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Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly
16 references·5 citing·32 second hop
Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly (2013)Do Strict Capital Requirements Raise the …Betting against beta (2013)Betting against betaMaxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…How Big Are the Tax Benefits of Debt? (2000)How Big Are the Tax Benefits …Industry costs of equity (1997)Industry costs of equityReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …The equity premium: A puzzle (1985)The equity premium: A puzzleRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…ESG performance and firm risk in the U.S. financial firms (2024)ESG performance and firm risk…Quantifying the potential impact of a green supporting factor or brown penalty on European banks and lending (2019)Quantifying the potential imp…Bank leverage and profitability: Evidence from a sample of international banks (2015)Bank leverage and profitabili…Bank Heterogeneity and Capital Allocation: Evidence from 'Fracking' Shocks (2014)Bank Heterogeneity and Capita…Financing as a Supply Chain: The Capital Structure of Banks and Borrowers (2013)Financing as a Supply Chain: …Portfolio Selection: Efficient Diversification of Investments (1959)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**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)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Behavior of Stock-Market Prices (1965)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)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)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The arbitrage theory of capital asset pricing (1976)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1997Industry costs of equity5,793 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2013Betting against beta2,027 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2010Basel Committee On Banking Supervision1,591 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 2000How Big Are the Tax Benefits of Debt?1,483 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence

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  • 2019Quantifying the potential impact of a green supporting factor or brown penalty on European banks and lending47 cited
  • 2024ESG performance and firm risk in the U.S. financial firms47 cited
  • 2013Financing as a Supply Chain: The Capital Structure of Banks and Borrowers37 cited
  • 2014Bank Heterogeneity and Capital Allocation: Evidence from 'Fracking' Shocks36 cited
  • 2015Bank leverage and profitability: Evidence from a sample of international banks32 cited