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"Dissecting Anomalies with a Five-Factor Model" Review of Financial Studies, forthcoming, with Eugene F. Fama.
"Incremental Variables and the Investment Opportunity Set" Journal of Financial Economics, forthcoming.
"Size, Value, and Momentum in International Stock Returns," Journal of Financial Economics 105 (September 2012), with Eugene F. Fama.
"Capital Structure Choices," Critical Finance Review 1 (January 2012), with Eugene F. Fama.
"Luck versus Skill in the Cross Section of Mutual Fund α Estimates," Journal of Finance 65 (October 2010), with Eugene F. Fama.
"Average Returns, B/M, and Share Issues," Journal of Finance 63 (December 2008), 2971-2995, with Eugene F. Fama.
"The Cost of Active Investing," Journal of Finance 63 (August 2008), 1537-1573.
"Dissecting Anomalies," Journal of Finance 63 (August 2008), 1653-1678, with Eugene F. Fama.
"The Anatomy of Value and Growth Stock Returns," Financial Analysts Journal 63 (November 2007), 44-54, with Eugene F. Fama. Awarded a Graham and Dodd Scroll by the editorial board of the journal.
"Migration," Financial Analysts Journal 63 (May/June 2007), 48-58, with Eugene F. Fama. Awarded a Graham and Dodd Scroll by the editorial board of the journal.
"Disagreement, Tastes, and Asset Pricing," Journal of Financial Economics 83 (March 2007), 667-689, with Eugene F. Fama.
"Profitability, Investment, and Average Returns," Journal of Financial Economics 82 (December 2006), 491-518, with Eugene F. Fama.
"The Value Premium and the CAPM," Journal of Finance 61 (October 2006), 2137-2162, with Eugene F. Fama.
"Financing Decisions: Who Issues Stock," Journal of Financial Economics 76, (June 2005), 549-582, with Eugene Fama.
"The CAPM: Theory and Evidence," Journal of Economic Perspectives 18 (August 2004), 25-46, with Eugene Fama.
"New Lists: Fundamentals and Survival Rates," Journal of Financial Economics 72 (August 2004), 229-269, with Eugene Fama. Fama/DFA Prize (second place) for the best Capital Markets and Asset Pricing paper in the 2004 Journal of Financial Economics.
"Testing Tradeoff and Pecking Order Predictions about Dividends and Debt," Review of Financial Studies 15 (Spring 2002), 1-37, with Eugene Fama.
"The Equity Premium," Journal of Finance 57 (April 2002), 637-659, with Eugene Fama.
"Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?"
Journal of Financial Economics 60 (April 2001), 3-43, with Eugene Fama. Jensen Prize (second place) for best Corporate Finance and Organizations paper in the 2001 Journal of Financial Economics.
"Forecasting
Profitability and Earnings," Journal of Business 72 (April 2000), 161-175, with Eugene Fama.
"Characteristics,
Covariances, and Average Returns: 1929-1997," Journal
of Finance (2000), with James Davis and Eugene Fama.
"The Corporate
Cost of Capital and the Return on Corporate Investment," Journal
of Finance (1999), with Eugene Fama.
"Value versus
Growth: The International Evidence," Journal
of Finance (1998), with Eugene Fama.
"Taxes, Financing
Decisions, and Firm Value," Journal
of Finance (1998), with Eugene Fama.
"Industry
Costs of Equity," Journal
of Financial Economics (1997), with Eugene Fama.
"The CAPM
is Wanted, Dead or Alive," Journal
of Finance (1996), with Eugene Fama.
"Multifactor
Explanations of Asset Pricing Anomalies," Journal
of Finance (1996), with Eugene Fama.
"Size and
Book-to-Market Factors in Earnings and Returns," Journal
of Finance (1994), with Eugene Fama.
"Common Risk
Factors in the Returns on Stocks and Bonds," Journal
of Financial Economics (1993), with Eugene Fama.
"Differences
in the Risks and Rewards to NYSE and NASD Stocks," Financial
Analysts Journal (1993), with Eugene Fama, David Booth,
and Rex Sinquefield.
"The Cross-Section
of Expected Stock Returns," Journal
of Finance (1992), with Eugene Fama. Winner of the Smith-Breeden prize for the best paper in the Journal of Finance in 1992.
"Were Japanese
Stock Prices Too High?" Journal
of Financial Economics (1991), with James Poterba.
"Investor
Diversification and International Equity Markets," American
Economic Review (1991), with James Poterba.
"Japanese
and U.S. Cross-Border Common Stock Investments," Journal of
Japanese International Economics (1990), with James Poterba.
"Business
Conditions and Expected Returns on Stocks and Bonds," Journal
of Financial Economics (November 1989), with Eugene Fama.
"Business
Cycles and the Behavior of Metals Prices," Journal
of Finance (December 1988), with Eugene Fama.
"Dividend
Yields and Expected Stock Returns," Journal
of Financial Economics (October 1988), with Eugene Fama.
"Crash-Testing
the Efficient Market Hypothesis," Macroeconomics
Annual (1988).
"Pricing
Financial Futures Contracts: An Introduction," Financial Markets
and Portfolio Management (June 1988).
"Permanent
and Temporary Components of Stock Prices," Journal
of Political Economy (April 1988), with Eugene Fama.
"Expected
Stock Returns and Volatility," Journal
of Financial Economics (September 1987), with G. William
Schwert and Robert Stambaugh.
"Commodity
Futures Prices: Some Evidence on Forecast Power, Premiums, and
the Theory of Storage," Journal
of Business (January 1987), with Eugene Fama.
"Stock Return
Variances: The Arrival of Information and the Reaction of Traders,"
Journal
of Financial Economics (September 1986), with Richard
Roll.
"Commodity
Own Rates, Real Interest Rates, and Money Supply Announcements,"
Journal of Monetary Economics 18 (July 1986), with
Bradford Cornell.
"Detecting
Spot Price Forecasts in Futures Prices," Journal
of Business 59 (April 1986).
"Sealed Bids,
Sunk Costs, and the Process of Competition," Journal
of Business (October 1984) with Robert McCormick.
"A Comparison
of Futures and Forward Prices," Journal
of Financial Economics 12 (November 1983).
"Taxes and
the Pricing of Stock Index Futures," Journal
of Finance (June 1983), with Bradford Cornell.
"The Pricing
of Stock Index Futures," Journal of Futures Markets (Spring
1983), with Bradford Cornell.
"Effects
of Nominal Contracting on Stock Returns," Journal
of Political Economy (February 1983), with Richard Ruback
and G. William Schwert.
"Stock Returns
and the Weekend Effect," Journal
of Financial Economics 8 (March 1980).
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