Asset Pricing at the Millennium

Prospect Theory: An Analysis of Decision under Risk

1979 • 41,742 citations

Prospect theory: An analysis of decision under risk

1988 • 34,484 citations

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

On Persistence in Mutual Fund Performance

1997 • 16,085 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

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 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

Does the Stock Market Overreact?

1985 • 7,120 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 Econometrics of Financial Markets

2012 • 6,595 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

The equity premium: A puzzle

1985 • 5,686 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

1999 • 5,300 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Earnings, Book Values, and Dividends in Equity Valuation*

1995 • 5,133 citations

The Econometrics of Financial Markets

1997 • 4,951 citations

The Limits of Arbitrage

1997 • 4,594 citations

PORTFOLIO SELECTION*

1952 • 4,563 citations

Contrarian Investment, Extrapolation, and Risk

1994 • 4,396 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

1999 • 3,988 citations

Liquidity Preference as Behavior Towards Risk

1958 • 3,747 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Are Investors Reluctant to Realize Their Losses?

1998 • 3,653 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Dynamic Asset Pricing Theory.

1993 • 3,202 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence

1985 • 3,099 citations

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

1977 • 3,099 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 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

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

1998 • 2,417 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

Myopic Loss Aversion and the Equity Premium Puzzle

1995 • 2,350 citations

Stock returns and the term structure

1987 • 2,322 citations

Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice

1990 • 2,260 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Theory of Financial Decision Making.

1988 • 2,039 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

Proof that Properly Anticipated Prices Fluctuate Randomly

2015 • 1,924 citations

Prospect Theory and Asset Prices

2001 • 1,882 citations

Specification Analysis of Affine Term Structure Models

2000 • 1,864 citations

LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

1975 • 1,863 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Temporal Resolution of Uncertainty and Dynamic Choice Theory

1978 • 1,849 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Yield Spreads and Interest Rate Movements: A Bird's Eye View

1991 • 1,822 citations

Understanding Risk and Return

1996 • 1,818 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

A Reality Check for Data Snooping

2000 • 1,790 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

Optimal consumption and portfolio policies when asset prices follow a diffusion process

1989 • 1,697 citations

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

1983 • 1,692 citations

Lifetime Portfolio Selection By Dynamic Stochastic Programming

1969 • 1,665 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis

1997 • 1,594 citations

Intertemporal Substitution in Consumption

1988 • 1,533 citations

Modeling the conditional distribution of interest rates as a regime-switching process

1996 • 1,526 citations

Optimal Investment, Growth Options, and Security Returns

1999 • 1,525 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

Investor Sentiment and the Closed-End Fund Puzzle

1991 • 1,422 citations

The Present-Value Relation: Tests Based on Implied Variance Bounds

1981 • 1,402 citations

Investing for the Long Run when Returns Are Predictable

2000 • 1,395 citations

The equity premium puzzle and the risk-free rate puzzle

1989 • 1,394 citations

Inefficient Markets: An Introduction to Behavioral Finance

2002 • 1,360 citations

A Theory of Disappointment Aversion

1991 • 1,358 citations

The equity risk premium a solution

1988 • 1,322 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Investor Sentiment and the Closed‐End Fund Puzzle

1991 • 1,291 citations

Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence

1989 • 1,274 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

Asset Pricing with Heterogeneous Consumers

1996 • 1,248 citations

The consumption of stockholders and nonstockholders

1991 • 1,223 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

The Equity Share in New Issues and Aggregate Stock Returns

2000 • 1,160 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

Labor supply flexibility and portfolio choice in a life cycle model

1992 • 1,143 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Stochastic Differential Utility

1992 • 1,102 citations

A Cross-Sectional Test of an Investment-Based Asset Pricing Model

1996 • 1,092 citations

Consumption and Portfolio Decisions when Expected Returns are Time Varying

1999 • 1,090 citations

Inefficient Markets

2000 • 1,084 citations

The economics of risk and time

2001 • 1,044 citations

The Equity Premium Puzzle and the Riskfree Rate Puzzle

1989 • 1,038 citations

Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model

1999 • 1,023 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

The Investment, Financing, and Valuation of the Corporation

1963 • 983 citations

THE DEMAND FOR RISKY ASSETS

1977 • 977 citations

The Economics of Risk and Time

2001 • 973 citations

Can book-to-market, size and momentum be risk factors that predict economic growth?

2000 • 969 citations

Inflation, Rational Valuation and the Market

1979 • 942 citations

Short- Term Interest Rates as Predictors of Inflation

2021 • 937 citations

Expectations and the Cross‐Section of Stock Returns

1996 • 935 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Stock Prices and Social Dynamics

1984 • 851 citations

Good News for Value Stocks: Further Evidence on Market Efficiency

1997 • 851 citations

Structural and Return Characteristics of Small and Large Firms

1991 • 800 citations

An Analysis of the Real Interest Rate Under Regime Shifts

1996 • 798 citations

Strategic asset allocation

1997 • 784 citations

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

1996 • 750 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 700 citations

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

1996 • 683 citations

Earnings and Expected Returns

1998 • 668 citations

Evaluating the effects of incomplete markets on risk sharing nad asset pricing

2010 • 666 citations

Who Should Buy Long-Term Bonds?

2001 • 651 citations

Predictable Stock Returns: The Role of Small Sample Bias

1993 • 639 citations

Stocks for the Long Run

1994 • 636 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

A Simple Approach to the Valuation of Risky Streams

1978 • 602 citations

Smart Money, Noise Trading and Stock Price Behaviour

1993 • 598 citations

Multifactor models do not explain deviations from the CAPM

1995 • 586 citations

Rational Asset Pricing Bubbles

1997 • 583 citations

Risk, Return, and Equilibrium

1971 • 576 citations

Consumption Growth, the Interest Rate and Aggregation

1993 • 563 citations

Intrinsic Bubbles: The Case of Stock Prices

1991 • 555 citations

Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth

1989 • 553 citations

Global Stock Markets in the Twentieth Century

1999 • 547 citations

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

1982 • 532 citations

Transaction costs and predictability: some utility cost calculations

1999 • 525 citations

The Changing Behavior of the Term Structure of Interest Rates

1986 • 513 citations

Robust Permanent Income and Pricing

1999 • 507 citations

Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

1990 • 505 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia wre Time-Varying

2000 • 496 citations

Dynamic Nonmyopic Portfolio Behavior

1996 • 496 citations

INNOVATIONS IN INTEREST RATE POLICY

2016 • 494 citations

Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle

2002 • 478 citations

Transaction Costs and Asset Prices: A Dynamic Equilibrium model

1998 • 472 citations

Dividend variability and variance bounds tests for the rationality of stock market prices

1983 • 456 citations

The equity premium and the concentration of aggregate shocks

1986 • 453 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 447 citations

Asset prices, consumption, and the business cycle

1998 • 444 citations

Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

1999 • 436 citations

Drawing inferences from statistics based on multiyear asset returns

1989 • 434 citations

The Role of Learning in Dynamic Portfolio Decisions *

1998 • 433 citations

Speculative Dynamics

1991 • 426 citations

Optimal Portfolio Choice Under Incomplete Information

1986 • 425 citations

An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications

1995 • 423 citations

Why Does the Stock Market Fluctuate?

1993 • 418 citations

MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE

1997 • 413 citations

The Theory of Rational Bubbles in Stock Prices

1988 • 401 citations

Two-Person Dynamic Equilibrium in the Capital Market

1989 • 392 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 391 citations

Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks.

1995 • 391 citations

Indexes of U.S. Stock Prices from 1802 to 1987

1990 • 386 citations

Asset returns and intertemporal preferences

1991 • 386 citations

Bubbles, Rational Expectations and Financial Markets

1982 • 384 citations

Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?

2000 • 365 citations

Dividend Innovations and Stock Price Volatility

1988 • 363 citations

INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS

1997 • 354 citations

Habit persistence and durability in aggregate consumption

1991 • 350 citations

Estimation Risk and Optimal Portfolio Choice.

1981 • 326 citations

Explaining the Poor Performance of Consumption‐based Asset Pricing Models

2000 • 326 citations

Asset Pricing in Economies with Frictions

1996 • 323 citations

Consumption, Aggregate Wealth and Expected Stock Returns

1999 • 320 citations

Stock Market Risk and Return: An Equilibrium Approach

2000 • 316 citations

Capital asset prices with heterogeneous beliefs

1977 • 314 citations

Chapter 19 Asset prices, consumption, and the business cycle

1999 • 308 citations

Estimation Risk and Optimal Portfolio Choice.

1980 • 307 citations

The term structure spread and future changes in long and short rates in the G7 countries

1994 • 305 citations

Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

1999 • 296 citations

Survival

1995 • 291 citations

Equilibrium Analysis of Portfolio Insurance

1996 • 287 citations

The term structure of interest rates in a pure exchange economy with heterogeneous investors

1996 • 287 citations

‘First-order’ risk aversion and the equity premium puzzle

1990 • 286 citations

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

1999 • 285 citations

A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles

1996 • 272 citations

Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy

1986 • 263 citations

Peso problem explanations for term structure anomalies

2001 • 254 citations

Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information

1982 • 253 citations

A Synthesis of security valuation theory and the role of dividends, cash flows, and earnings*

1990 • 249 citations

Market Frictions and Consumption-Based Asset Pricing

1995 • 246 citations

Human behavior and the efficiency of the financial system

1999 • 237 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Prospect Theory and Asset Prices

1999 • 215 citations

Econometric Evaluation of Asset Pricing Models

1995 • 214 citations

Continuous‐Time Methods in Finance: A Review and an Assessment

2000 • 207 citations

The term structure of real interest rates and the Cox, Ingersoll, and Ross model

1994 • 199 citations

Precautionary portfolio behavior from a life-cycle perspective

1997 • 195 citations

The Intertemporal Elasticity of Substitution: An Exploration using a US Panel of State Data

1996 • 180 citations

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

2000 • 165 citations

Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle

1998 • 165 citations

An Asset Allocation Puzzle

1994 • 164 citations

A model of target changes and the term structure of interest rates

1997 • 164 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

U.S. term structure data, 1947-1991

1993 • 149 citations

Consumption, asset markets and macroeconomic fluctuations

1982 • 146 citations

What Drives Firm-Level Stock Returns?

1999 • 141 citations

A Test of the Cox, Ingersoll, and Ross Model of the Term Structure

1993 • 138 citations

Stock Prices and Fundamentals

1999 • 132 citations

Predictable changes in yields and forward rates

2001 • 124 citations

Dow 36,000: The New Strategy for Profiting From the Coming Rise in the Stock Market

1999 • 108 citations

Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model

1989 • 98 citations

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

2001 • 94 citations

Adding Risks: Samuelson's Fallacy of Large Numbers Revisited

1999 • 90 citations

On Economics and Finance

1985 • 90 citations

Stock Prices and Fundamentals

1999 • 84 citations

Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

1991 • 83 citations

Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks.

1995 • 80 citations

Optimal Consumption and Investment with Capital Gains Taxes

2001 • 67 citations

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

1994 • 66 citations

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

2000 • 61 citations

Share Repurchases and Employee Stock Options and their Implications for S&P 500 Share Retirements and Expected Returns

1999 • 60 citations

Stock and Bond Pricing in an Affine Economy

2002 • 56 citations

An Econometric Model of the Yield Curve With Macroeconomic Jump Effects

2001 • 54 citations

Limited stock market participation

1998 • 44 citations

Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability

1999 • 43 citations

Stock Valuation in Dynamic Economics

2001 • 31 citations

Stock Prices, Expected Returns, and Inflation

1999 • 29 citations

A Multivariate Model

1998 • 20 citations

Risk Aversion and Allocation to Long-Term Bonds

2001 • 19 citations

Do we really know that financial markets are efficient?

1986 • 18 citations

A Generalized Earnings Model of Stock Valuation

1998 • 18 citations

The Fama-French factors as proxies for fundamental economic risks

2000 • 13 citations

Resolution of a Financial Puzzle

1998 • 12 citations

Estimation risk and optimal portfolios

1985 • 10 citations

Idiosyncratic risk and volatility bounds

2001 • 6 citations

Optimal Consumption and Investment with Capital Gains Taxes

1998 • 2 citations

Deleted Work

1955 • 0 citations