The Variation of Economic Risk Premiums

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

1964 • 15,720 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Empirical Tests of the Consumption‐Oriented CAPM

1989 • 759 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Mean‐Variance Spanning

1987 • 564 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Nonstationary expected returns

1989 • 512 citations

Time-Variation in Expected Returns

1988 • 489 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

A comparison of inflation forecasts

1984 • 387 citations

Risk and return

1984 • 330 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

The Pricing of Interest‐Rate Risk: Evidence from the Stock Market

1986 • 280 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 255 citations

Expectations and the Structure of Share Prices

1982 • 252 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

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

1974 • 234 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Further results on the informational efficiency of competitive stock markets

1978 • 198 citations

Variance Function Estimation

1987 • 189 citations

The Relation Between Mean-Variance Efficiency and Arbitrage Pricing

1987 • 161 citations

Factors in New York Stock Exchange security returns, 1931–1979

1982 • 97 citations

Admissible uncertainty in the intertemporal asset pricing model

1980 • 89 citations

A General Equilibrium Model of Changing Risk Premia: Theory and Tests

1989 • 81 citations

Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Regression Estimates

1988 • 69 citations

A Monte Carlo investigation of the accuracy of multivariate CAPM tests

1985 • 68 citations

Mimicking Portfolios and Exact Arbitrage Pricing

1987 • 67 citations

Foundations of Finance: Portfolio Decisions and Security Prices.

1980 • 64 citations

Three Factors, Interest Rate Differentials and Stock Groups

1981 • 60 citations

THE CAPITAL ASSET PRICING MODEL: A “Multi-Beta” Interpretation

1977 • 60 citations

International Evidence on the Predictability of Stock Returns

1993 • 35 citations

Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?

1990 • 30 citations

Estimation of Beta-Pricing Models

2011 • 5 citations