Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons

Maximum Likelihood from Incomplete Data Via the EM Algorithm

1977 • 46,601 citations

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 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 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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

Mutual Fund Performance

1966 • 3,489 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

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

An Empirical Investigation of the Arbitrage Pricing Theory

1980 • 1,152 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 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

Market Timing and Mutual Fund Performance: An Empirical Investigation

1984 • 669 citations

EM algorithms for ML factor analysis

1982 • 596 citations

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

1982 • 532 citations

Market Timing and Mutual Fund Investment Performance

1984 • 458 citations

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

Assessing the Market Training Performance of Managed Portfolios

1986 • 384 citations

Differential Information and Performance Measurement Using a Security Market Line

1985 • 365 citations

On Timing and Selectivity

1986 • 285 citations

Measuring Investment Performance in a Rational Expectations Equilibrium Model

1985 • 244 citations

The value line enigma (1965–1978)

1982 • 243 citations

The Market-Timing Performance of Mutual Fund Managers

1983 • 236 citations

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

1974 • 234 citations

Mathematical Methods in Investment and Finance

1975 • 210 citations

Measuring portfolio performance and the empirical content of asset pricing models

1979 • 125 citations

Factor analysis by instrumental variables methods

1982 • 108 citations

Instrumental variables in factor analysis

1964 • 64 citations

A heteroscedasticity-consistent covariance matrix estimator for time series regressions

1983 • 54 citations

Mathematical models in investment and finance

1973 • 12 citations