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Efficiency and the Variability of Asset Prices
11 references·0 citing·43 second hop
Efficiency and the Variability of Asset Prices (1984)Efficiency and the Variability of Asset P…Nominal Prices and Interest Rates in General Equilibrium: Money Shocks (1984)Nominal Prices and Interest R…Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence (1983)Excess Volatility in the Fina…Behavior under Uncertainty and Its Implications for Policy (1983)Behavior under Uncertainty an…Expectations Models of Asset Prices: A Survey of Theory (1982)Expectations Models of Asset …The Use of Volatility Measures in Assessing Market Efficiency* (1981)The Use of Volatility Measure…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…Risk Aversion and the Dispersion of Asset Prices (1981)Risk Aversion and the Dispers…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Risk Aversion and the Martingale Property of Stock Prices (1973)Risk Aversion and the Marting…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Randomized unit root processes for modelling and forecasting financial time series: Theory and applications (1996)Block bootstrap methods and the choice of stocks for the long run (2012)Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions (2014)The Determinants of the Variability of Stock Market Prices (1980)Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation (1988)BUBBLES AND FADS IN ASSET PRICES (1989)Two Pillars of Asset Pricing (2014)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)Information, futures prices, and stabilizing speculation (1978)Mean Reversion in Equilibrium Asset Prices (1988)Asset Pricing in Economies with Frictions (1996)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Stock Returns, Real Activity, Inflation, and Money (1981)The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The equity premium: A puzzle (1985)Sticky Goods Prices, Flexible Asset Prices, Monopolistic Competition, and Monetary Policy (1986)On the term structure of interest rates (1990)Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Expectations and the neutrality of money (1972)Stock prices under time-varying dividend risk (1988)Stock return prediction under GARCH — An empirical assessment (2017)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Macroeconomics and finance: The role of the stock market (1984)Anomalies and Market Efficiency (2002)Price dynamics and speculative trading in bitcoin (2017)
this work references cited by second hop

References

  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1973Risk Aversion and the Martingale Property of Stock Prices354 cited
  • 1981The Use of Volatility Measures in Assessing Market Efficiency*337 cited
  • 1983Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence293 cited
  • 1982Expectations Models of Asset Prices: A Survey of Theory112 cited
  • 1981Risk Aversion and the Dispersion of Asset Prices84 cited
  • 1984Nominal Prices and Interest Rates in General Equilibrium: Money Shocks57 cited
  • 1983Behavior under Uncertainty and Its Implications for Policy42 cited

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