Time Aggregation, Coefficient of Determination and Systematic Risk of The Market Model*

The Adjustment of Stock Prices to New Information

1969 • 3,289 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

Principles of Econometrics.

1972 • 2,215 citations

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

1969 • 980 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

Objectives and Performance of Mutual Funds, 1960-1969

1974 • 146 citations

Portfolio Performance and the Investment Horizon

1972 • 135 citations

A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses

1971 • 112 citations

Effect of temporal aggregation on the dynamic relationship of two time series variables

1976 • 102 citations

The Market Model Applied to European Common Stocks: Some Empirical Results

1974 • 101 citations

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

1974 • 81 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results

1971 • 55 citations

Comparative Analysis of Risk Measures: France and the United States

1974 • 43 citations

Investment Horizon and the Functional Form of the Capital Asset Pricing Model

1976 • 42 citations

THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS

1977 • 37 citations

The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns

1977 • 31 citations

Systematic Risk and the Horizon Problem

1973 • 22 citations

The Effect of Long Term Dependence on Risk-Return Models of Common Stocks

1979 • 19 citations

On the Relationship Between the Systematic Risk and the Investment Horizon

1976 • 13 citations

SYSTEMATIC RISK FOR HETEROGENEOUS TIME HORIZONS

1975 • 12 citations

The Effect of Model Misspecification on Tests of the Efficient Market Hypothesis

1977 • 7 citations

Systematic Risk for Heterogeneous Time Horizons

1975 • 4 citations