New evidence on the nature of size-related anomalies in stock prices

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

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

Arnold Zellner · Journal of the American Statistical Association · 1962 · 8K citations

An Intertemporal Capital Asset Pricing Model

Robert C. Merton · Econometrica · 1973 · 6.7K citations

Economics, Capital Asset Pricing, Financial Economics +15

The relationship between return and market value of common stocks

Rolf W. Banz · Journal of Financial Economics · 1981 · 6.1K citations

Market Microstructure, Financial Economics, Asset Pricing +7

Techniques for Testing the Constancy of Regression Relationships Over Time

R. L. Brown, J. Durbin, Jessica Evans · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1975 · 4.9K citations

Summary Methods, Engineering, Data Science +14