Orthogonal Frontiers and Alternative Mean‐Variance Efficiency Tests

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

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

1977 • 3,099 citations

Martingale Limit Theory and its Application.

1984 • 2,982 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

Martingale Limit Theory and its Application

1980 • 2,084 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

The effect of personal taxes and dividends on capital asset prices

1979 • 1,248 citations

Studies in the Theory of Capital Markets.

1973 • 644 citations

Multivariate tests of financial models

1982 • 632 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

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

1982 • 532 citations

Multivariate tests of the zero-beta CAPM

1985 • 460 citations

Potential performance and tests of portfolio efficiency

1982 • 274 citations

Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach

1973 • 166 citations

On multivariate tests of the CAPM

1987 • 157 citations

The likelihood ratio test statistic of mean-variance efficiency without a riskless asset

1984 • 93 citations

Testing Portfolio Efficiency when the Zero‐Beta Rate is Unknown: A Note

1986 • 75 citations

A Monte Carlo investigation of the accuracy of multivariate CAPM tests

1985 • 68 citations

Orthogonal Portfolios

1980 • 63 citations

A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency

1985 • 49 citations