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Understanding Defensive Equity
16 references·4 citing·25 second hop
Understanding Defensive Equity (2014)Understanding Defensive EquityDeflating profitability (2015)Deflating profitabilityThe Limits to Arbitrage and the Low-Volatility Anomaly (2014)The Limits to Arbitrage and t…A five-factor asset pricing model (2014)A five-factor asset pricing m…The other side of value: The gross profitability premium (2013)The other side of value: The …Low-Risk Investing Without Industry Bets (2013)Low-Risk Investing Without In…Betting against beta (2013)Betting against betaBenchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2010)Benchmarks as Limits to Arbit…Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Idiosyncratic Volatility and …The Volatility Effect: Lower Risk Without Lower Return (2007)The Volatility Effect: Lower …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Risk, 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…When Equity Factors Drop Their Shorts (2019)When Equity Factors Drop Thei…Optimal Timing and Tilting of Equity Factors (2018)Optimal Timing and Tilting of…Five Concerns with the Five-Factor Model (2018)Five Concerns with the Five-F…The profitability of low-volatility (2017)The profitability of low-vola…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (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 Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Editor's Choice Digesting Anomalies: An Investment ApproachFinancial Ratios and the Probabilistic Prediction of Bankruptcy (1980)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Religious beliefs, gambling attitudes, and financial market outcomes (2011)Behavioral Finance (2015)Manager sentiment and stock returns (2018)The arbitrage theory of capital asset pricing (1976)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Dissecting Anomalies with a Five-Factor Model (2015)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model7,841 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
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2013Betting against beta2,027 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2010Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly770 cited
  • 2008Idiosyncratic Volatility and the Cross Section of Expected Returns660 cited
  • 2015Deflating profitability258 cited
  • 2010Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly221 cited
  • 2007The Volatility Effect: Lower Risk Without Lower Return145 cited
  • 2013Low-Risk Investing Without Industry Bets91 cited
  • 2014The Limits to Arbitrage and the Low-Volatility Anomaly

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  • 2018Optimal Timing and Tilting of Equity Factors46 cited
  • 2017The profitability of low-volatility36 cited
  • 2019When Equity Factors Drop Their Shorts34 cited
  • 2018Five Concerns with the Five-Factor Model29 cited