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Production Based Asset Pricing
9 references·3 citing·43 second hop
Production Based Asset Pricing (1988)Production Based Asset PricingAsset Prices in a Production Economy (2001)Asset Prices in a Production …The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives (1988)The Sensitivity of Tests of t…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…Consumption, Asset Markets, and Macroeconomic Fluctuations (1982)Consumption, Asset Markets, a…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns (2018)Earnings Volatility, Ambiguit…Incentives, Choices and Strategic Behavior: A Neuroeconomic Perspective for the Law (2017)Incentives, Choices and Strat…Nominal Rigidities and Asset Pricing (2014)Nominal Rigidities and Asset …Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Capital mobility in the world economy: Theory and measurement (1986)Intertemporal asset pricing (1990)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Mean Reversion in Stock Prices: Evidence and Implications (1987)RATIONALITY AS PROCESS AND AS PRODUCT OF THOUGHT (1988)Robust Permanent Income and Pricing (1999)Inattentive consumers (2006)Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Efficient Capital Markets: II (1991)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**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)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Nominal Rigidities and the Term Structures of Equity and Bond Returns (2015)Trading Down and the Business Cycle (2015)Inclusive Monetary Policy: How Tight Labor Markets Facilitate Broad-Based Employment Growth (2022)A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)Risk premiums in the term structure (1989)The investment manifesto (2013)Taxation and Savings - A Neoclassical Perspective (1984)Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle? (2002)Stochastic Discount Factor Bounds with Conditioning Information (2002)
this work references cited by second hop

References

  • 1986Economic Forces and the Stock Market5,258 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 2001Asset Prices in a Production Economy258 cited
  • 1988The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives210 cited
  • 1982Consumption, Asset Markets, and Macroeconomic Fluctuations56 cited

Cited by

  • 2014Nominal Rigidities and Asset Pricing29 cited
  • 2018Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns19 cited
  • 2017Incentives, Choices and Strategic Behavior: A Neuroeconomic Perspective for the Law0 cited

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