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