An Anatomy of the “S&P Game”: The Effects of Changing the Rules

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

Using daily stock returns

1985 • 6,463 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

1986 • 1,047 citations

Changes in the Standard and Poor's 500 List

1991 • 369 citations

Institutional Ownership and Changes in the S&P 500

1989 • 152 citations

Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List

1995 • 140 citations

Index Arbitrage Profitability

1993 • 82 citations