1991 • 1,765 citations

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

1983 • 1,611 citations

Intertemporal Substitution in Consumption

1988 • 1,533 citations

The consumption of stockholders and nonstockholders

1991 • 1,223 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Why do so Few Hold Stocks?

1995 • 1,060 citations

Limited Asset Market Participation and the Elasticity of Intertemporal Substitution

2002 • 1,012 citations

THE DEMAND FOR RISKY ASSETS

1977 • 977 citations

The Economics of Information and Uncertainty

1982 • 874 citations

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

1996 • 683 citations

Evaluating the effects of incomplete markets on risk sharing nad asset pricing

2010 • 666 citations

Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey

1995 • 571 citations

Consumption Growth, the Interest Rate and Aggregation

1993 • 563 citations

An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications

1995 • 423 citations

Awareness and Stock Market Participation

2005 • 409 citations

Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation

1982 • 366 citations

Stock Ownership Patterns, Stock Market Fluctuations, and Consumption

1995 • 346 citations

Asset Holding and Consumption Volatility

2002 • 286 citations

Asset Prices in a Production Economy

1982 • 281 citations

Household Portfolios in the United States

2000 • 249 citations

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

1990 • 166 citations

The Equity Premium: It's Still a Puzzle

2016 • 109 citations

Dynamic Models with Fixed Effects

1984 • 36 citations