A contingent claim approach to performance evaluation

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Stock Prices and Volume

1992 • 1,388 citations

On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

2015 • 1,341 citations

On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills

1981 • 1,280 citations

Survivorship Bias in Performance Studies

1992 • 1,161 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

1983 • 950 citations

Performance measurement with the arbitrage pricing theory

1986 • 739 citations

Portfolio Performance Evaluation: Old Issues and New Insights

1989 • 622 citations

Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons

1987 • 612 citations

On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts

2011 • 555 citations

On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts

1981 • 495 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

Assessing the Market Training Performance of Managed Portfolios

1986 • 384 citations

Differential Information and Performance Measurement Using a Security Market Line

1985 • 365 citations

A unified beta pricing theory

1984 • 333 citations

On Timing and Selectivity

1986 • 285 citations

Mean-Variance Theory in Complete Markets

1982 • 276 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 266 citations

Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation

1990 • 265 citations

Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market

1988 • 258 citations

Mathematical Methods in Investment and Finance

1975 • 210 citations

Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons

1987 • 144 citations

Ambiguity when Performance is Measured by the Securities Market Line

1978 • 102 citations

Differential Information and Performance Measurement Using a Security Market Line

1985 • 64 citations

Benchmark Portfolio Inefficiency and Deviations from the Security Market Line

1986 • 60 citations

On Timing and Selectivity

1986 • 50 citations

Risk Aversion and Arbitrage

1985 • 24 citations

Benchmark Portfolio Inefficiency and Deviations from the Security Market Line

1986 • 20 citations

Risk Aversion and Arbitrage

1985 • 8 citations