Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach

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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

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Risk Aversion in the Small and in the Large

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ARCH modeling in finance

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Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

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A Capital Asset Pricing Model with Time-Varying Covariances

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Stock returns and the term structure

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Misspecification of capital asset pricing

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Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

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

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Time-varying conditional covariances in tests of asset pricing models

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Heteroskedasticity in Stock Returns

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

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

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Testing the CAPM with Time‐Varying Risks and Returns

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