The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Specification Tests in Econometrics

1978 • 17,234 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Stochastic Integration and Differential Equations

2005 • 4,762 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

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Continuous-Time Finance.

1991 • 1,946 citations

Familiarity Breeds Investment

2001 • 1,861 citations

Understanding Risk and Return

1996 • 1,818 citations

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

1991 • 1,765 citations

Optimal consumption and portfolio policies when asset prices follow a diffusion process

1989 • 1,697 citations

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

1987 • 1,141 citations

Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings

1996 • 1,041 citations

International Asset Pricing under Mild Segmentation: Theory and Test

1985 • 956 citations

A Critique of Size-Related Anomalies

1995 • 787 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 700 citations

Convex Duality in Constrained Portfolio Optimization

1992 • 667 citations

A dynamic seamless modeling method for the global multi-scale terrain based on DQG

2015 • 601 citations

Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio

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Differential information and the small firm effect

1984 • 543 citations

The Structure and Performance of the Money Management Industry

1992 • 535 citations

Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

1991 • 473 citations

An Equilibrium Model with Restricted Stock Market Participation

1998 • 444 citations

The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings

1994 • 432 citations

F. Ausblick auf die literarischen Horizonte von Ri 1.17–21 am Übergang von Jos zu Ri

2016 • 409 citations

Two-Person Dynamic Equilibrium in the Capital Market

1989 • 392 citations

Backward-Forward Stochastic Differential Equations

1993 • 335 citations

The Spirit of Capitalism and Stock-Market Prices

1996 • 305 citations

Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income

1997 • 301 citations

The term structure of interest rates in a pure exchange economy with heterogeneous investors

1996 • 287 citations

Portfolio Inefficiency and the Cross‐section of Expected Returns

1995 • 249 citations

The Consumption-Based Capital Asset Pricing Model

1989 • 204 citations

Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model

1990 • 203 citations

Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

1997 • 186 citations

Dynamic Asset Allocation and the Informational Efficiency of Markets

1995 • 107 citations

A Mean-Variance Framework for Tests of Asset Pricing Models

1989 • 97 citations

On the optimality of international capital market integration

1975 • 77 citations

Growth and risk-sharing with incomplete international assets markets

1997 • 57 citations

An Intertemporal Model of International Capital Market Segmentation

1996 • 56 citations

The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US

1996 • 34 citations

International investment barriers in general equilibrium

1993 • 30 citations

What Do Money Managers Do

1997 • 19 citations

A Note on the Asymptotic Covariance in Fama‐MacBeth Regression

1998 • 14 citations