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Missing trader fraud on the emissions market
1 references·1 citing·12 second hopsampled
Missing trader fraud on the emissions market (2011)Missing trader fraud on the emissions mar…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets (2014)Futures trading with informat…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 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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Statistical inference in vector autoregressions with possibly integrated processes (1995)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots (2018)Asymmetric risk spillover between financial market uncertainty and the carbon market: A GAS–DCS–copula approach (2020)The role of the carbon market in relation to the cryptocurrency market: Only diversification or more? (2021)
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  • 1976The arbitrage theory of capital asset pricing7,081 cited

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  • 2014Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets50 cited

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