The Conditional CAPM and the Cross‐Section of Expected Returns

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

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 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

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 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

On estimating the expected return on the market

1980 • 2,932 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Asset returns and inflation

1977 • 2,770 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Understanding Risk and Return

1996 • 1,818 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

The relationship between earnings' yield, market value and return for NYSE common stocks

1983 • 1,692 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence

1988 • 1,150 citations

New Indexes of Coincident and Leading Economic Indicators

1989 • 1,150 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

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

1987 • 1,016 citations

Another Look at the Cross‐section of Expected Stock Returns

1995 • 1,009 citations

Advanced econometrics

1988 • 944 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Risk and return: The case of merging firms

1974 • 927 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

A Critique of Size-Related Anomalies

1995 • 787 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 700 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Beta and Return

1993 • 634 citations

Multivariate tests of financial models

1982 • 632 citations

New Indexes of Coincident and Leading Economic Indicators

1989 • 612 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

Risk, Return, and Equilibrium

1971 • 576 citations

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

1982 • 532 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Multivariate tests of the zero-beta CAPM

1985 • 460 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1996 • 436 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

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

1994 • 384 citations

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

1994 • 376 citations

Differential Information and Performance Measurement Using a Security Market Line

1985 • 365 citations

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

1995 • 358 citations

Risk and Return in an Equilibrium APT

1987 • 343 citations

Mean-Variance Theory in Complete Markets

1982 • 276 citations

No Arbitrage and Arbitrage Pricing: A New Approach

1993 • 265 citations

Portfolio Inefficiency and the Cross‐section of Expected Returns

1995 • 249 citations

Human capital and capital market equilibrium

1977 • 244 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

Evaluating the performance of value versus glamour stocks The impact of selection bias

1995 • 242 citations

Stock prices, inflation, and the term structure of interest rates

1974 • 234 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

On the predictive power of interest rates and interest rate spreads

1990 • 215 citations

Are the Reports of Beta's Death Premature?

1993 • 213 citations

Seasonalities in security returns

1988 • 197 citations

A New Approach to International Arbitrage Pricing

1993 • 183 citations

Banking in computable general equilibrium economies

1992 • 179 citations

On correlations and inferences about mean-variance efficiency

1987 • 165 citations

Testing the CAPM with Time‐Varying Risks and Returns

1991 • 149 citations

Does Market Risk Really Explain the Size Effect?

1992 • 124 citations

A Mean-Variance Framework for Tests of Asset Pricing Models

1989 • 97 citations

Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums

1994 • 67 citations

The CAPM Is Alive and Well

1993 • 25 citations

The CAPM is Alive and Well

1994 • 19 citations

Missing assets, measuring the market, and testing the capital asset pricing model

1981 • 12 citations

Time Series Analysis of Inefficient Financial Markets

1994 • 2 citations

Deleted Work

1955 • 0 citations