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International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital
16 references·0 citing·31 second hopsampled
International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital (2004)International Asset Pricing: Evidence fro…Expected EPS and EPS Growth as Determinantsof Value (2005)Expected EPS and EPS Growth a…Information and the Cost of Capital (2004)Information and the Cost of C…The Equity Premium (2002)The Equity PremiumToward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Law and Finance (1998)Law and FinanceIndustry costs of equity (1997)Industry costs of equityEvidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Law and Finance (1996)Law and FinanceTime‐Varying World Market Integration (1995)Time‐Varying World Market Int…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Investor protection and corporate governance (2000)The separation of ownership and control in East Asian Corporations (2000)The Colonial Origins of Comparative Development: An Empirical Investigation: Reply (2012)The Behavior of Stock-Market Prices (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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Legal Determinants of External Finance (1997)Corporate Ownership Around the World (1999)The Colonial Origins of Comparative Development: An Empirical Investigation (2001)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Continuous Auctions and Insider Trading (1985)Information Uncertainty and Stock Returns (2006)Liquidity and Asset Prices (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1998Law and Finance17,902 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1997Industry costs of equity5,793 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 1996Law and Finance2,451 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 2005Expected EPS and EPS Growth as Determinantsof Value1,414 cited
  • 2002The Equity Premium1,331 cited

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