Multifactor Portfolio Efficiency and Multifactor Asset Pricing

Common risk factors in the returns on stocks and bonds

1993 • 26,177 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

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

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Portfolio Selection: Efficient Diversification of Investments

1959 • 5,744 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Portfolio Selection: Efficient Diversification of Investments.

1962 • 3,736 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

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

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

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

1983 • 1,692 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 citations

Foundations of Finance.

1977 • 1,197 citations

Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence

1988 • 1,150 citations

An Analytic Derivation of the Efficient Portfolio Frontier

1972 • 1,039 citations

Mean‐Variance Spanning

1987 • 564 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

A unified beta pricing theory

1984 • 333 citations

Stock prices, inflation, and the term structure of interest rates

1974 • 234 citations

Mimicking Portfolios and Exact Arbitrage Pricing

1987 • 204 citations

Factor pricing in a finite economy

1983 • 187 citations

The Relation Between Mean-Variance Efficiency and Arbitrage Pricing

1987 • 161 citations

An explicit bound on individual assets' deviations from APT pricing in a finite economy

1983 • 158 citations

Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note

1983 • 89 citations

Some Tests of Linear Asset Pricing with Multivariate Normality

1985 • 53 citations

Portfolio analysis with a nonnormal multi-index return-generating process

1992 • 13 citations