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Investment Noise and Trends
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Investment Noise and Trends (2014)Investment Noise and TrendsScale and skill in active management (2014)Scale and skill in active man…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)How Active Is Your Fund Manag…Equity Portfolio Diversification (2008)Equity Portfolio Diversificat…All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2005)All that Glitters: The Effect…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Irrational Exuberance (2000)Irrational ExuberanceReturns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…How to Use Security Analysis to Improve Portfolio Selection (1973)How to Use Security Analysis …The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Marketing Mutual Funds (2018)Marketing Mutual FundsScale and Skill in Active Management (2014)Scale and Skill in Active Man…Scale and Skill in Active Management (2014)Scale and Skill in Active Man…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)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)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)A Rational Theory of Mutual Funds' Attention Allocation (2016)Investor Psychology and Security Market Under‐ and Overreactions (1998)Measuring skill in the mutual fund industry (2015)International tests of a five-factor asset pricing model (2016)Choosing factors (2018)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)… and the Cross-Section of Expected Returns (2015)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,781 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2009How Active Is Your Fund Manager? A New Measure That Predicts Performance1,660 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 2000Irrational Exuberance1,515 cited
  • 2008Equity Portfolio Diversification1,221 cited
  • 2005All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors1,140 cited
  • 1973How to Use Security Analysis to Improve Portfolio Selection822 cited

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  • 2014Scale and skill in active management547 cited
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    • 2014Scale and Skill in Active Management24 cited
    • 2014Scale and Skill in Active Management23 cited
    • 2018Marketing Mutual Funds22 cited