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Further international evidence on asset pricing
16 references·2 citing·32 second hop
Further international evidence on asset pricing (1988)Further international evidence on asset p…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…Differential Information and Security Market Equilibrium (1985)Differential Information and …Differential information and the small firm effect (1984)Differential information and …Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Friction in the trading process and the estimation of systematic risk (1983)Friction in the trading proce…Biases in computed returns (1983)Biases in computed returnsThe relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Foundations of Finance. (1977)Foundations of Finance.A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Adverse selection, volume and transactions around dividend announcements in a continuous auction system (1996)Adverse selection, volume and…Further evidence on performance evaluation: Portfolio holdings, recommendations, and turnover costs (1995)Further evidence on performan…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)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Portfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Applied Statistical Decision Theory (1962)The real term structure and consumption growth (1988)Assessing Alternative Proxies for the Expected Risk Premium (2005)Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency (2014)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Does the Stock Market Overreact? (1985)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1977Foundations of Finance.1,128 cited
  • 1985Differential Information and Security Market Equilibrium928 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1983Biases in computed returns771 cited
  • 1983Stock market seasonality573 cited
  • 1984Differential information and the small firm effect527 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1983Friction in the trading process and the estimation of systematic risk

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  • 1996Adverse selection, volume and transactions around dividend announcements in a continuous auction system29 cited
  • 1995Further evidence on performance evaluation: Portfolio holdings, recommendations, and turnover costs27 cited