Capital asset pricing model

Field
Subfield
Domain
OpenAlex	C181236170

Smeal faculty

• Timothy T. Simin - score 4.1
• Joel M. Vanden - score 2.1
• Mihail Velikov - score 1.7
• Charles Whiteman - score 0.6
• Giang Nguyen - score 0.5
• Anh Le - score 0.5
• Kai Du - score 0.5

Papers

• The alpha factor asset pricing model: A parable (1999) - cites 174
• Habit formation: a resolution of the equity premium puzzle? (2002) - cites 153
• The Poor Predictive Performance of Asset Pricing Models (2008) - cites 110
• Model Comparison with Transaction Costs (2023) - cites 101
• Option Coskewness and Capital Asset Pricing (2006) - cites 59
• Options Trading and the CAPM (2003) - cites 55
• Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression (2008) - cites 51
• Liquidity Risk and Asset Pricing (2019) - cites 50
• An Equilibrium Term Structure Model with Recursive Preferences (2010) - cites 25
• Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression (2006) - cites 12
• Information Choice, Uncertainty, and Expected Returns (2020) - cites 9
• Connections between the Market Pricing of Accruals Quality and Accounting‐Based Anomalies* (2020) - cites 6
• Spurious Regression and Data Mining in Conditional Asset Pricing Models (2010) - cites 4
• The Low-Risk Anomaly Revisited on High-Frequency Data (2015) - cites 2
• Equilibrium asset pricing and the cross section of expected returns (2021) - cites 1
• A Tale of Two Anomalies: Value, Momentum, and Risk Sentiment (2025) - cites 0