Measuring Investment Performance in a Rational Expectations Equilibrium Model

An Introduction to Multivariate Statistical Analysis

1986 • 9,529 citations

On the Impossibility of Informationally Efficient Markets

1980 • 4,825 citations

On the impossibility of informationally efficient markets

1980 • 3,972 citations

Introduction to Multivariate Statistical Analysis.

1959 • 3,939 citations

Measuring security price performance

1980 • 3,397 citations

ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION

1976 • 1,388 citations

On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

2015 • 1,341 citations

On the aggregation of information in competitive markets

1980 • 1,192 citations

Information aggregation in a noisy rational expectations economy

1981 • 1,135 citations

Optimal Release of Information By Firms

1985 • 1,079 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets

1985 • 821 citations

Performance measurement with the arbitrage pricing theory

1986 • 739 citations

Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons

1987 • 612 citations

On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts

2011 • 555 citations

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

Components of Investment Performance

1972 • 336 citations

Delegated portfolio management

1985 • 321 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

The Market-Timing Performance of Mutual Fund Managers

1983 • 236 citations

Further results on the informational efficiency of competitive stock markets

1978 • 198 citations

Decentralized Investment Management

1981 • 174 citations

The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency

1979 • 173 citations

Measuring portfolio performance and the empirical content of asset pricing models

1979 • 125 citations

The likelihood ratio test statistic of mean-variance efficiency without a riskless asset

1984 • 93 citations

On the existence of rational expectations equilibrium

1982 • 80 citations

Motivating managers to make investment decisions

1975 • 61 citations

A reply to Mayers and Rice (1979)

1979 • 48 citations

The Mayers-Rice conjecture

1980 • 18 citations

On models and measures of information asymmetries in financial markets

1983 • 9 citations

Deleted Work

1955 • 0 citations