Reportgreen2005

CAPM Over the Long Run: 1926-2001

31 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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grateful to Ken French for making his data available.The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1971Optimum consumption and portfolio rules in a continuous-time model 1981The relationship between return and market value of common stocks 1997Industry costs of equity 1989Why Does Stock Market Volatility Change Over Time?

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2004Institutional Investors and the Comovement of Equity Prices 2012The capital asset pricing model versus the three factor model: A United Kingdom Perspective

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