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Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
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Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices (2003)Collective origin of the coexistence of a…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…The econometrics of financial markets (1996)The econometrics of financial…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 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
  • 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
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices

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893 cited
  • 1996The econometrics of financial markets886 cited
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