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Market Value Vs. Financial Accounting Measures of National Saving
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Market Value Vs. Financial Accounting Measures of National Saving (1989)Market Value Vs. Financial Accounting Mea…Extended Accounts for National Income and Product (1998)Extended Accounts for Nationa…Why is Consumption So Smooth? (1989)Why is Consumption So Smooth?Theory of Financial Decision Making. (1988)Theory of Financial Decision …Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…Breach of Trust in Hostile Takeovers (1987)Breach of Trust in Hostile Ta…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…The Time Series Consumption Function Revisited (1985)The Time Series Consumption F…Taxation, Corporate Financial Policy and the Cost of Capital (1982)Taxation, Corporate Financial…Intertemporal Substitution in Consumption (1981)Intertemporal Substitution in…Wealth Maximization and the Cost of Capital (1979)Wealth Maximization and the C…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS (1963)THE LIFE CYCLE HYPOTHESIS OF …Corporate Takeovers: Causes and ConsequencesCorporate Takeovers: Causes a…The Stock Market and Capital Accumulation (1999)The Stock Market and Capital …Transfer and Life-cycle Wealth in Japan, 1974-1984 (1997)Transfer and Life-cycle Wealt…Capital Gains in Japan: Their Magnitude and Impact on Consumption (1996)Capital Gains in Japan: Their…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)Emerging Market Business Cycles: The Cycle Is the Trend (2007)Consumption Inequality and Partial Insurance (2008)Consumption inequality and partial insurance (2017)Dividend Policy, Growth, and the Valuation of Shares (1961)Social Security, Induced Retirement, and Aggregate Capital Accumulation (1974)Econometric policy evaluation: A critique (1976)Capital markets research in accounting (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)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 (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1963THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS2,011 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1989Why is Consumption So Smooth?586 cited
  • n.d.Corporate Takeovers: Causes and Consequences456 cited
  • 1979Wealth Maximization and the Cost of Capital453 cited
  • 1987Breach of Trust in Hostile Takeovers402 cited
  • 1985The Time Series Consumption Function Revisited389 cited
  • 1982Taxation, Corporate Financial Policy and the Cost of Capital370 cited
  • 1998

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Extended Accounts for National Income and Product
324 cited

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  • 1999The Stock Market and Capital Accumulation80 cited
  • 1996Capital Gains in Japan: Their Magnitude and Impact on Consumption22 cited
  • 1997Transfer and Life-cycle Wealth in Japan, 1974-198420 cited