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Asset pricing implications of benchmarking: a two-factor CAPM
12 references·16 citing·36 second hop
Asset pricing implications of benchmarking: a two-factor CAPM (2003)Asset pricing implications of benchmarkin…Agency and Asset Pricing (2008)Agency and Asset PricingThe Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)The Determinants of the Flow …The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999)The Sampling Error in Estimat…The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds (1999)The Determinants of the Flow …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Common Fund Flows: Flow Hedging and Factor Pricing (2022)Common Fund Flows: Flow Hedgi…Asset pricing with index investing (2021)Asset pricing with index inve…Dynamic Hedging in Incomplete Markets: A Simple Solution (2012)Dynamic Hedging in Incomplete…Risk and Return under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM) (2011)Risk and Return under Shari’a…Portfolio selection with mental accounts and delegation (2011)Portfolio selection with ment…Agency and Institutional Investment (2011)Agency and Institutional Inve…Investment Performance Evaluation (2010)Investment Performance Evalua…Active portfolio management with benchmarking: A frontier based on alpha (2010)Active portfolio management w…The 101 Ways to Measure Portfolio Performance (2009)The 101 Ways to Measure Portf…Offsetting the implicit incentives: Benefits of benchmarking in money management (2008)Offsetting the implicit incen…Dynamic Hedging in Incomplete Markets: A Simple Solution (2008)Dynamic Hedging in Incomplete…Optimal delegated portfolio management with background risk (2007)Optimal delegated portfolio m…Active portfolio management with benchmarking: Adding a value-at-risk constraint (2007)Active portfolio management w…How Costly is Investors’ Compliance With Sharia? (2004)How Costly is Investors’ Comp…Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management (2003)Offsetting the Incentives: Ri…Risk Management with Benchmarking (2002)Risk Management with Benchmar…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 relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The arbitrage theory of capital asset pricing (1976)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Handbooks in operations research and management science (1989)Global Portfolio Optimization (1992)Systemic Risk and International Portfolio Choice (2004)PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)Accounting anomalies and fundamental analysis: A review of recent research advances (2010)The Behavior of Stock-Market Prices (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)On Persistence in Mutual Fund Performance (1997)An equilibrium model of the international capital market (1974)Foundations of Finance. (1977)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)Emerging markets finance (2003)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Costly Search and Mutual Fund Flows (1998)Mutual Fund Attributes and Investor Behavior (2007)Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007)Assessing asset pricing models using revealed preference (2015)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)An evolutionary heuristic for the index tracking problem (2003)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 2002The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds795 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 1999The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights472 cited
  • 2008Agency and Asset Pricing180 cited
  • 1999The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds172 cited

Cited by

  • 2007Active portfolio management with benchmarking: Adding a value-at-risk constraint81 cited
  • 2010Investment Performance Evaluation77 cited
  • 2008Offsetting the implicit incentives: Benefits of benchmarking in money management

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72 cited
  • 2007Optimal delegated portfolio management with background risk67 cited
  • 2010Active portfolio management with benchmarking: A frontier based on alpha57 cited
  • 2009The 101 Ways to Measure Portfolio Performance51 cited
  • 2012Dynamic Hedging in Incomplete Markets: A Simple Solution47 cited
  • 2004How Costly is Investors’ Compliance With Sharia?44 cited
  • 2003Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management44 cited
  • 2022Common Fund Flows: Flow Hedging and Factor Pricing43 cited
  • 2011Portfolio selection with mental accounts and delegation39 cited
  • 2011Agency and Institutional Investment38 cited
  • 2002Risk Management with Benchmarking36 cited
  • 2011Risk and Return under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM)33 cited
  • 2021Asset pricing with index investing30 cited
  • 2008Dynamic Hedging in Incomplete Markets: A Simple Solution27 cited