Transaction costs and predictability: some utility cost calculations

The equity premium: A puzzle

1985 • 5,686 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Stock returns and the term structure

1987 • 2,322 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

1975 • 1,863 citations

Investing for the Long Run when Returns Are Predictable

2000 • 1,395 citations

Portfolio Selection with Transaction Costs

1990 • 1,370 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Consumption and Portfolio Decisions when Expected Returns are Time Varying

1999 • 1,090 citations

Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

1991 • 986 citations

Strategic asset allocation

1997 • 784 citations

On the Predictability of Stock Returns: An Asset‐Allocation Perspective

1996 • 750 citations

Evaluating the effects of incomplete markets on risk sharing nad asset pricing

2010 • 666 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Dynamic Nonmyopic Portfolio Behavior

1996 • 496 citations

Transaction Costs and Asset Prices: A Dynamic Equilibrium model

1998 • 472 citations

Transaction costs and the small firm effect

1983 • 461 citations

Trading costs and the relative rates of price discovery in stock, futures, and option markets

1996 • 440 citations

The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid‐Ask Bias

1992 • 324 citations

Asset Pricing in Economies with Frictions

1996 • 323 citations

Market Frictions and Consumption-Based Asset Pricing

1995 • 246 citations

OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS

1995 • 227 citations

Econometric Evaluation of Asset Pricing Models

1995 • 214 citations

Transactions costs and portfolio choice in a discrete-continuous-time setting

1990 • 178 citations