A Cross-Sectional Test of an Investment-Based Asset Pricing Model

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 700 citations

Intertemporal asset pricing

1990 • 647 citations

A Simple Approach to the Valuation of Risky Streams

1978 • 602 citations

Inflation, real returns and capital investment

1982 • 491 citations

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

1994 • 376 citations

Asset Prices in a Production Economy

1982 • 281 citations

Mean-Variance Theory in Complete Markets

1982 • 276 citations

Portfolio Inefficiency and the Cross‐section of Expected Returns

1995 • 249 citations

Econometric Evaluation of Asset Pricing Models

1995 • 214 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives

1989 • 156 citations

A Simple Econometric Approach for Utility‐Based Asset Pricing Models

1985 • 128 citations

Diagnosing Asset Pricing Models Using the Distribution of Asset Returns

1991 • 103 citations