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Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns
16 references·2 citing·23 second hop
Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns (2008)Downside Beta and the Cross-sectional Det…Downside Risk (2006)Downside RiskThe Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…The Cross Section of Expected REIT Returns (2003)The Cross Section of Expected…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…The relationship between return and market value of common stocks (1981)The relationship between retu…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Women directors on boards of Australian Real Estate Investment Trusts (2013)Women directors on boards of …Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance (2010)Market States and the Effect …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)… and the Cross-Section of Expected Returns (2015)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)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)Capital Market Equilibrium with Restricted Borrowing (1972)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 2006Downside Risk1,039 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 2003The Cross Section of Expected REIT Returns518 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited

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  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
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    • 2010Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance24 cited
    • 2013Women directors on boards of Australian Real Estate Investment Trusts22 cited