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A decomposition of style-based risk on the JSE
16 references·7 citing·22 second hop
A decomposition of style-based risk on the JSE (2001)A decomposition of style-based risk on th…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIBusiness conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Judgment under uncertainty: Causality and attribution (1982)Judgment under uncertainty: C…Judgment under Uncertainty (1982)Judgment under UncertaintyThe relationship between return and market value of common stocks (1981)The relationship between retu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…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 review of accounting research in internationalising journals in the South African region (2017)A review of accounting resear…The impact of new, renewal and termination sponsorship announcements on share price returns (2014)The impact of new, renewal an…Style-based effects on the Johannesburg Stock Exchange: A graphical time-series approach (2013)Style-based effects on the Jo…Empirical testing of the CAPM on the JSE (2012)Empirical testing of the CAPM…The long-term share price reaction to Black Economic Empowerment announcements on the JSE (2010)The long-term share price rea…Another look at the cross-section of average returns on the JSE (2009)Another look at the cross-sec…Style characteristics and the cross-section of JSE returns (2003)Style characteristics and the…Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Financial Intermediation and Delegated Monitoring (1984)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Those Who Understand: Knowledge Growth in Teaching (1986)Perception of Risk (1987)The weirdest people in the world? (2010)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1982Judgment under Uncertainty8,238 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1982Judgment under uncertainty: Causality and attribution4,616 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
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Dividend yields and expected stock returns
3,574 cited

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  • 2003Style characteristics and the cross-section of JSE returns56 cited
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  • 2009Another look at the cross-section of average returns on the JSE36 cited
  • 2010The long-term share price reaction to Black Economic Empowerment announcements on the JSE33 cited
  • 2014The impact of new, renewal and termination sponsorship announcements on share price returns25 cited
  • 2017A review of accounting research in internationalising journals in the South African region12 cited