The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications

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

1964 • 15,720 citations

The Behavior of Stock-Market Prices

1965 • 8,575 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

Some New Stock-Market Indexes

1966 • 558 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

1978 • 72 citations

Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk

1980 • 71 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

The Effect of Long Term Dependence on Risk-Return Models of Common Stocks

1979 • 19 citations

Time Aggregation, Coefficient of Determination and Systematic Risk of The Market Model*

1978 • 12 citations

Evidence of Intertemporal Systematic Risks in the Daily Price Movements of NYSE and AMEX Common Stocks

1980 • 11 citations

Autocorrelation, Investment Horizon and Efficient Frontier Composition

1979 • 11 citations

On the time-behavior of financial parameters : an investigation of the intervaling effect

1977 • 8 citations

Time Aggregation, Autocorrelation, and Systematic Risk Estimates--Additive Versus Multiplicative Assumptions

1980 • 7 citations

Temporal aggregation and the estimation of the market price of risk

1980 • 4 citations

The time–covariance function

1979 • 3 citations