An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

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

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 7,696 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

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Biases in computed returns

1983 • 846 citations

ON THE ASSESSMENT OF RISK

1971 • 736 citations

Dividends and Taxes: Some Empirical Evidence

1982 • 684 citations

Multivariate tests of financial models

1982 • 632 citations

The Distribution of Share Price Changes

1972 • 543 citations

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

1982 • 532 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Multivariate tests of the zero-beta CAPM

1985 • 460 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

New evidence on the nature of size-related anomalies in stock prices

1983 • 362 citations

On computing mean returns and the small firm premium

1983 • 319 citations

The Distribution of Stock Returns

1972 • 292 citations

Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk

1973 • 253 citations

Errors in the Variables Bias in the Presence of Correctly Measured Variables

1973 • 126 citations

Tests of the multiperiod two-parameter model

1974 • 111 citations