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Insider trading, abnormal return and preferential information: Supervising through a probabilistic model
16 references·0 citing·27 second hop
Insider trading, abnormal return and preferential information: Supervising through a probabilistic model (2002)Insider trading, abnormal return and pref…Theory of rational option pricing (2005)Theory of rational option pri…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Financial Theory and Corporate Policy. (1980)Financial Theory and Corporat…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Portfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (1973)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Measuring security price performance (1980)Using daily stock returns (1985)The Event Study Methodology Since 1969 (1998)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Option pricing: A simplified approach (1979)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)Introductory Econometrics for Finance (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1976Stochastic Differential Equations: Theory and Applications.2,351 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1980Financial Theory and Corporate Policy.1,699 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1998Methods of Mathematical Finance

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