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Market Power, Efficiency and the Dispersion of Systematic Risk
16 references·2 citing·39 second hop
Market Power, Efficiency and the Dispersion of Systematic Risk (1999)Market Power, Efficiency and the Dispersi…A Critique of Size-Related Anomalies (1995)A Critique of Size-Related An…Entry and Market Contestability: An International Comparison. (1992)Entry and Market Contestabili…Entry and Competitive Structure in Deregulated Airline Markets: An Event Study Analysis of People Express (1992)Entry and Competitive Structu…The Concentration-Margins Relationship Reconsidered (1990)The Concentration-Margins Rel…Yes, The APT Is Testable (1985)Yes, The APT Is TestableA unified beta pricing theory (1984)A unified beta pricing theoryMarket power and systematic risk (1983)Market power and systematic r…Tobin's $q$ Ratio and Industrial Organization (1981)Tobin's $q$ Ratio and Industr…Systematic Risk and the Theory of the Firm (1980)Systematic Risk and the Theor…The Cost of Capital and the Market Power of Firms (1978)The Cost of Capital and the M…The Gains and Losses from Industrial Concentration (1977)The Gains and Losses from Ind…The Gains and Losses From Industrial Concentration (1977)The Gains and Losses From Ind…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Industrial Concentration: The New Learning (1976)Industrial Concentration: The…Industry Structure, Market Rivalry, and Public Policy (1973)Industry Structure, Market Ri…Industrial Market Structure and Economic Performance. (1971)Industrial Market Structure a…Detecting corporate ESG performance: The role of ESG materiality in corporate financial performance and risks (2025)Detecting corporate ESG perfo…Environmental, social and governance performance and financial risk: Moderating role of ESG controversies and board gender diversity (2021)Environmental, social and gov…Concentration and other determinants of bank profitability in Europe, North America and Australia (1989)The Measurement and Determinants of Brand Equity: A Financial Approach (1993)Monopoly and Resource Allocation (1995)The Profit-Structure Relationship in Banking--Tests of Market-Power and Efficient-Structure Hypotheses (1995)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)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)An Empirical Investigation of the Arbitrage Pricing Theory (1980)Performance measurement with the arbitrage pricing theory (1986)On the Estimation of Beta-Pricing Models (1992)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)The Cross-Section of Expected Stock Returns (1992)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Illiquidity and stock returns: cross-section and time-series effects (2002)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Strategic management a stakeholder approach (2010)The Impact of Corporate Sustainability on Organizational Processes and Performance (2014)ESG disclosure and financial performance: Moderating role of ESG investors (2022)More sustainable, more productive: Evidence from ESG ratings and total factor productivity among listed Chinese firms (2022)Environmental, social, and governance (ESG) performance and financial outcomes: Analyzing the impact of ESG on financial performance (2023)What's New about the New Economy? Sources of Growth in the Managed and Entrepreneurial Economies (2001)Does self-employment reduce unemployment? (2008)Resolving the knowledge paradox: Knowledge-spillover entrepreneurship and economic growth (2008)Measurement of Business Performance in Strategy Research: A Comparison of Approaches (1986)Technological Opportunity and Spillovers of R&D: Evidence from Firms' Patents, Profits and Market Value (1986)How do family ownership, control and management affect firm value? (2005)Organizational Culture: Can It Be a Source of Sustained Competitive Advantage? (1986)The resource‐based view within the conversation of strategic management (1992)Efficiency of financial institutions: International survey and directions for future research (1997)The Effects of Megamergers on Efficiency and Prices: Evidence from a Bank Profit Function (1997)Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation (2004)Firm Resources and Sustained Competitive Advantage (1991)Clarifying the Entrepreneurial Orientation Construct and Linking It To Performance (1996)Firm resources and sustained competitive advantage (2004)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1971Industrial Market Structure and Economic Performance.6,267 cited
  • 1973Industry Structure, Market Rivalry, and Public Policy2,389 cited
  • 1981Tobin's $q$ Ratio and Industrial Organization1,382 cited
  • 1995A Critique of Size-Related Anomalies763 cited
  • 1977The Gains and Losses From Industrial Concentration473 cited
  • 1977The Gains and Losses from Industrial Concentration420 cited
  • 1984A unified beta pricing theory319 cited
  • 1992Entry and Market Contestability: An International Comparison.270 cited
  • 1976Industrial Concentration: The New Learning205 cited
  • 1992Entry and Competitive Structure in Deregulated Airline Markets: An Event Study Analysis of People Express130 cited
  • 1985Yes, The APT Is Testable125 cited
  • 1980Systematic Risk and the Theory of the Firm122 cited
  • 1990The Concentration-Margins Relationship Reconsidered108 cited
  • 1978The Cost of Capital and the Market Power of Firms106 cited
  • 1983Market power and systematic risk96 cited

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  • 2021Environmental, social and governance performance and financial risk: Moderating role of ESG controversies and board gender diversity643 cited
  • 2025Detecting corporate ESG performance: The role of ESG materiality in corporate financial performance and risks23 cited