Relationship between Labor‐Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market

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

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Time Series Analysis.

1995 • 11,935 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

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 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 relationship between return and market value of common stocks

1981 • 6,052 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Human Capital

1993 • 3,131 citations

Human Capital: A Theoretical and Empirical Analysis, with Special Reference to Education

2009 • 3,086 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

The journal of financial economics

1993 • 2,535 citations

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Understanding Risk and Return

1996 • 1,818 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 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

A Cross-Sectional Test of an Investment-Based Asset Pricing Model

1996 • 1,092 citations

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 1,054 citations

Structural and Return Characteristics of Small and Large Firms

1991 • 800 citations

A Critique of Size-Related Anomalies

1995 • 787 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 528 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional Regression

1998 • 388 citations

Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?

1997 • 384 citations

The Conditional CAPM and the Cross-Section of Expected Returns

1996 • 370 citations

Fundamentals and Stock Returns in Japan

1991 • 359 citations

Two‐Pass Tests of Asset Pricing Models with Useless Factors

1999 • 349 citations

Risk and Return in an Equilibrium APT

1987 • 343 citations

Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 312 citations

An empirical examination of the Arbitrage Pricing Theory

1988 • 287 citations

Assessing Specification Errors in Stochastic Discount Factor Models

1997 • 266 citations

Portfolio Inefficiency and the Cross‐section of Expected Returns

1995 • 249 citations

A New Approach to International Arbitrage Pricing

1993 • 183 citations

Seasonality and Consumption‐Based Asset Pricing

1992 • 156 citations

Structural and Return Characteristics of Small and Large Firms

1991 • 141 citations

Using Generalized Method of Moments to Test Mean-Variance Efficiency

1991 • 77 citations

The CAPM is alive and well

1993 • 55 citations

A multi-index risk model of the Japanese stock market

1988 • 51 citations

Portfolio Inefficiency and the Cross-Section of Expected Returns

1995 • 49 citations

A New Approach to International Arbitrage Pricing

1993 • 41 citations

Seasonality and Consumption-Based Asset Pricing

1992 • 36 citations

The CAPM Is Alive and Well

1993 • 25 citations

The MIT encyclopedia of the Japanese economy

2000 • 23 citations

The CAPM is Alive and Well

1994 • 19 citations