The performance of international asset allocation strategies using conditioning information

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

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

1987 • 15,268 citations

Expected stock returns and volatility

1987 • 4,291 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

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

1988 • 3,715 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Stock returns and the term structure

1987 • 2,322 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 1,374 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

The World Price of Covariance Risk

1991 • 1,115 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Stock Returns and Volatility

1990 • 760 citations

Portfolio Performance Evaluation: Old Issues and New Insights

1989 • 622 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

On the Contrarian Investment Strategy

1988 • 584 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

Heteroskedasticity in Stock Returns

1990 • 485 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Speculative Dynamics

1991 • 426 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 425 citations

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

The World Price of Covariance Risk

1991 • 344 citations

On the Transversality Condition in Infinite Horizon Optimal Problems

1982 • 324 citations

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

1989 • 255 citations

The value line enigma (1965–1978)

1982 • 243 citations

Assessing Goodness‐of‐Fit of Asset Pricing Models: The Distribution of the Maximal R2

1997 • 223 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

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

1992 • 151 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 144 citations

Heteroskedasticity in Stock Returns

1990 • 144 citations

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

1992 • 130 citations

Ambiguity when Performance is Measured by the Securities Market Line

1978 • 102 citations

Asymmetric information and portfolio performance measurement

1979 • 97 citations

Consumption risk and international equity returns: some empirical evidence

1990 • 87 citations

A generalisation of the international asset pricing model

1980 • 87 citations

Foreign currency futures

1987 • 82 citations

A General Equilibrium Model of Changing Risk Premia: Theory and Tests

1989 • 81 citations

International Equity and Bond Returns

1982 • 76 citations

Time-Varying Return and Risk in the Corporate Bond Market

1990 • 59 citations

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

1989 • 52 citations

International asset allocation with time varying risk: an analysis and implementation

1994 • 23 citations