Macroeconomic FactorsDoInfluence Aggregate Stock Returns

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

Efficient Capital Markets: II

1991 • 5,145 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Information Content of Annual Earnings Announcements

1968 • 2,768 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Stock return variances

1986 • 1,878 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Autoregressive conditional heteroskedasticity and changes in regime

1994 • 1,846 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Measuring Fund Strategy and Performance in Changing Economic Conditions

1996 • 1,677 citations

Differences of Opinion Make a Horse Race

1993 • 1,618 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 1,453 citations

Intraday periodicity and volatility persistence in financial markets

1997 • 1,334 citations

Efficient Capital Markets: II

1991 • 1,302 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Trading Volume and Price Reactions to Public Announcements

1991 • 1,132 citations

What moves stock prices?

1989 • 1,131 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 1,063 citations

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

1996 • 1,001 citations

Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 996 citations

How Markets Process Information: News Releases and Volatility

1993 • 976 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

The Fiscal and Monetary Linkage between Stock Returns and Inflation

1983 • 895 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

The Behavior of Stock Prices on Fridays and Mondays

1973 • 797 citations

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

1999 • 717 citations

Stock Returns and Real Activity: A Century of Evidence

1990 • 712 citations

Stock Prices, News, and Business Conditions

1993 • 694 citations

COMMON STOCKS AS A HEDGE AGAINST INFLATION

1976 • 656 citations

Intertemporal asset pricing

1990 • 647 citations

Measuring Fund Strategy and Performance in Changing Economic Conditions

1996 • 538 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Time-Variation in Expected Returns

1988 • 489 citations

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach

1998 • 459 citations

Stock Prices and Economic News

1985 • 413 citations

R-S1-2

1988 • 412 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 397 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 373 citations

The Conditional CAPM and the Cross-Section of Expected Returns

1996 • 370 citations

Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of …

1998 • 356 citations

The World Price of Covariance Risk

1991 • 344 citations

The Risk and Return from Factors

1998 • 324 citations

Is Information Risk a Determinant of Asset Returns?

2000 • 315 citations

Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 287 citations

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

Economic tracking portfolios

2001 • 274 citations

The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

1996 • 269 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 255 citations

The Fiscal and Monetary Linkage Between Stock Returns and Inflation

1983 • 255 citations

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

1996 • 237 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 233 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 222 citations

The Money Supply Announcements Puzzle: Review and Interpretation

1983 • 219 citations

Economic news, exchange rates and interest rates

1988 • 216 citations

The Reaction of Stock Prices to Unanticipated Changes in Money: A Note

1983 • 184 citations

How Markets Process Information: News Releases and Volatility

1993 • 183 citations

R 2

1988 • 171 citations

Market Response to the Weekly Money Supply Announcements in the 1970s

1981 • 166 citations

Commodity Prices, Money Surprises and Fed Credibilit

1985 • 160 citations

From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality

1988 • 146 citations

Stock Returns and Real Activity: A Century of Evidence

1990 • 128 citations

Market perceptions of federal reserve policy and the weekly monetary announcements

1984 • 116 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 111 citations

Macroeconomic Determinants of European Stock Market Volatility

1998 • 96 citations

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

1998 • 77 citations

Macroinformation and the Variability of Stock Market Prices

1979 • 74 citations

The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks

2001 • 60 citations

Interest Rates and Economic Announcements

1989 • 54 citations

From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality

1988 • 52 citations

The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets

2002 • 43 citations

The Reaction of Stock Prices to Unanticipated Changes in Money: A Note

1983 • 37 citations

Reserves Announcements and Interest Rates: Does Monetary Policy Matter?

1987 • 32 citations

Money supply announcements and interest rates: Does monetary policy matter?

1985 • 26 citations

Macroinformation and the Variability of Stock Market Prices

1979 • 16 citations

Comments from the Editor

1989 • 12 citations