Time-varying risk premia and forecastable returns in futures markets

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Efficient Capital Markets: II

1991 • 5,145 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

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

1977 • 3,099 citations

On estimating the expected return on the market

1980 • 2,932 citations

The pricing of commodity contracts

1976 • 2,931 citations

Stock returns and the term structure

1987 • 2,322 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

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

Efficient Capital Markets: II

1991 • 1,302 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage

1987 • 1,070 citations

A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

1988 • 621 citations

Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets

1992 • 560 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

1973 • 524 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

The World Price of Covariance Risk

1991 • 344 citations

Residual Risk, Trading Costs, and Commodity Futures Risk Premia:

1988 • 337 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

Returns to Speculators: Telser versus Keynes

1960 • 315 citations

A continuous time equilibrium model of forward prices and futures prices in a multigood economy

1981 • 235 citations

Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

1992 • 151 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 130 citations

Consumption Risk in Futures Markets

1980 • 120 citations

Are the Latent Variables in Time‐Varying Expected Returns Compensation for Consumption Risk?

1990 • 106 citations

Foreign currency futures

1987 • 82 citations

Time-Varying Return and Risk in the Corporate Bond Market

1990 • 59 citations

A critique of latent variable tests of asset pricing models

1989 • 50 citations

Risk premiums in futures markets: An empirical investigation

1984 • 32 citations

Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?

1990 • 30 citations

Investigating the correlation of unobserved expectations

1992 • 25 citations

Consumption Risk in Futures Markets

1980 • 19 citations

Trading Frictions and Futures Price Movements

1988 • 14 citations

Risk premiums in financial futures markets: The case of treasury bond futures

1987 • 9 citations

Economic Forces and Commodity Futures Prices: Further Evidence on Time-Varying Risk Premia

1993 • 4 citations