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Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia
16 references·6 citing·44 second hop
Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia (2012)Leverage and the Limits of Arbitrage Pric…Betting against beta (2013)Betting against betaThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Limits of Arbitrage (1995)The Limits of ArbitragePositive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…The equity premium: A puzzle (1985)The equity premium: A puzzleDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…DEBT AND TAXES* (1977)DEBT AND TAXES*The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Do Cash Flows of Growth Stocks Really Grow Faster? (2017)Do Cash Flows of Growth Stock…The Term Structure of the Welfare Cost of Uncertainty (2014)The Term Structure of the Wel…Loss Aversion, Habit Formation and the Term Structures of Equity and Interest Rates (2014)Loss Aversion, Habit Formatio…Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty (2014)Horizon-Dependent Risk Aversi…Recovering Drifts and Preference Parameters from Financial Derivatives (2013)Recovering Drifts and Prefere…Asset Prices with Heterogeneity in Preferences and Beliefs (2010)Asset Prices with Heterogenei…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)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)Common risk factors in the returns on stocks and bonds (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)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)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1977DEBT AND TAXES*2,896 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 2013Betting against beta2,027 cited
  • 1986Do Demand Curves for Stocks Slope Down?

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  • 2013Recovering Drifts and Preference Parameters from Financial Derivatives38 cited
  • 2014Loss Aversion, Habit Formation and the Term Structures of Equity and Interest Rates32 cited
  • 2014Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty29 cited
  • 2014The Term Structure of the Welfare Cost of Uncertainty24 cited