The Stability of UK Risk Measures and The Problem of Thin Trading

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Principles of Econometrics

1973 • 3,349 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

A Simplified Model for Portfolio Analysis

1963 • 2,673 citations

Principles of Econometrics.

1972 • 2,215 citations

SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*

1965 • 1,803 citations

Price performance of common stock new issues

1975 • 1,377 citations

THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS

1972 • 1,034 citations

Security Prices, Risk, and Maximal Gains From Diversification

1965 • 1,032 citations

ON THE ASSESSMENT OF RISK

1971 • 736 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

Some New Stock-Market Indexes

1966 • 558 citations

The effects of capital structure change on security prices

1980 • 541 citations

BETAS AND THEIR REGRESSION TENDENCIES

1975 • 538 citations

The information content of option prices and a test of market efficiency

1978 • 500 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS

1973 • 467 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

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

1973 • 253 citations

COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

1978 • 224 citations

Risk-Return Classes of New York Stock Exchange Common Stocks, 1931–1967

1972 • 178 citations

Estimating and Adjusting for the Intervalling-Effect Bias in Beta

1983 • 154 citations

THE ADJUSTMENT OF BETA FORECASTS

1975 • 143 citations

Equity Rights Issues and the Efficiency of the UK Stock Market

1979 • 142 citations

The Market Model Applied to European Common Stocks: Some Empirical Results

1974 • 101 citations

ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS

1974 • 101 citations

On the Estimation and Stability of Beta

1980 • 90 citations

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

1974 • 81 citations

Stock exchange seats as capital assets

1977 • 73 citations

THE CAPITAL ASSET PRICING MODEL: A “Multi-Beta” Interpretation

1977 • 60 citations

Factor‐Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency

1982 • 47 citations

The Predictability of British Stock Market Prices

1973 • 46 citations

An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes

1979 • 43 citations

A STATISTICAL STUDY OF U.K. SHARE PRICES

1970 • 43 citations

Comparative Analysis of Risk Measures: France and the United States

1974 • 43 citations

Specification Tests for Portfolio Regression Parameter Stationarity and the Implications for Empirical Research

1979 • 38 citations

On the CAPM Approach to the Estimation of A Public Utility's Cost of Equity Capital

1980 • 33 citations

Statistical Analysis of Risk Surrogates for Nyse Stocks

1979 • 26 citations

The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

1979 • 21 citations

The efficiency of the British new issue market for ordinary shares

1979 • 18 citations

Company Finance and the Capital Market.

1976 • 13 citations

AN ANALYSIS OF THE MARKET MODEL AND BETA FACTORS USING U.K. EQUITY SHARE DATA

1980 • 12 citations

An assessment of risk in thinner markets: the Belgian case

1979 • 9 citations

An assessment of risk in thinner markets: the Belgian case

1979 • 6 citations

The Variabilities and Correlations of Stock Market Indices

1978 • 5 citations

Financing the smaller company

1978 • 4 citations

Deleted Work

1955 • 0 citations