Performance measurement with the arbitrage pricing theory

Linear Statistical Inference and its Applications

1973 • 10,599 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

Linear Statistical Inference and Its Applications.

1975 • 3,726 citations

Principles of Econometrics

1973 • 3,349 citations

Introduction to matrix computations

1973 • 2,448 citations

The Performance of Mutual Funds in the Period 1945-1964

1968 • 1,763 citations

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

1983 • 950 citations

How to Use Security Analysis to Improve Portfolio Selection

1973 • 841 citations

Matrix Algebra Useful for Statistics

1985 • 785 citations

Market Timing and Mutual Fund Performance: An Empirical Investigation

1984 • 669 citations

Matrix Algebra Useful for Statistics.

1983 • 531 citations

Funds, Factors, and Diversification in Arbitrage Pricing Models

1983 • 499 citations

The Theory of Linear Models and Multivariate Analysis

1982 • 464 citations

Market Timing and Mutual Fund Investment Performance

1984 • 458 citations

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

Principles of Econometrics

1971 • 406 citations

Some Empirical Tests of the Theory of Arbitrage Pricing

1983 • 369 citations

A unified beta pricing theory

1984 • 333 citations

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

1984 • 290 citations

The Arbitrage Pricing Theory: Is it Testable?

1982 • 256 citations

Measuring Investment Performance in a Rational Expectations Equilibrium Model

1985 • 244 citations

The Market-Timing Performance of Mutual Fund Managers

1983 • 236 citations

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

1993 • 184 citations

Ambiguity when Performance is Measured by the Securities Market Line

1978 • 102 citations

Some Empirical Tests of the Theory of Arbitrage Pricing

1983 • 95 citations

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

1984 • 81 citations

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

1984 • 59 citations

A heteroscedasticity-consistent covariance matrix estimator for time series regressions

1983 • 54 citations

The Arbitrage Pricing Theory: Is it Testable?

1982 • 49 citations

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

1984 • 20 citations

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

1984 • 8 citations

The Theory of the Trading Firm Revisited: Discussion

1978 • 6 citations