Predictable Risk and Returns in Emerging Markets

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 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

Economic Forces and the Stock Market

1986 • 5,321 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

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

1977 • 3,099 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Stock returns and the term structure

1987 • 2,322 citations

Time‐Varying World Market Integration

1995 • 2,163 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

The World Price of Foreign Exchange Risk

1995 • 824 citations

Intertemporal asset pricing

1990 • 647 citations

Market Integration and Investment Barriers in Emerging Equity Markets

1995 • 640 citations

The Pricing of Exchange Rate Risk in the Stock Market

1991 • 637 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 425 citations

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

1995 • 358 citations

The World Price of Covariance Risk

1991 • 344 citations

Sources of risk and expected returns in global equity markets

1994 • 334 citations

Foreign ownership restrictions and stock prices in the Thai capital market

1994 • 278 citations

The Risk Exposure of Emerging Equity Markets

1995 • 237 citations

A Test for Multivariate Normality in Stock Returns

1993 • 217 citations

A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency

1989 • 154 citations

Emerging Markets: A New Opportunity for Improving Global Portfolio Performance

1983 • 140 citations

Mean-Variance Spanning

1987 • 137 citations

Evaluating the Performance of International Mutual Funds

1990 • 130 citations

On the Cross-Sectional Relation between Expected Returns and Betas

1994 • 123 citations

What Determines Expected International Asset Returns?

1994 • 121 citations

General Tests of Latent Variable Models and Mean‐Variance Spanning

1993 • 107 citations

A Mean-Variance Framework for Tests of Asset Pricing Models

1989 • 97 citations

Risk premia in Pacific-Basin capital markets

1993 • 55 citations

Portfolio Inefficiency and the Cross-Section of Expected Returns

1994 • 35 citations

A Bivariate $t$ Distribution

1967 • 32 citations

Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?

1990 • 30 citations

The CAPM Is Alive and Well

1993 • 25 citations

Testing Portfolio Efficiency when the Zero-Beta Rate is Unknown: A Note

1986 • 22 citations

Partial- Vs. General-Equilibrium Models of the International Capital Market

1993 • 18 citations