Asset Pricing in Economies with Frictions

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Optimization by Vector Space Methods

1970 • 6,346 citations

The equity premium: A puzzle

1985 • 5,686 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Consumption and Liquidity Constraints: An Empirical Investigation

1989 • 1,944 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

The Equity Premium Puzzle and the Riskfree Rate Puzzle

1989 • 1,038 citations

The information in the term structure

1984 • 689 citations

Convex Duality in Constrained Portfolio Optimization

1992 • 667 citations

Evaluating the effects of incomplete markets on risk sharing nad asset pricing

2010 • 666 citations

Intertemporal asset pricing under knightian uncertainty

2004 • 600 citations

Explaining the Variance of Price–Dividend Ratios

1992 • 519 citations

Arbitrage and equilibrium in economies with infinitely many commodities

1981 • 513 citations

Martingales and Arbitrage in Securities Markets with Transaction Costs

1995 • 458 citations

Liquidity constraints and the permanent-income hypothesis

1991 • 376 citations

Risk Aversion and the Martingale Property of Stock Prices

1973 • 360 citations

Asset returns with transactions costs and uninsured individual risk

1991 • 342 citations

Modeling the term structure of interest rates under non-separable utility and durability of goods

1986 • 315 citations

Equilibrium with Transaction Costs

1971 • 294 citations

Asset pricing with undiversifiable income risk and short sales constraints

1994 • 286 citations

The information in forward rates

1988 • 282 citations

Market Frictions and Consumption-Based Asset Pricing

1995 • 246 citations

Efficient Estimation with A Priori Information.

1974 • 228 citations

Economic equilibrium with costly marketing

1970 • 156 citations

Consumption, asset markets and macroeconomic fluctuations

1982 • 146 citations

Tests for liquidity constraints: a critical survey and some new observations

2008 • 140 citations

The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

1991 • 139 citations

Arbitrage and Martingales with Taxation

1987 • 110 citations

Diagnosing Asset Pricing Models Using the Distribution of Asset Returns

1991 • 103 citations

The valuation problem in arbitrage price theory

1993 • 100 citations

Valuation of Risky Assets in Arbitrage Free Economies with Frictions

1986 • 72 citations

Viable prices in financial markets with solvency constraints

1995 • 56 citations

The monotonicity of the term premium

1987 • 53 citations

Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model

1980 • 35 citations

Equilibrium interest rate and liquidity premium under proportional transactions costs

2010 • 13 citations

Deleted Work

1955 • 0 citations