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Market Incompleteness and Super Value Additivity: Implications for Securitization
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Market Incompleteness and Super Value Additivity: Implications for Securitization (2003)Market Incompleteness and Super Value Add…Theory of rational option pricing (2005)Theory of rational option pri…The Pooling and Tranching of Securities: A Model of Informed Intermediation (2004)The Pooling and Tranching of …A Liquidity-based Model of Security Design (1999)A Liquidity-based Model of Se…Theory of incomplete markets (1996)Theory of incomplete marketsImplications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Financial Intermediaries and Liquidity Creation (1990)Financial Intermediaries and …Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)INFORMATIONAL ASYMMETRIES, FI…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Options and Efficiency (1976)Options and EfficiencyOn the optimality of equilibrium when the market structure is incomplete (1975)On the optimality of equilibr…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets (1972)Existence of Equilibrium of P…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Bank Runs, Deposit Insurance, and Liquidity (1983)Corporate financing and investment decisions when firms have information that investors do not have (1984)Financial Development and Economic Growth: Views and Agenda (1999)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The Role of Securities in the Optimal Allocation of Risk-bearing (1964)General competitive analysis (1971)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)THE ROLE OF A STOCK MARKET IN A GENERAL EQUILIBRIUM MODEL WITH TECHNOLOGICAL UNCERTAINTY (1978)Commodity Trade and International Risk Sharing: How Much Do Financial Markets Matter? (1989)A Theory of Macroprudential Policies in the Presence of Nominal Rigidities (2016)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Prices of State-Contingent Claims Implicit in Option Prices (1978)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,176 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1977INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION4,056 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1990Financial Intermediaries and Liquidity Creation1,078 cited
  • 1976Options and Efficiency830 cited
  • 1975On the optimality of equilibrium when the market structure is incomplete746 cited
  • 1999A Liquidity-based Model of Security Design739 cited
  • 1972Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets722 cited
  • 2004The Pooling and Tranching of Securities: A Model of Informed Intermediation632 cited
  • 1996Theory of incomplete markets584 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1981

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Arbitrage and equilibrium in economies with infinitely many commodities
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