Sources of risk and expected returns in global equity markets

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

1980 • 25,774 citations

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

1964 • 15,720 citations

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1982 • 13,306 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 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

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

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An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 1,453 citations

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1983 • 1,374 citations

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1991 • 1,115 citations

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1983 • 950 citations

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1981 • 846 citations

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1989 • 759 citations

Stock Returns and Real Activity: A Century of Evidence

1990 • 712 citations

The Risk and Predictability of International Equity Returns

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On the Effects of Barriers to International Investment

1981 • 662 citations

The Pricing of Exchange Rate Risk in the Stock Market

1991 • 637 citations

Multivariate tests of financial models

1982 • 632 citations

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1992 • 521 citations

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1983 • 499 citations

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1983 • 425 citations

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1990 • 396 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

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1994 • 376 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 373 citations

The World Price of Covariance Risk

1991 • 344 citations

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1991 • 291 citations

An empirical examination of the Arbitrage Pricing Theory

1988 • 287 citations

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1983 • 255 citations

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1986 • 249 citations

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1989 • 214 citations

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1987 • 204 citations

The Term Structure and World Economic Growth

1991 • 193 citations

Empirical Test of the Consumption-Oriented CAPM

1989 • 182 citations

On the Effects of Barriers to International Investment

1981 • 176 citations

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1987 • 161 citations

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

1992 • 151 citations

Evaluating the Performance of International Mutual Funds

1990 • 130 citations

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1990 • 128 citations

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1981 • 92 citations

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1984 • 77 citations

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1989 • 73 citations

International Arbitrage Pricing Theory

1983 • 72 citations

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1992 • 67 citations

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1992 • 67 citations

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1987 • 67 citations

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1984 • 61 citations

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1992 • 53 citations

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1983 • 11 citations

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1991 • 5 citations