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Efficient Indexation: An Alternative to Cap-Weighted Indices
16 references·7 citing·30 second hop
Efficient Indexation: An Alternative to Cap-Weighted Indices (2011)Efficient Indexation: An Alternative to C…Ex Ante Skewness and Expected Stock Returns (2012)Ex Ante Skewness and Expected…Expected Idiosyncratic Skewness (2009)Expected Idiosyncratic Skewne…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…Equilibrium Underdiversification and the Preference for Skewness (2007)Equilibrium Underdiversificat…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…The Investor Fear Gauge (2000)The Investor Fear GaugeUniversal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (2016)Why Does an Equal-Weighted Po…Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence (2016)Equal-weighted strategy: Why …SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES (2013)SUB-ADDITIVE RECURSIVE "MATCH…The Surprising 'Alpha' from Malkiel's Monkey and Upside-Down Strategies (2012)The Surprising 'Alpha' from M…Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance (2012)Diversifying the Diversifiers…Choose Your Betas: Benchmarking AlternativeEquity Index Strategies (2012)Choose Your Betas: Benchmarki…A Survey of Alternative Equity Index Strategies (2011)A Survey of Alternative Equit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)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)Portfolio Selection: Efficient Diversification of Investments. (1962)Modern Portfolio Theory and Investment Analysis. (1982)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Chapter 4 Forecast Combinations (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
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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
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2009Expected Idiosyncratic Skewness841 cited
  • 2007Equilibrium Underdiversification and the Preference for Skewness784 cited

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2012
Ex Ante Skewness and Expected Stock Returns
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Cited by

  • 2016Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?61 cited
  • 2012The Surprising 'Alpha' from Malkiel's Monkey and Upside-Down Strategies58 cited
  • 2016Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence53 cited
  • 2012Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance45 cited
  • 2012Choose Your Betas: Benchmarking AlternativeEquity Index Strategies42 cited
  • 2013SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES33 cited
  • 2011A Survey of Alternative Equity Index Strategies31 cited