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Separability of stochastic production decisions from producer risk preferences in the presence of financial markets
16 references·0 citing·45 second hop
Separability of stochastic production decisions from producer risk preferences in the presence of financial markets (2009)Separability of stochastic production dec…Principles of Financial Economics (2014)Principles of Financial Econo…Risk-sensitive real business cycles (2000)Risk-sensitive real business …Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingAsset pricing in production economies (1998)Asset pricing in production e…Theory of incomplete markets (1996)Theory of incomplete marketsProduction-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Production-Based Asset Pricin…Fundamentals of Production Theory (1988)Fundamentals of Production Th…The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Time Pattern of Hedging a…Cross Hedging (1981)Cross HedgingHedging and the Competitive Firm under Price Uncertainty (1979)Hedging and the Competitive F…THE ROLE OF A STOCK MARKET IN A GENERAL EQUILIBRIUM MODEL WITH TECHNOLOGICAL UNCERTAINTY (1978)THE ROLE OF A STOCK MARKET IN…Information, futures prices, and stabilizing speculation (1978)Information, futures prices, …Risk and return in finance (1977)Risk and return in financeThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Risk Aversion in the Small and in the Large (1964)The Present Value of Profits and Cyclical Movements in Investment (1983)Financial intermediation as a beliefs-bridge between optimists and pessimists (2004)The cost of capital, corporation finance and the theory of investment (2008)Macroeconomics with Financial Frictions: A Survey (2012)Expectations and the neutrality of money (1972)ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)Asset Prices in an Exchange Economy (1978)Further results on the informational efficiency of competitive stock markets (1978)Asset Valuation in an Experimental Market (1982)International Commodity Agreements: An obituary notice (1996)Martingales and arbitrage in multiperiod securities markets (1979)Time to Build and Aggregate Fluctuations (1982)Production, growth and business cycles (1988)Robust Portfolio Rules and Asset Pricing (2004)Consumption Strikes Back? Measuring Long‐Run Risk (2008)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)Dividend yields and expected stock returns (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predictability of Stock Returns: Robustness and Economic Significance (1995)Organization Capital and the Cross‐Section of Expected Returns (2013)Choosing factors (2018)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)The Value Premium (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)Financial Super-Markets: Size Matters for Asset Trade (2001)Corporate Social Responsibility and Long-term Compensation: Evidence from Canada (2005)Pecuniary Externalities in Economies with Financial Frictions (2017)
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References

  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1991Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations1,125 cited
  • 1998Asset pricing in production economies1,083 cited
  • 2000Risk-sensitive real business cycles670 cited
  • 1996Theory of incomplete markets584 cited
  • 1978THE ROLE OF A STOCK MARKET IN A GENERAL EQUILIBRIUM MODEL WITH TECHNOLOGICAL UNCERTAINTY530 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 1978Information, futures prices, and stabilizing speculation391 cited
  • 1979Hedging and the Competitive Firm under Price Uncertainty390 cited
  • 1988Fundamentals of Production Theory373 cited
  • 1981Cross Hedging283 cited
  • 1977Risk and return in finance265 cited
  • 1983The Time Pattern of Hedging and the Volatility of Futures Prices226 cited
  • 2014Principles of Financial Economics206 cited

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