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The international CAPM when expected returns are time-varying
16 references·5 citing·35 second hopsampled
The international CAPM when expected returns are time-varying (2004)The international CAPM when expected retu…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Understanding Risk and Return (1993)Understanding Risk and ReturnThe Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…Macroeconomics and Reality (1980)Macroeconomics and RealityAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Information Environment and Equity Risk Premium Volatility Around the World (2011)Information Environment and E…How Important are Foreign Ownership Linkages for International Stock Returns? (2010)How Important are Foreign Own…The Efficiency of the Greek Banking System and its Determinants (2008)The Efficiency of the Greek B…International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital (2004)International Asset Pricing: …Ex Ante Cost of Equity Estimates of S&P 500 Firms: The Choice between Global and Domestic CAPM (2003)Ex Ante Cost of Equity Estima…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)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)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)A Theory of the Term Structure of Interest Rates (1985)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)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Presidential Address: Discount Rates (2011)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited

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1984
Stock Prices and Social Dynamics
1,615 cited

Cited by

  • 2010How Important are Foreign Ownership Linkages for International Stock Returns?43 cited
  • 2011Information Environment and Equity Risk Premium Volatility Around the World42 cited
  • 2008The Efficiency of the Greek Banking System and its Determinants42 cited
  • 2003Ex Ante Cost of Equity Estimates of S&P 500 Firms: The Choice between Global and Domestic CAPM40 cited
  • 2004International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital30 cited