A Test for the Number of Factors in an Approximate Factor Model

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

1987 • 15,268 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

An Introduction to Multivariate Statistical Analysis

1986 • 9,529 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

An Introduction to Multivariate Statistical Analysis.

1985 • 3,247 citations

Introduction to matrix computations

1973 • 2,448 citations

Principles of Econometrics.

1972 • 2,215 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

An Empirical Investigation of the Arbitrage Pricing Theory

1980 • 1,152 citations

Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

1983 • 950 citations

Performance measurement with the arbitrage pricing theory

1986 • 739 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

Nonlinear Regression with Dependent Observations

1984 • 465 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

Risk and Return in an Equilibrium APT

1987 • 343 citations

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory

1984 • 290 citations

An Empirical Investigation of International Asset Pricing

1989 • 214 citations

Some Results in the Theory of Arbitrage Pricing

1984 • 184 citations

On the Number of Factors in the Arbitrage Pricing Model

1986 • 151 citations

The Number of Factors in Security Returns

1989 • 125 citations

Numerical Analysis of Symmetric Matrices

1974 • 118 citations

Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory

1990 • 83 citations

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply

1984 • 81 citations

Stock Return Anomalies and the Tests of the APT

1987 • 66 citations

Stable Factors in Security Returns: Identification Using Cross-Validation

1988 • 59 citations

The Seasonal Stability of the Factor Structure of Stock Returns

1987 • 36 citations

An empirical investigation into arbitrage and approximate K-factor structure on large asset markets

1984 • 8 citations