Market Created Risk

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Stock return variances

1986 • 1,878 citations

Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

1978 • 1,583 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

The Role of Securities in the Optimal Allocation of Risk-bearing

1973 • 1,203 citations

The Role of Securities in the Optimal Allocation of Risk-bearing

1964 • 1,125 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

On the Possibility of Speculation under Rational Expectations

1982 • 971 citations

The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices

1972 • 944 citations

PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

1972 • 683 citations

Orange Juice and Weather

1984 • 572 citations

An aggregation theorem for securities markets

1974 • 507 citations

Necessary Conditions for Aggregation in Securities Markets

1978 • 71 citations

INSTITUTIONAL TRADING AND SECURITY PRICES: THE CASE OF CHANGES IN THE COMPOSITION OF THE S&P 500 INDEX

1986 • 63 citations

Deleted Work

1955 • 0 citations