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Beta stability and tendency
16 references·1 citing·26 second hop
Beta stability and tendency (1982)Beta stability and tendencyTHE CURRENT STATUS OF THE CAPITAL ASSET PRICING MODEL (CAPM) (1978)THE CURRENT STATUS OF THE CAP…Beta as a Random Coefficient (1978)Beta as a Random CoefficientAMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978)AMBIGUITY WHEN PERFORMANCE IS…Foundations of Finance. (1977)Foundations of Finance.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…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…Extra-Market Components of Covariance in Security Returns (1974)Extra-Market Components of Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…On the Short-Term Stationarity of Beta Coefficients (1971)On the Short-Term Stationarit…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKAn Empirical Evaluation of Alternative Portfolio-Selection Models (1967)An Empirical Evaluation of Al…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …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…Risk Measurement for Event-Dependent Security Returns (1988)Risk Measurement for Event-De…The capital asset pricing model: Some empirical tests (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Pricing of Options and Corporate Liabilities (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)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The option pricing model and the risk factor of stock (1976)Risk measurement when shares are subject to infrequent trading (1979)Foundations of Portfolio Theory (1991)Does the Stock Market Overreact? (1985)On Persistence in Mutual Fund Performance (1997)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 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
  • 1977Foundations of Finance.1,128 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 1978AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE439 cited
  • 1978Beta as a Random Coefficient385 cited
  • 1974Extra-Market Components of Covariance in Security Returns295 cited
  • 1967An Empirical Evaluation of Alternative Portfolio-Selection Models275 cited
  • 1971On the Short-Term Stationarity of Beta Coefficients227 cited
  • 1978

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THE CURRENT STATUS OF THE CAPITAL ASSET PRICING MODEL (CAPM)
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Cited by

  • 1988Risk Measurement for Event-Dependent Security Returns24 cited