Multivariate proxies and asset pricing relationsJay A. Shanken1987-03-01articleJournal of Financial Economics221 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesFinancial Analysis and Corporate GovernanceFinancial Risk and Volatility ModelingAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 221 citations exist upstream.References1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets1975THE 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.]1986Economic Forces and the Stock Market1972Capital Market Equilibrium with Restricted Borrowing1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory1979An intertemporal asset pricing model with stochastic consumption and investment opportunities1989A Test of the Efficiency of a Given PortfolioCited by1995Econometric Evaluation of Asset Pricing Models1993A New Approach to International Arbitrage Pricing2001Testing for mean-variance spanning: a survey2008Theory-Based Illiquidity and Asset Pricing1987On correlations and inferences about mean-variance efficiency2006A Skeptical Appraisal of Asset Pricing Tests1987On multivariate tests of the CAPM1991The attributes, behavior, and performance of U.S. mutual funds