Idiosyncratic Volatility Measures and Expected Return

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.2K citations

Economics, Financial Economics, Asset Pricing +7

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 14.9K citations

Empirical Finance, Investment Strategy, Economics +12

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.3K citations

Empirical Finance, Asset Pricing, Management +20

A Simple Model of Capital Market Equilibrium with Incomplete Information

Robert C. Merton · The Journal of Finance · 1987 · 5.7K citations · Full text

Economics, Capital Market Equilibrium, Financial Economics +8

Estimation and Inference in Econometrics.

Marcus J. Chambers, Russell Davidson, James G. MacKinnon · The Economic Journal · 1994 · 5.6K citations

Essex Search, Economics, Econometric Model +10