General Tests of Latent Variable Models and Mean‐Variance Spanning

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

1980 • 25,774 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

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

1964 • 15,720 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Biases in computed returns

1983 • 846 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

Empirical Tests of the Consumption‐Oriented CAPM

1989 • 759 citations

Intertemporal asset pricing

1990 • 647 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

Mean‐Variance Spanning

1987 • 564 citations

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

1992 • 521 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

Dividend yields are equity risk premiums

1984 • 388 citations

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

1994 • 376 citations

Mutual fund separation in financial theory—The separating distributions

1978 • 359 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Risk and return

1984 • 330 citations

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

1985 • 321 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

1991 • 292 citations

The information in forward rates

1988 • 282 citations

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

1989 • 255 citations

Stock prices, inflation, and the term structure of interest rates

1974 • 234 citations

Econometric Evaluation of Asset Pricing Models

1995 • 214 citations

Returns and Volatility of Low‐Grade Bonds 1977–1989

1991 • 198 citations

A Direct Test of Roll's Conjecture on the Firm Size Effect

1982 • 194 citations

Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach

1991 • 170 citations

Testing the CAPM with Time‐Varying Risks and Returns

1991 • 149 citations

The January Size Effect: Anomaly or Risk Mismeasurement?

1986 • 133 citations

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

1990 • 106 citations

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

1989 • 81 citations

Arbitrage pricing with information

1983 • 73 citations

An Intertemporal Equilibrium Beta Pricing Model

1989 • 73 citations

Nonsynchronous Data and the Covariance‐Factor Structure of Returns

1987 • 70 citations

The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

1992 • 54 citations

A critique of latent variable tests of asset pricing models

1989 • 50 citations

Macroeconomics and finance

1998 • 45 citations

Predictable bond and stock returns in the United States and Japan : a study of long-term capital market integration

1988 • 42 citations

Three essays on the pricing of derivative claims

1983 • 8 citations

Asset pricing models with changing expectations : an empirical study

1987 • 3 citations

Deleted Work

1955 • 0 citations