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The Cost of Equity of Internet Stocks: A Downside Risk Approach
16 references·0 citing·42 second hop
The Cost of Equity of Internet Stocks: A Downside Risk Approach (2004)The Cost of Equity of Internet Stocks: A …Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Political Risk, Economic Risk, and Financial Risk (1996)Political Risk, Economic Risk…Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Downside risk (1991)Downside riskAsset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKCAPITAL 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. 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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,981 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1996Political Risk, Economic Risk, and Financial Risk619 cited
  • 1991Downside risk604 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 1999A Brief History of Downside Risk Measures308 cited

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2002
Systematic risk in emerging markets: the D-CAPM
300 cited

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