Changes in Expected Security Returns, Risk, and the Level of Interest Rates

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

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

1987 • 1,016 citations

Intertemporal asset pricing

1990 • 647 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

A comparison of inflation forecasts

1984 • 387 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Optimal stock trading with personal taxes

1984 • 301 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

The information in forward rates

1988 • 282 citations

Risk and return in finance

1977 • 275 citations

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

1988 • 243 citations

Term premiums in bond returns

1984 • 226 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

Mimicking Portfolios and Exact Arbitrage Pricing

1987 • 204 citations

Inflation Uncertainty and Expected Returns on Treasury Bills

1976 • 199 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

Asset Pricing and Expected Inflation

1986 • 186 citations

Stocks, bonds, bills, and inflation : the past and the future

1982 • 178 citations

The Relation Between Mean-Variance Efficiency and Arbitrage Pricing

1987 • 161 citations

A Comparative Statics Analysis of Risk Premiums

1973 • 141 citations

A Simple Econometric Approach for Utility‐Based Asset Pricing Models

1985 • 128 citations

Is it risk?

1988 • 85 citations

MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†

1975 • 72 citations

Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests

1983 • 70 citations

Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model

1984 • 70 citations

Specification and estimation of intertemporal asset pricing models

1990 • 59 citations

The Structure of the Cost of Capital Under Uncertainty

1971 • 53 citations

On the Intertemporal Behavior of the Short-Term Rate of Interest

1988 • 52 citations

THE BEHAVIOR OF U.S. SHORT‐TERM INTEREST RATES SINCE OCTOBER 1979

1984 • 48 citations

Chapter 12 Specification and estimation of intertemporal asset pricing models

1990 • 46 citations

Common Factors in the Serial Correlation of Stock Returns

1986 • 36 citations

The national bureau method, International capital mobility, and other essays

1986 • 19 citations

An Intertemporal Equilibrium Beta Pricing Model

1989 • 17 citations

Risk and Inflation

1987 • 13 citations

Deleted Work

1955 • 0 citations