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Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange
16 references·4 citing·26 second hop
Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange (2001)Evidence of a value-growth phenomenon on …Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expecte…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Mutual Fund Performance (1966)Mutual Fund PerformanceThe financial analysts journal (1960)The financial analysts journalShare Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency (2011)Share Price Reaction to Earni…Equity style and performance persistence in South African unit trusts (2005)Equity style and performance …The value creation effects of mergers and acquisitions: Evidence from the JSE Securities Exchange South Africa (2004)The value creation effects of…Profitability of directors' share dealings on the JSE (2003)Profitability of directors' s…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)Common risk factors in the returns on stocks and bonds (1993)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Illiquidity and stock returns: cross-section and time-series effects (2002)Editor's Choice Digesting Anomalies: An Investment ApproachFurther Evidence On Investor Overreaction and Stock Market Seasonality (1987)Investor Psychology and Asset Pricing (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence1,336 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1996Commonality in the determinants of expected stock returns1,066 cited
  • 1960The financial analysts journal1,043 cited
  • 1996

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Expectations and the Cross-Section of Stock Returns
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Cited by

  • 2003Profitability of directors' share dealings on the JSE26 cited
  • 2011Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency25 cited
  • 2005Equity style and performance persistence in South African unit trusts16 cited
  • 2004The value creation effects of mergers and acquisitions: Evidence from the JSE Securities Exchange South Africa14 cited