A Quantile Regression Analysis of the Cross Section of Stock Market Returns

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

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

William F. Sharpe · The Journal of Finance · 1964 · 17.4K citations

Business, Economics, Finance +17

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

Business, Economics, Finance +16

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 15.1K citations

Business, Economics, Finance +17

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

Natural Sciences, Biostatistics, Statistics +4