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Reference-Day Risk and the Use of Monthly Returns Data
8 references·0 citing·34 second hop
Reference-Day Risk and the Use of Monthly Returns Data (2007)Reference-Day Risk and the Use of Monthly…Testing for differences in the tails of stock-market returns (2003)Testing for differences in th…Mathematical Models in Finance. (1996)Mathematical Models in Financ…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances (1971)Portfolio Selection: The Effe…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKNo news is good news (1992)Modelling Extremal Events (1997)Extreme Correlation of International Equity Markets (2001)The simple economics of bank fragility (2004)Extreme US stock market fluctuations in the wake of 9/11 (2008)Extreme downside risk and expected stock returns (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Portfolio Selection: Efficient Diversification of Investments (1959)Capital Market Equilibrium with Restricted Borrowing (1972)Multifactor models do not explain deviations from the CAPM (1995)Stock return predictability and model uncertainty (2002)Portfolio selection with higher moments (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Prediction of Systematic and Specific Risk in Common Stocks (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)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)Liquidity Preference as Behavior Towards Risk (1958)A Simplified Model for Portfolio Analysis (1963)Risk Aversion in the Small and in the Large (1976)Noise sensitivity of portfolio selection under various risk measures (2007)The Distribution of the Sample Minimum-Variance Frontier (2008)Constructing optimal sparse portfolios using regularization methods (2014)The option pricing model and the risk factor of stock (1976)Foundations of Portfolio Theory (1991)Applying Operations Research Techniques to Financial Markets (2003)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1980Estimation for Markowitz Efficient Portfolios554 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 2003Testing for differences in the tails of stock-market returns164 cited
  • 1971Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances159 cited
  • 1996Mathematical Models in Finance.37 cited

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