Time-varying conditional covariances in tests of asset pricing models

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

Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441

Risk, Return, and Equilibrium: Empirical Tests

Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258

Large Sample Properties of Generalized Method of Moments Estimators

Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467

The arbitrage theory of capital asset pricing

Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

Lintner, J. (1965) · The Review of Economics and Statistics · doi:10.2307/1924119 · Cited by 6,877

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 Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

Lintner, J. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50018-6 · Cited by 6,743

An Intertemporal Capital Asset Pricing Model

Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508

Asset Prices in an Exchange Economy

Lucas, R. E. (1978) · Econometrica · doi:10.2307/1913837 · Cited by 5,014

Expected stock returns and volatility

French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107

Business conditions and expected returns on stocks and bonds

Fama, E. F., & French, K. R. (1989) · Journal of Financial Economics · doi:10.1016/0304-405x(89)90095-0 · Cited by 3,933

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210

Time‐Varying World Market Integration

BEKAERT, G., & HARVEY, C. R. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04790.x · Cited by 2,049

Measuring Fund Strategy and Performance in Changing Economic Conditions

FERSON, W. E., & SCHADT, R. W. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02690.x · Cited by 1,759

Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

Lettau, M., & Ludvigson, S. (2001) · Journal of Political Economy · doi:10.1086/323282 · Cited by 1,443

Liquidity and Expected Returns: Lessons from Emerging Markets

Bekaert, G., Harvey, C. R., & Lundblad, C. (2007) · Review of Financial Studies · doi:10.1093/rfs/hhm030 · Cited by 1,078