Risk, Return, and Equilibrium: Empirical TestsEugene F. Fama, James D. MacBeth1973-05-01articleJournal of Political Economy14,248 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesFinancial Risk and Volatility ModelingEconomic theories and modelsAbstractYour use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available atCitations in this libraryStored only when both papers are in the corpus — 14,248 citations exist upstream.References1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Behavior of Stock-Market Prices1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1959Portfolio Selection: Efficient Diversification of Investments1958Liquidity Preference as Behavior Towards Risk1962Portfolio Selection: Efficient Diversification of Investments.1972Capital Market Equilibrium with Restricted Borrowing2003The Adjustment of Stock Prices to New InformationCited by1993Common risk factors in the returns on stocks and bonds1997On Persistence in Mutual Fund Performance1992The Cross-Section of Expected Stock Returns1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2002Illiquidity and stock returns: cross-section and time-series effects2005Performance matched discretionary accrual measures2003Corporate Governance and Equity Prices