Tests of the Relations Among Marketwide Factors, Firm‐Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

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

1964 • 15,720 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 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

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Stock returns and the term structure

1987 • 2,322 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

The World Price of Covariance Risk

1991 • 1,115 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Intertemporal asset pricing

1990 • 647 citations

Multivariate tests of financial models

1982 • 632 citations

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

1987 • 194 citations