The World Price of Covariance Risk

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

1964 • 15,720 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 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

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

On estimating the expected return on the market

1980 • 2,932 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Stock returns and the term structure

1987 • 2,322 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 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

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 1,374 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

A model of international asset pricing

1981 • 846 citations

The information in the term structure

1984 • 689 citations

A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

1988 • 621 citations

Stock market seasonality

1983 • 594 citations

The International Crash of October 1987

1988 • 401 citations

Evaluating the Performance of International Mutual Funds

1990 • 396 citations

Session Topic: Capital Asset Pricing Models in an International Context

1974 • 391 citations

Stock Market Returns and Inflation: Evidence from Other Countries

1983 • 371 citations

The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure

1974 • 360 citations

Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation

1979 • 360 citations

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

1985 • 321 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Were Japanese stock prices too high?

1991 • 291 citations

An empirical examination of the Arbitrage Pricing Theory

1988 • 287 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS

1977 • 276 citations

International Arbitrage Pricing Theory: An Empirical Investigation

1986 • 249 citations

The Variation of Economic Risk Premiums

1990 • 230 citations

Some tests of international equity integration

1988 • 225 citations

Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets

1989 • 217 citations

An Empirical Investigation of International Asset Pricing

1989 • 214 citations

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

1989 • 195 citations

The Relation between Stock Prices and Inflationary Expectations: The International Evidence

1983 • 190 citations

TESTING INTERNATIONAL ASSET PRICING: SOME PESSIMISTIC VIEWS

1977 • 134 citations

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

1990 • 106 citations

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

1990 • 98 citations

Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model

1989 • 98 citations

Some Characteristic Properties of Gaussian Stochastic Processes

1964 • 95 citations

On a class of processes arising in linear estimation theory

1968 • 78 citations

Pricing Capital Assets in an International Setting: An Introduction

1984 • 77 citations

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

1988 • 42 citations

The Mochiai effect

1989 • 35 citations

Deleted Work

1955 • 0 citations