The time-series relations among expected return, risk, and book-to-market

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

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

1964 • 15,720 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Applied Multivariate Statistical Analysis.

1988 • 11,858 citations

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 7,696 citations

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

1965 • 7,112 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Industry costs of equity

1997 • 5,967 citations

Contrarian Investment, Extrapolation, and Risk

1994 • 4,396 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

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

1977 • 3,099 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

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

Applied Multivariate Statistical Analysis

1983 • 1,674 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

Commonality in the determinants of expected stock returns

1996 • 1,069 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

Another Look at the Cross‐section of Expected Stock Returns

1995 • 1,009 citations

Structural and Return Characteristics of Small and Large Firms

1991 • 800 citations

A Critique of Size-Related Anomalies

1995 • 787 citations

Anomalies in relationships between securities' yields and yield-surrogates

1978 • 779 citations

Book-to-market, dividend yield, and expected market returns: A time-series analysis

1997 • 775 citations

On the Predictability of Stock Returns: An Asset‐Allocation Perspective

1996 • 750 citations

Intertemporal asset pricing

1990 • 647 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

Book-to-market ratios as predictors of market returns

1998 • 573 citations

The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence

1994 • 384 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Tests of the Relations Among Marketwide Factors, Firm‐Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model

1996 • 64 citations

Systematic risk behavior of financially distressed firms

1993 • 14 citations