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Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model
9 references·16 citing·36 second hop
Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model (2016)Experimental Tests of the Separation Theo…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Judgment Under Uncertainty: Heuristics and Biases. (1984)Judgment Under Uncertainty: H…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS (1975)THE ASSET STRUCTURE OF INDIVI…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Visual tools and narratives: new ways to improve financial literacy (2015)Visual tools and narratives: …Preferred risk habitat of individual investors☆ (2010)Preferred risk habitat of ind…Spurious consensus and opinion revision: Why might people be more confident in their less accurate judgments? (2009)Spurious consensus and opinio…Psychology, Financial Decision Making, and Financial Crises (2009)Psychology, Financial Decisio…Decision-making under uncertainty – A field study of cumulative prospect theory (2009)Decision-making under uncerta…Financial Literacy and Portfolio Diversification (2008)Financial Literacy and Portfo…The Effects Of Endowment And Loss Aversion In Managerial Stock Option Valuation (2007)The Effects Of Endowment And …Rationality in Economics: Constructivist and Ecological Forms (2007)Rationality in Economics: Con…Teams take the better risks (2006)Teams take the better risksTalk and Action: What Individual Investors Say and What They Do (2005)Talk and Action: What Individ…Portfolio management with heuristic optimization (2005)Portfolio management with heu…Beyond Greed and Fear (2002)Beyond Greed and FearGaming Against Managers in Incentive Systems: Experimental Results with Chinese Students and Chinese Managers (1999)Gaming Against Managers in In…Individual investors' risk judgments and investment decisions: The impact of accounting and market data (1998)Individual investors' risk ju…Absolute and relative risk aversion: An experimental study (1994)Absolute and relative risk av…Laboratory Experimentation in Economics: A Methodological Overview (1988)Laboratory Experimentation in…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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Coefficient Alpha and the Internal Structure of Tests (1951)Status quo bias in decision making (1988)Investor Psychology and Security Market Under‐ and Overreactions (1998)Portfolio Concentration and the Performance of Individual Investors (2008)Financial advisors: A case of babysitters? (2011)Do Investors Care about Impact? (2022)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Prospect Theory: An Analysis of Decision under Risk (1979)Accounts Manipulation: A Literature Review and Proposed Conceptual Framework (2004)Professional trader discipline and trade disposition (2005)Retrospective Voting Reconsidered (2013)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Those Who Understand: Knowledge Growth in Teaching (1986)Advances in prospect theory: Cumulative representation of uncertainty (1992)The weirdest people in the world? (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1984Judgment Under Uncertainty: Heuristics and Biases.5,656 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1975THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS378 cited

Cited by

  • 2002Beyond Greed and Fear528 cited
  • 2005Talk and Action: What Individual Investors Say and What They Do424 cited
  • 1988Laboratory Experimentation in Economics: A Methodological Overview336 cited
  • 2007Rationality in Economics: Constructivist and Ecological Forms278 cited
  • 2009Psychology, Financial Decision Making, and Financial Crises221 cited
  • 1999Gaming Against Managers in Incentive Systems: Experimental Results with Chinese Students and Chinese Managers

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220 cited
  • 1994Absolute and relative risk aversion: An experimental study192 cited
  • 2008Financial Literacy and Portfolio Diversification184 cited
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  • 2010Preferred risk habitat of individual investors☆154 cited
  • 2007The Effects Of Endowment And Loss Aversion In Managerial Stock Option Valuation137 cited
  • 2015Visual tools and narratives: new ways to improve financial literacy131 cited
  • 2005Portfolio management with heuristic optimization130 cited
  • 1998Individual investors' risk judgments and investment decisions: The impact of accounting and market data116 cited
  • 2009Decision-making under uncertainty – A field study of cumulative prospect theory109 cited
  • 2009Spurious consensus and opinion revision: Why might people be more confident in their less accurate judgments?108 cited