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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

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2001Econometric Analysis of Cross Section and Panel Data27,575 cited
1993Common risk factors in the returns on stocks and bonds26,615 cited
1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
1997On Persistence in Mutual Fund Performance17,267 cited
1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
2003Analysis of Panel Data7,858 cited
1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
1976The arbitrage theory of capital asset pricing7,081 cited
1975THE 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.]

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