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A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
16 references·2 citing·34 second hop
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012)A Theory of Firm Characteristics and Stoc…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Industry costs of equity (1997)Industry costs of equityContrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Corporate Financing and Inves…Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate financing and inves…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Production-Based Term Structure of Equity Returns (2013)Production-Based Term Structu…Growth Options and Firm Valuation (2013)Growth Options and Firm Valua…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)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Behavior of Stock-Market Prices (1965)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)Event Studies in Economics and Finance (1997)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)A Survey of Corporate Governance (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1984Corporate financing and investment decisions when firms have information that investors do not have18,936 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1984Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have6,535 cited
  • 1997Industry costs of equity5,793 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

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2,559 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
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    • 2013Production-Based Term Structure of Equity Returns19 cited
    • 2013Growth Options and Firm Valuation18 cited