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THE OPTIMIZATION OF EFFICIENT PORTFOLIOS: THE CASE FOR AN R&D QUADRATIC TERM
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THE OPTIMIZATION OF EFFICIENT PORTFOLIOS: THE CASE FOR AN R&D QUADRATIC TERM (2004)THE OPTIMIZATION OF EFFICIENT PORTFOLIOS:…Active Portfolio Management (2017)Active Portfolio ManagementInformation Asymmetry, R&D, and Insider Gains (2000)Information Asymmetry, R&D, a…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)A Critical Reexamination of t…Expectations and Share Prices (1981)Expectations and Share PricesAn Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…Extra-Market Components of Covariance in Security Returns (1974)Extra-Market Components of Co…THE CONSENSUS AND ACCURACY OF SOME PREDICTIONS OF THE GROWTH OF CORPORATE EARNINGS (1968)THE CONSENSUS AND ACCURACY OF…Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio optimization: New capabilities and future methods (2006)Portfolio optimization: New c…Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Financial Intermediation and Delegated Monitoring (1984)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)Continuous Auctions and Insider Trading (1985)On Persistence in Mutual Fund Performance (1997)Intellectual capital and new product development performance: The mediating role of organizational learning capability (2008)Board Diversity and Corporate Social Responsibility: Empirical Evidence from France (2020)The Pollution Premium (2020)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 2000Information Asymmetry, R&D, and Insider Gains1,528 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 2017Active Portfolio Management463 cited
  • 1974Extra-Market Components of Covariance in Security Returns295 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1981Expectations and Share Prices233 cited
  • 1968

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THE CONSENSUS AND ACCURACY OF SOME PREDICTIONS OF THE GROWTH OF CORPORATE EARNINGS
217 cited

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  • 2006Portfolio optimization: New capabilities and future methods48 cited