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Sin Stock Returns Over the Business Cycle
16 references·4 citing·35 second hop
Sin Stock Returns Over the Business Cycle (2009)Sin Stock Returns Over the Business CycleMomentum, Business Cycle, and Time‐varying Expected Returns (2002)Momentum, Business Cycle, and…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…Can book-to-market, size and momentum be risk factors that predict economic growth? (2000)Can book-to-market, size and …Consumption, Aggregate Wealth and Expected Stock Returns (1999)Consumption, Aggregate Wealth…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Intertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …A Theory of Rational Addiction (1988)A Theory of Rational AddictionEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset returns and inflation (1977)Asset returns and inflationShunned stocks and market states (2021)Shunned stocks and market sta…PROFIL KINERJA RETURN DAN RESIKO PADA SAHAM TIDAK BERETIKA: STUDI KASUS PERUSAHAAN ROKOK DI INDONESIA (2019)PROFIL KINERJA RETURN DAN RES…Pricing sin stocks: Ethical preference vs. risk aversion (2019)Pricing sin stocks: Ethical p…Social stigma and executive compensation (2018)Social stigma and executive c…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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Cross-Section of Expected Stock Returns (1992)… and the Cross-Section of Expected Returns (2015)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Efficient Market Hypothesis and Its Critics (2003)Out of Control: Visceral Influences on Behavior (1996)Doing It Now or Later (1999)Time Discounting and Time Preference: A Critical Review (2002)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)A skeptical appraisal of asset pricing tests☆ (2009)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988A Theory of Rational Addiction3,870 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977Asset returns and inflation2,701 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model1,023 cited
  • 2000Can book-to-market, size and momentum be risk factors that predict economic growth?1,012 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data954 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 2002Momentum, Business Cycle, and Time‐varying Expected Returns812 cited
  • 1999

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Consumption, Aggregate Wealth and Expected Stock Returns
686 cited

Cited by

  • 2019PROFIL KINERJA RETURN DAN RESIKO PADA SAHAM TIDAK BERETIKA: STUDI KASUS PERUSAHAAN ROKOK DI INDONESIA31 cited
  • 2018Social stigma and executive compensation22 cited
  • 2021Shunned stocks and market states20 cited
  • 2019Pricing sin stocks: Ethical preference vs. risk aversion20 cited