Market Frictions and Consumption-Based Asset Pricing

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

1964 • 15,720 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 equity premium: A puzzle

1985 • 5,686 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

The consumption of stockholders and nonstockholders

1991 • 1,223 citations

The Equity Premium Puzzle and the Riskfree Rate Puzzle

1989 • 1,038 citations

Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth

1989 • 553 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

On tests of representative consumer asset pricing models

1990 • 215 citations

Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations

1987 • 71 citations