Asset pricing is the subdiscipline of finance that determines the fair value and equilibrium prices of financial securities through mathematical models relating systematic risk to expected returns.
14.4K
Publications
1.6M
Citations
14.1K
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3.6K
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Publications per year
2017–2026
2.4K
Publications
14.4K
The Pricing of Options and Corporate Liabilities
Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations
Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 15.1K citations
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text
Business, Finance, Asset Pricing +16
1–5 of 14.4K
Authors
14.1K
- EF
38
h-index
- CR
35
h-index
- RA
34
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- LH
34
h-index
- MJMichael J. Brennan
University of California, Los Angeles, United States
46 publications · 10K citations
34
h-index
1–5 of 14.1K
Institutions
3.6K
National Bureau of Economic Research
Cambridge, United States
174 h-index
1.3K publications
183.5K citations
University of Chicago
Chicago, United States
125 h-index
419 publications
189.8K citations
New York University
New York, United States
109 h-index
440 publications
75.5K citations
University of Pennsylvania
Philadelphia, United States
105 h-index
348 publications
70.2K citations
Centre for Economic Policy Research
London, United Kingdom
91 h-index
447 publications
53.1K citations
Cornell University
Ithaca, United States
90 h-index
319 publications
75K citations
Columbia University
New York, United States
86 h-index
340 publications
57.5K citations
Stanford University
Stanford, United States
81 h-index
264 publications
60.3K citations
1–8 of 3.6K
Venues
- The Journal of Finance
989 publications · 330.4K citations
272
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- Journal of Financial Economics
360 publications · 175.9K citations
171
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- SSRN Electronic Journal
Repository · 2.7K publications · 126.2K citations
155
h-index
- Review of Financial Studies
370 publications · 104K citations
152
h-index
- Journal of Financial and Quantitative Analysis
JFQA · 350 publications · 41K citations
105
h-index
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See also Asset Pricing | |
|---|---|
Core Models | Asset Pricing Theory Equilibrium Asset Pricing Fama-french Five-factor Model Fama-french Three-factor Model Carhart Four-factor Model Stochastic Discount Factor Capital Asset Pricing Model |
Risk Factors | |
Empirical Tests | |
Market Anomalies | |
Practical Uses | Option Pricing Portfolio Construction Capital Allocation Statistical Arbitrage Asset Valuation Factor Investing Values-based Investing Risk Parity Portfolio Selection |