The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 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

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

Equilibrium in a Capital Asset Market

1966 • 4,832 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Efficient Inference in a Random Coefficient Regression Model

1970 • 1,979 citations

The Advanced Theory of Statistics

1963 • 1,885 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

Nonlinear Methods in Econometrics.

1973 • 675 citations

A New Approach to Estimating Switching Regressions

1972 • 578 citations

A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL

1973 • 510 citations

Some Estimators for a Linear Model With Random Coefficients

1968 • 504 citations

Measurement of Portfolio Performance Under Uncertainty

1970 • 392 citations

Components of Investment Performance

1972 • 336 citations

Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model

1978 • 262 citations

Mathematical Methods in Investment and Finance

1975 • 210 citations

Bayesian and Non-Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models

1975 • 130 citations

ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION

1978 • 117 citations

Tests of the multiperiod two-parameter model

1974 • 111 citations

The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium

1977 • 67 citations

Using the Capital Asset Pricing Model and the Market Model to Predict Security Returns

1974 • 42 citations

The Measurement of Portfolio Risk Exposure.

1973 • 22 citations

Additional Evidence on the Risk Level Discriminatory Powers of the Wiesenberger Classifications

1976 • 19 citations