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Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers
16 references·1 citing·29 second hop
Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers (2010)Alternative Models for Estimating the Cos…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The theory and practice of econometrics (1986)The theory and practice of ec…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Marketing Research: Methodological Foundations (1977)Marketing Research: Methodolo…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Combination of Forecasts (1969)The Combination of ForecastsApplied Economic Forecasting (1967)Applied Economic ForecastingFinancial econometrics, mathematics, statistics, and financial technology: an overall view (2020)Financial econometrics, mathe…Portfolio Selection: Efficient Diversification of Investments (1959)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**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)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Financial Intermediation and Delegated Monitoring (1984)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Beyond Accuracy: What Data Quality Means to Data Consumers (1996)The Impact of Technostress on Role Stress and Productivity (2007)Evaluation of Structural Equation Models Using the Partial Least Squares (PLS) Approach (2009)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1977Marketing Research: Methodological Foundations4,351 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1967Applied Economic Forecasting1,206 cited
  • 1979Forecasting Economic Time Series1,004 cited

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  • 2020Financial econometrics, mathematics, statistics, and financial technology: an overall view18 cited