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Stock return anomalies: Evidence from the Johannesburg Stock Exchange
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Stock return anomalies: Evidence from the Johannesburg Stock Exchange (2012)Stock return anomalies: Evidence from the…Feasibility of the Fama and French three factor model in explaining returns on the JSE (2010)Feasibility of the Fama and F…NEURAL NETWORKS IN FINANCE AND ECONOMICS FORECASTING (2007)NEURAL NETWORKS IN FINANCE AN…Book-to-market ratio and returns on the JSE (2006)Book-to-market ratio and retu…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Size, price-to-earnings and beta on the JSE Securities Exchange (2003)Size, price-to-earnings and b…Value and momentum strategies: Evidence from the Johannesburg Stock Exchange (2000)Value and momentum strategies…The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992 (1997)The Random Walk Hypothesis in…The journal of financial economics (1993)The journal of financial econ…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…Transaction costs and the small firm effect (1983)Transaction costs and the sma…The relationship between return and market value of common stocks (1981)The relationship between retu…Journal of business finance and accounting (1979)Journal of business finance a…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk, Return, and Equilibrium: Empirical Tests (1973)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)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)A Takagi–Sugeno fuzzy model combined with a support vector regression for stock trading forecasting (2015)Sentiment Analysis for Effective Stock Market Prediction (2017)The Use of Predictive Analytics in Finance (2022)The Quarterly Journal of Economics (2024)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)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)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)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)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)
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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
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1993The journal of financial economics2,544 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 2007NEURAL NETWORKS IN FINANCE AND ECONOMICS FORECASTING116 cited
  • 2003Size, price-to-earnings and beta on the JSE Securities Exchange98 cited
  • 1979Journal of business finance and accounting76 cited
  • 2006Book-to-market ratio and returns on the JSE69 cited
  • 2010Feasibility of the Fama and French three factor model in explaining returns on the JSE67 cited
  • 2000Value and momentum strategies: Evidence from the Johannesburg Stock Exchange41 cited
  • 1997

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The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992
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