Some tests of international equity integration

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

An Intertemporal Capital Asset Pricing Model

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

Business, Economics, Finance +17

The equity premium: A puzzle

Rajnish Mehra, Edward C. Prescott · Journal of Monetary Economics · 1985 · 5.8K citations

Business, Economics, Finance +12

Asset Prices in an Exchange Economy

Robert E. Lucas · Econometrica · 1978 · 5.2K citations

Social Sciences, Economics, Asset Pricing +16

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

Richard Roll · Journal of Financial Economics · 1977 · 3.1K citations

Business, Economics, Finance +14