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Security Pricing and Investment Criteria in Competitive Markets: Reply
3 references·16 citing·35 second hop
Security Pricing and Investment Criteria in Competitive Markets: Reply (1972)Security Pricing and Investment Criteria …Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Investment decisions, net present value and bounded rationality (2009)Investment decisions, net pre…Selecting a risk-adjusted shareholder performance measure (2003)Selecting a risk-adjusted sha…On the foundation of performance measures under asymmetric returns (2002)On the foundation of performa…Investment Policy, Optimality, and the Mean-Variance Model (1979)Investment Policy, Optimality…International Capital Market Equilibrium and the Multinational Firm Financing and Investment Policies (1979)International Capital Market …Leverage, output effects, and the M-M theorems (1977)Leverage, output effects, and…CAPITAL STRUCTURE REARRANGEMENTS AND ME‐FIRST RULES IN AN EFFICIENT CAPITAL MARKET (1977)CAPITAL STRUCTURE REARRANGEME…EFFECTS OF UNCERTAIN INFLATION ON THE INVESTMENT AND FINANCING DECISIONS OF A FIRM (1975)EFFECTS OF UNCERTAIN INFLATIO…THE LEASE‐OR‐BUY AND ASSET ACQUISITION DECISIONS (1974)THE LEASE‐OR‐BUY AND ASSET AC…THE CAPITAL DECISION IN COMMERCIAL BANKS (1974)THE CAPITAL DECISION IN COMME…COST OF CAPITAL FOR A DIVISION OF A FIRM (1974)COST OF CAPITAL FOR A DIVISIO…CAPITAL BUDGETING OF RISKY PROJECTS WITH “IMPERFECT” MARKETS FOR PHYSICAL CAPITAL (1974)CAPITAL BUDGETING OF RISKY PR…CAPITAL BUDGETING UNDER UNCERTAINTY: A REFORMULATION (1973)CAPITAL BUDGETING UNDER UNCER…AN APPROACH TO THE VALUATION OF UNCERTAIN INCOME STREAMS (1973)AN APPROACH TO THE VALUATION …Corporate Investment under Uncertainty and Pareto Optimality in the Capital Markets (1972)Corporate Investment under Un…Estimates of the Marginal Rate of Time Preference and Average Risk Aversion of Investors in Electric Utility Shares: 1960-66 (1971)Estimates of the Marginal Rat…The Application of Finance Theory to Public Utility Rate Cases (1972)Rate of Return Regulation and Efficiency in Production: An Empirical Test of the Averch-Johnson Thesis (1974)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)Predatory Pricing and the Acquisition Cost of Competitors (1986)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Omega performance measure and portfolio insurance (2010)Portfolio performance evaluation with loss aversion (2011)Omega Performance Measure and Portfolio Insurance (2018)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Research on 'Responsible Investment': An Influential Literature Analysis Comprising a Rating, Characterisation, Categorisation and Investigation (2009)Sufficient conditions for expected utility to imply drawdown-based performance rankings (2011)Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles (2020)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)PROJECT VALUATION WITH MEAN‐REVERTING CASH FLOW STREAMS (1978)Optimal Sequential Investment When Capital is Not Readily Reversible (1982)The Theory of the Growth of the Firm (1995)Risk, Uncertainty and Profit (1921)Capital Asset Prices and the Temporal Resolution of Uncertainty (1980)Pareto Optimality and Competition (1981)Corporate Financial Policy and the Theory of Financial Intermediation (1990)INFLATION AND THE MARKET VALUE OF THE FIRM: THEORY AND TESTS (1977)Performance Evaluation of Finite-Life Real Estate Investment Trusts (1989)Integrating Research on Markets for Space and Capital† (1992)The cost of capital, corporation finance and the theory of investment (2008)On the Theory of the Firm in an Economy with Incomplete Markets (1974)Production Theory and the Stock Market (1974)Monopolistic Competition in a Large Economy with Differentiated Commodities (1979)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited

Cited by

  • 1974CAPITAL BUDGETING OF RISKY PROJECTS WITH “IMPERFECT” MARKETS FOR PHYSICAL CAPITAL109 cited
  • 1972Corporate Investment under Uncertainty and Pareto Optimality in the Capital Markets107 cited
  • 1971Estimates of the Marginal Rate of Time Preference and Average Risk Aversion of Investors in Electric Utility Shares: 1960-66105 cited
  • 1975EFFECTS OF UNCERTAIN INFLATION ON THE INVESTMENT AND FINANCING DECISIONS OF A FIRM105 cited
  • 2002On the foundation of performance measures under asymmetric returns97 cited
  • 2003Selecting a risk-adjusted shareholder performance measure92 cited
  • 1979Investment Policy, Optimality, and the Mean-Variance Model80 cited
  • 1977Leverage, output effects, and the M-M theorems74 cited
  • 1977CAPITAL STRUCTURE REARRANGEMENTS AND ME‐FIRST RULES IN AN EFFICIENT CAPITAL MARKET74 cited
  • 1974COST OF CAPITAL FOR A DIVISION OF A FIRM68 cited
  • 1974THE LEASE‐OR‐BUY AND ASSET ACQUISITION DECISIONS65 cited

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1973
AN APPROACH TO THE VALUATION OF UNCERTAIN INCOME STREAMS
65 cited
  • 2009Investment decisions, net present value and bounded rationality52 cited
  • 1979International Capital Market Equilibrium and the Multinational Firm Financing and Investment Policies51 cited
  • 1974THE CAPITAL DECISION IN COMMERCIAL BANKS50 cited
  • 1973CAPITAL BUDGETING UNDER UNCERTAINTY: A REFORMULATION48 cited