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Advances in Consumption-Based Asset Pricing: Empirical Tests
16 references·16 citing·29 second hopsampled
Advances in Consumption-Based Asset Pricing: Empirical Tests (2013)Advances in Consumption-Based Asset Prici…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …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…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…The equity premium: A puzzle (1985)The equity premium: A puzzleAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors (2023)Selling Fast and Buying Slow:…Multifactor Models and Their Consistency with the APT (2020)Multifactor Models and Their …How the Wealth Was Won: Factor Shares as Market Fundamentals (2019)How the Wealth Was Won: Facto…Estimation of Large Dimensional Conditional Factor Models in Finance (2019)Estimation of Large Dimension…The Investment CAPM (2017)The Investment CAPMAsset Prices and Macroeconomic Outcomes: A Survey (2017)Asset Prices and Macroeconomi…Comparing consumption-based asset pricing models: The case of an Asian city (2014)Comparing consumption-based a…Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model (2014)Combining momentum, value, an…Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment (2014)Ambiguity in the Cross-Sectio…Asset Pricing Without Garbage (2013)Asset Pricing Without GarbageGrowth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012)Growth-Rate and Uncertainty S…Evaluating time-series restrictions for cross-sections of expected returns: Multifactor CCAPMs (2012)Evaluating time-series restri…On the Timing and Pricing of Dividends (2011)On the Timing and Pricing of …On the Timing and Pricing of Dividends (2011)On the Timing and Pricing of …Investor Information, Long-Run Risk, and the Term Structure of Equity (2007)Investor Information, Long-Ru…Consumption Based Asset Pricing Models (2007)Consumption Based Asset Prici…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)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)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)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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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
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*

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2,451 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • Cited by

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    • 2012Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence45 cited
    • 2014Comparing consumption-based asset pricing models: The case of an Asian city44 cited
    • 2011On the Timing and Pricing of Dividends43 cited
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    • 2017Asset Prices and Macroeconomic Outcomes: A Survey40 cited
    • 2014Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model36 cited
    • 2020Multifactor Models and Their Consistency with the APT36 cited
    • 2019Estimation of Large Dimensional Conditional Factor Models in Finance35 cited
    • 2019How the Wealth Was Won: Factor Shares as Market Fundamentals34 cited
    • 2007Consumption Based Asset Pricing Models31 cited
    • 2012Evaluating time-series restrictions for cross-sections of expected returns: Multifactor CCAPMs28 cited
    • 2014Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment28 cited