The Variation of Economic Risk Premiums

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

1970 • 15,798 citations

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

1987 • 15,268 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Stock returns and the term structure

1987 • 2,322 citations

On the Contrarian Investment Strategy

1988 • 584 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Nonstationary expected returns

1989 • 512 citations

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

1985 • 321 citations

The Pricing of Interest‐Rate Risk: Evidence from the Stock Market

1986 • 280 citations

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

1989 • 255 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Admissible uncertainty in the intertemporal asset pricing model

1980 • 89 citations

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

1989 • 81 citations

A Monte Carlo investigation of the accuracy of multivariate CAPM tests

1985 • 68 citations