Regime switches in the risk–return trade-off

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

An Intertemporal Capital Asset Pricing Model

Robert C. Merton · Econometrica · 1973 · 6.8K citations

Business, Economics, Finance +17

Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics · 1987 · 4.3K citations · Full text

Business, Economics, Finance +12

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Ivo Welch, Amit Goyal · Review of Financial Studies · 2007 · 4.1K citations

Business, Economics, Finance +14

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 3K citations · Full text

Business, Economics, Finance +16