Multifactor models do not explain deviations from the CAPM

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

The equity premium: A puzzle

1985 • 5,686 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

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

1977 • 3,099 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Stock returns and the term structure

1987 • 2,322 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

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

1983 • 950 citations

Biases in computed returns

1983 • 846 citations

Multivariate tests of financial models

1982 • 632 citations

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

1982 • 532 citations

Estimation for Markowitz Efficient Portfolios

1980 • 515 citations

Long‐Term Market Overreaction or Biases in Computed Returns?

1993 • 465 citations

Multivariate tests of the zero-beta CAPM

1985 • 460 citations

International Value and Growth Stock Returns

1993 • 432 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

Asset returns and intertemporal preferences

1991 • 386 citations

On the Cross‐sectional Relation between Expected Returns and Betas

1994 • 368 citations

Risk and Return in an Equilibrium APT

1987 • 343 citations

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

1991 • 292 citations

Potential performance and tests of portfolio efficiency

1982 • 274 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Are the Reports of Beta's Death Premature?

1993 • 213 citations

Mimicking Portfolios and Exact Arbitrage Pricing

1987 • 204 citations

Long-Term Market Overreaction or Biases in Computed Returns?

1993 • 189 citations

Some Results in the Theory of Arbitrage Pricing

1984 • 184 citations

On correlations and inferences about mean-variance efficiency

1987 • 165 citations

On multivariate tests of the CAPM

1987 • 157 citations

A Mean-Variance Framework for Tests of Asset Pricing Models

1989 • 97 citations

The Current State of the Arbitrage Pricing Theory

1992 • 90 citations

Orthogonal Portfolios

1980 • 63 citations

Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations

2016 • 43 citations

Orthogonal Frontiers and Alternative Mean‐Variance Efficiency Tests

1987 • 10 citations

Empirical Testing of Asset Pricing Models

1992 • 5 citations

Deleted Work

1955 • 0 citations