Predicting Stock Returns in an Efficient Market

Technical Change and the Aggregate Production Function

1957 • 11,113 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

The equity premium: A puzzle

1985 • 5,686 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Expected stock returns and volatility

1987 • 4,291 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

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Theory of the Consumption Function

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A Theory of the Consumption Function

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Stock Prices, Earnings, and Expected Dividends

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Introduction to Statistical Time Series.

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Stock returns and the term structure

1987 • 2,322 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Theory of Financial Decision Making.

1988 • 2,039 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Mean Reversion in Stock Prices

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Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

The Theory of Finance

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The Economics of Information and Uncertainty

1982 • 874 citations

Dynamic Macroeconomic Theory

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Autoregressive modelling and money-income causality detection

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Nber Macroeconomics Annual

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An aggregation theorem for securities markets

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Mean Reversion in Equilibrium Asset Prices

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Dynamic Macroeconomic Theory.

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The Estimation of Prewar Gross National Product: Methodology and New Evidence

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A Rational Expectations Approach to Macroeconometrics

1983 • 409 citations

Macroeconomics and finance: The role of the stock market

1984 • 345 citations

A General Index of Technical Change

1988 • 304 citations

A rational expectations approach to macroeconometrics: Testing policy ineffectiveness and efficient-markets models

1985 • 304 citations

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

1988 • 295 citations

The Prewar Business Cycle Reconsidered: New Estimates of Gross National Product, 1869-1908

1989 • 275 citations

Trends versus Random Walks in Time Series Analysis

1988 • 267 citations

Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information

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Temporary Components of Stock Prices: A Skeptic's View

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On the Inception of Rational Bubbles

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Habit formation: a resolution of the equity premium puzzle?

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Consumption, production, inflation and interest rates

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Post-Keynesian Economics

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Admissible uncertainty in the intertemporal asset pricing model

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A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

1987 • 69 citations

Do Equilibrium Real Business Cycle Theories Explain Postwar U. S. Business Cycles?

1986 • 66 citations

The Output of Manufacturing Industries, 1899-1937

1942 • 54 citations

Variance Bounds in a Simple Model of Asset Pricing

1982 • 51 citations

The Output of Manufacturing Industries, 1899-1937

1941 • 48 citations