Does Market Risk Really Explain the Size Effect?

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

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 relationship between return and market value of common stocks

1981 • 6,052 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

BETAS AND THEIR REGRESSION TENDENCIES

1975 • 538 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

The relation between the return interval and betas

1989 • 252 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

Temporal Aggregation and the Continuous‐Time Capital Asset Pricing Model

1989 • 78 citations