Systematic Risk, Hedging Pressure, and Risk Premiums in Futures 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

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

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

1964 • 7,201 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 5,293 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

The Determinants of Firms' Hedging Policies

1985 • 3,317 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Value and Capital

1939 • 3,079 citations

The pricing of commodity contracts

1976 • 2,931 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

A Treatise on Money

1930 • 1,747 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 1,247 citations

Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage

1987 • 1,070 citations

Variance Function Estimation

1987 • 649 citations

Risk, Return, and Equilibrium

1971 • 576 citations

On the exclusion of assets from tests of the two-parameter model

1982 • 532 citations

Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

1973 • 524 citations

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

1992 • 521 citations

Forward Contracts and Firm Value: Investment Incentive and Contracting Effects

1991 • 481 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

Risk and Return in Commodity Futures

1980 • 429 citations

A comparison of inflation forecasts

1984 • 387 citations

Residual Risk, Trading Costs, and Commodity Futures Risk Premia:

1988 • 337 citations

A unified beta pricing theory

1984 • 333 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer

1980 • 323 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Returns to Speculators: Telser versus Keynes

1960 • 315 citations

Corporate financial hedging with proprietary information

1991 • 268 citations

Futures Markets, Buffer Stocks, and Income Stability for Primary Producers

1967 • 263 citations

Returns to Speculators and the Theory of Normal Backwardation

1985 • 235 citations

A continuous time equilibrium model of forward prices and futures prices in a multigood economy

1981 • 235 citations

Efficient Asset Portfolios and the Theory of Normal Backwardation

1983 • 232 citations

Variance Function Estimation

1987 • 189 citations

Hedging Pressure and Futures Price Movements in a General Equilibrium Model

1990 • 188 citations

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

1992 • 151 citations

Hedger Diversity in Futures Markets

1983 • 147 citations

Consumption Risk in Futures Markets

1980 • 120 citations

An Investigation of Commodity Futures Prices Using the Consumption‐Based Intertemporal Capital Asset Pricing Model

1985 • 90 citations

Foreign currency futures

1987 • 82 citations

Tests of unbiasedness in foreign exchange futures markets : the effects of low volume in the nearby futures contract and price limits

1988 • 15 citations

Trading Frictions and Futures Price Movements

1988 • 14 citations

Risk premiums in financial futures markets: The case of treasury bond futures

1987 • 9 citations