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Agency and Asset Pricing
16 references·16 citing·36 second hopsampled
Agency and Asset Pricing (2008)Agency and Asset PricingHow to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Style investing (2003)Style investingMutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Of Tournaments and Temptation…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon 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…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Herd Behavior and Investment (1988)Herd Behavior and InvestmentPrice and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…The relationship between return and market value of common stocks (1981)The relationship between retu…Moral Hazard and Observability (1979)Moral Hazard and ObservabilityRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Mutual Fund Performance (1966)Mutual Fund PerformanceBenchmarking Intensity (2022)Benchmarking IntensityVolatility and the Cross-Section of Real Estate Equity Returns during Covid-19 (2021)Volatility and the Cross-Sect…Betting against correlation: Testing theories of the low-risk effect (2019)Betting against correlation: …On the Demand for High-Beta Stocks: Evidence from Mutual Funds (2017)On the Demand for High-Beta S…International asset allocations and capital flows: The benchmark effect (2017)International asset allocatio…Asset Management Contracts and Equilibrium Prices (2014)Asset Management Contracts an…. . . and the Cross-Section of Expected Returns (2014). . . and the Cross-Section o…The Low Risk Anomaly: A Decomposition into Micro and Macro Effects (2013)The Low Risk Anomaly: A Decom…The Volatility Effect in Emerging Markets (2012)The Volatility Effect in Emer…Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation (2011)Herding and Delegated Portfol…Thought and Behavior Contagion in Capital Markets (2009)Thought and Behavior Contagio…Information acquisition and mutual funds (2009)Information acquisition and m…Risk Management with Benchmarking (2006)Risk Management with Benchmar…Asset pricing implications of benchmarking: a two-factor CAPM (2003)Asset pricing implications of…Autoregressive Conditional Skewness (2000)Autoregressive Conditional Sk…Herding Behavior and Stock Returns: An Exploratory Investigation (1997)Herding Behavior and Stock Re…The Theory of Syndicates (1968)Essays in the Theory of Risk-Bearing. (1972)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Good News and Bad News: Representation Theorems and Applications (1981)Financial Intermediation and Delegated Monitoring (1984)Agency Costs, Net Worth, And Business Fluctuations (1988)The General Theory of Employment (1937)Network externalities, competition, and compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The impact of institutional trading on stock prices (1992)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The effect of bonus schemes on accounting decisions (1985)Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Managerial Incentive Problems: A Dynamic Perspective (1999)The Geography of Investment: Informed Trading and Asset Prices (2001)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)On Persistence in Mutual Fund Performance (1997)Institutional Investors and Equity Prices (2001)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1979Moral Hazard and Observability8,358 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry1,491 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 2003Style investing

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  • 2011Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation167 cited
  • 2022Benchmarking Intensity159 cited
  • 2009Thought and Behavior Contagion in Capital Markets153 cited
  • 2014. . . and the Cross-Section of Expected Returns140 cited
  • 2000Autoregressive Conditional Skewness126 cited
  • 2006Risk Management with Benchmarking117 cited
  • 2017International asset allocations and capital flows: The benchmark effect111 cited
  • 2014Asset Management Contracts and Equilibrium Prices109 cited
  • 2019Betting against correlation: Testing theories of the low-risk effect107 cited
  • 2013The Low Risk Anomaly: A Decomposition into Micro and Macro Effects100 cited
  • 2017On the Demand for High-Beta Stocks: Evidence from Mutual Funds95 cited
  • 2009Information acquisition and mutual funds86 cited
  • 2003Asset pricing implications of benchmarking: a two-factor CAPM85 cited
  • 2021Volatility and the Cross-Section of Real Estate Equity Returns during Covid-1983 cited
  • 1997Herding Behavior and Stock Returns: An Exploratory Investigation81 cited