Implementing Option Pricing Models When Asset Returns Are Predictable

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Stochastic processes

1953 • 9,312 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Stochastic Processes and Filtering Theory

1970 • 7,520 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The equity premium: A puzzle

1985 • 5,686 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

On the Impossibility of Informationally Efficient Markets

1980 • 4,825 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

On the impossibility of informationally efficient markets

1980 • 3,972 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Introduction to Multiple Time Series Analysis

1993 • 2,070 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

The equity premium puzzle and the risk-free rate puzzle

1989 • 1,394 citations

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

1976 • 1,388 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 1,327 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Introduction to Multiple Time Series Analysis

1991 • 1,079 citations

The Equity Premium Puzzle and the Riskfree Rate Puzzle

1989 • 1,038 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

1993 • 935 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

Market and Industry Factors in Stock Price Behavior

1966 • 866 citations

Measuring abnormal performance

1992 • 864 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Option Pricing and Replication with Transactions Costs

1985 • 805 citations

THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

1972 • 729 citations

A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

1992 • 662 citations

Radio Spectrum Allocation: Role of the Market

2016 • 618 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

The Valuation of Option Contracts and a Test of Market Efficiency

1972 • 601 citations

R2

1988 • 562 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

Preface

1970 • 500 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns

1993 • 457 citations

R-S1-2

1988 • 412 citations

Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data

1988 • 368 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Mean-Variance Theory in Complete Markets

1982 • 276 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 255 citations

Time-varying risk premia and forecastable returns in futures markets

1992 • 238 citations

Discretely adjusted option hedges

1980 • 206 citations

The equity premium and the risk-free rate

1993 • 196 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

1976 • 156 citations

Semi-parametric upper bounds for option prices and expected payoffs

1987 • 139 citations

Option Prices and the Underlying Asset's Return Distribution

1991 • 120 citations

Sources of Predictability in Portfolio Returns

1991 • 120 citations

General Tests of Latent Variable Models and Mean‐Variance Spanning

1993 • 107 citations

Are the Latent Variables in Time‐Varying Expected Returns Compensation for Consumption Risk?

1990 • 106 citations

Call options and the risk of underlying securities

1984 • 90 citations

The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model

1992 • 81 citations

Statistical tests of contingent-claims asset-pricing models

1986 • 68 citations

Continuous Price Processes in Frictionless Markets Have Infinite Variation

1984 • 45 citations

Martingale-Like Behavior of Prices and Interest Rates

1984 • 40 citations

Estimation Risk and Adaptive Behavior in the Pricing of Options

1991 • 2 citations

Deleted Work

1955 • 0 citations