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Do Stock Prices Really Reflect Fundamental Values? The Case of REITs
16 references·0 citing·35 second hopsampled
Do Stock Prices Really Reflect Fundamental Values? The Case of REITs (2004)Do Stock Prices Really Reflect Fundamenta…Stocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns (2001)Can Investors Profit from the…Predictive regressions (1999)Predictive regressionsDo Industries Explain Momentum? (1999)Do Industries Explain Momentu…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Do Brokerage Analysts' Recomm…Costly Arbitrage: Evidence from Closed-End Funds (1996)Costly Arbitrage: Evidence fr…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns 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…Investor Sentiment and the Closed‐End Fund Puzzle (1991)Investor Sentiment and the Cl…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES (1977)THE VALUATION OF CLOSED‐END I…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Market Liquidity and Funding Liquidity (2008)Does the Stock Market Overreact? (1985)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Expected Stock Returns and Variance Risk Premia (2009)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The short of it: Investor sentiment and anomalies (2011)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1996Do Brokerage Analysts' Recommendations Have Investment Value?1,916 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1999Predictive regressions1,614 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 2001Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns1,100 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 1996Costly Arbitrage: Evidence from Closed-End Funds801 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited
  • 1977THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES

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