References

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• 1992The Cross-Section of Expected Stock Returns17,251 cited
• 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
• 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
• 2012The Econometrics of Financial Markets5,875 cited
• 1994Comparing Predictive Accuracy5,495 cited
• 1997The Econometrics of Financial Markets5,007 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
• 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
• 2000Conditional Skewness in Asset Pricing Tests2,837 cited
• 1980On estimating the expected return on the market2,818 cited
• 1977Estimating betas from nonsynchronous data2,751 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 1998Value versus Growth: The International Evidence2,233 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models