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The Estimation of Systematic Risk under Differentiated Risk Aversion: A Mean-Extended Gini Approach
16 references·0 citing·37 second hop
The Estimation of Systematic Risk under Differentiated Risk Aversion: A Mean-Extended Gini Approach (1999)The Estimation of Systematic Risk under D…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…The extent of nonstationarity of beta (1993)The extent of nonstationarity…The hedging effectiveness of options and futures: A mean‐gini approach (1990)The hedging effectiveness of …Nonnormalities and Tests of Asset Pricing Theories (1989)Nonnormalities and Tests of A…Skewness Persistence in Common Stock Returns (1986)Skewness Persistence in Commo…Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets (1984)Mean-Gini, Portfolio Theory, …On an Extension of the Gini Inequality Index (1983)On an Extension of the Gini I…Stochastic Dominance, Mean Variance, and Gini's Mean Difference (1982)Stochastic Dominance, Mean Va…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Specification Tests in Econometrics (1978)Specification Tests in Econom…THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS (1977)THE EFFECT OF MODEL MISSPECIF…Tests of Capital Asset Pricing Hypotheses (1975)Tests of Capital Asset Pricin…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Remittances and Inequality (1986)Chapter 2 Measurement of inequality (2000)Portfolio Selection: Efficient Diversification of Investments (1959)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)Common risk factors in the returns on stocks and bonds (1993)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)PORTFOLIO SELECTION* (1952)Marginal Conditional Stochastic Dominance (1994)Gini's Mean difference: a superior measure of variability for non-normal distributions (2003)Beyond Sharpe ratio: Optimal asset allocation using different performance ratios (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the measurement of inequality (1970)On Economic Inequality (1973)Poverty: An Ordinal Approach to Measurement (1976)Unequal inequalities. I (1976)A note on the calculation and interpretation of the Gini index (1984)Conindex: Estimation of Concentration Indices (2016)The Use of Error Components Models in Combining Cross Section with Time Series Data (1969)The Use of Variance Components Models in Pooling Cross Section and Time Series Data (1971)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Efficient Capital Markets: II (1991)
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References

  • 1978Specification Tests in Econometrics19,451 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1969The Adjustment of Stock Prices to New Information5,093 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,255 cited
  • 1983On an Extension of the Gini Inequality Index608 cited
  • 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference330 cited
  • 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets222 cited
  • 1986Skewness Persistence in Common Stock Returns183 cited
  • 1989Nonnormalities and Tests of Asset Pricing Theories129 cited
  • 1975Tests of Capital Asset Pricing Hypotheses113 cited
  • 1990The hedging effectiveness of options and futures: A mean‐gini approach67 cited
  • 1993The extent of nonstationarity of beta41 cited
  • 1977THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS

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