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A NOTE ON BETA STABILITY AND THIN TRADING ON THE TORONTO STOCK EXCHANGE
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A NOTE ON BETA STABILITY AND THIN TRADING ON THE TORONTO STOCK EXCHANGE (1981)A NOTE ON BETA STABILITY AND THIN TRADING…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Heteroscedasticity, R 2 and Thin Trading on the Toronto Stock Exchange (1979)Heteroscedasticity, R 2 and T…Split information, stock returns and market efficiency-I (1978)Split information, stock retu…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A REEXAMINATION OF STOCK SPLITS USING MOVING BETAS (1977)A REEXAMINATION OF STOCK SPLI…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS (1974)ON THE ASSESSMENT OF RISK: SO…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)The capital asset pricing model: Some empirical tests (1972)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)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)Further Evidence on the Stationarity of Beta Coefficients (1978)On the Estimation and Stability of Beta (1980)An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas (1982)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis (1980)The stock market's valuation of R&D spending and market concentration (1992)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 1974ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS104 cited
  • 1977A REEXAMINATION OF STOCK SPLITS USING MOVING BETAS96 cited
  • 1978Split information, stock returns and market efficiency-I81 cited
  • 1979Heteroscedasticity, R 2 and Thin Trading on the Toronto Stock Exchange46 cited

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