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Pay attention to neglected firms!*
3 references·16 citing·51 second hopsampled
Pay attention to neglected firms!* (1983)Pay attention to neglected firms!*Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…The Changing Nature of Institutional Stock Investing (2017)The Changing Nature of Instit…The Ramadan effect: Illusion or reality? (2016)The Ramadan effect: Illusion …Asymmetric Effects of Informed Trading on the Cost of Equity Capital (2015)Asymmetric Effects of Informe…Investor Competition Over Information and the Pricing of Information Asymmetry (2011)Investor Competition Over Inf…Liquidity skewness (2010)Liquidity skewnessTHE IMPACT OF BEHAVIORAL PITFALLS ON INVESTORS' DECISIONS: THE DISPOSITION EFFECT IN THE TAIWANESE WARRANT MARKET (2008)THE IMPACT OF BEHAVIORAL PITF…The informational content of credit rating announcements for share prices in a small market (2003)The informational content of …A Study into Certain Aspects of the Cost of Capital for Regulated Utilities in the U.K. (2003)A Study into Certain Aspects …Determining security speed of adjustment coefficients (2002)Determining security speed of…Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts (2000)Marketing of Stocks by Broker…THE EFFECT OF INSTITUTIONAL INTEREST ON THE INFORMATION CONTENT OF DIVIDEND‐CHANGE ANNOUNCEMENTS (1999)THE EFFECT OF INSTITUTIONAL I…Long-term over-reaction in the UK stock market and size adjustments (1997)Long-term over-reaction in th…INFORMATION CONTENT OF QUALIFIED AUDIT OPINIONS FOR OVER‐THE‐COUNTER FIRMS (1994)INFORMATION CONTENT OF QUALIF…An Examination of the Small-Firm Effect within the REIT Industry (1991)An Examination of the Small-F…Institutional Ownership and Distribution of Equity Returns (1990)Institutional Ownership and D…Is There A Neglected Firm Effect? (1987)Is There A Neglected Firm Eff…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)Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Economies-of-Scale for Real Estate Investment Trusts (1997)Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Technical efficiency and economies of scale: A non-parametric analysis of REIT operating efficiency (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Measuring Productive Efficiency of Stock Exchanges using Price Adjustment Coefficients (2003)Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market (2004)The Weak-form Efficiency of Chinese Stock Markets (2009)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Constraints on short-selling and asset price adjustment to private information (1987)Stock preferences and derivative activities of Australian fund managers (2004)Institutional Investors and Insider Trading Profitability (2015)Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets (2017)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (2002)The Effect of Information Quality on Liquidity Risk (2008)Do Financial Analysts Restrain Insiders' Informational Advantage? (2009)On the psychology of prediction. (1973)Does the Stock Market Overreact? (1985)Permanent and Temporary Components of Stock Prices (1988)On the source of contrarian and momentum strategies in the Italian equity market (2004)Profitability of Contrarian Strategies: Evidence from the Istanbul Stock Exchange* (2007)The death of the overreaction anomaly? A multifactor explanation of contrarian returns (2009)Institutional Investors and Equity Prices (1998)Hedge Funds and the Technology Bubble (2004)An Introduction to Mergers, Acquisitions, and Other Restructuring Activities (2019)The Equity Market Implications of the Retail Investment Boom (2021)Common Fund Flows: Flow Hedging and Factor Pricing (2022)The over-reaction effect—Some UK evidence (1991)The role of information in stock split announcement effects (1993)Is idiosyncratic risk priced? The international evidence (2022)
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References

  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited

Cited by

  • 1991An Examination of the Small-Firm Effect within the REIT Industry106 cited
  • 1990Institutional Ownership and Distribution of Equity Returns68 cited
  • 2011Investor Competition Over Information and the Pricing of Information Asymmetry66 cited
  • 1997Long-term over-reaction in the UK stock market and size adjustments60 cited
  • 2002Determining security speed of adjustment coefficients59 cited
  • 2017The Changing Nature of Institutional Stock Investing58 cited
  • 1987Is There A Neglected Firm Effect?50 cited
  • 2015Asymmetric Effects of Informed Trading on the Cost of Equity Capital48 cited
  • 2003The informational content of credit rating announcements for share prices in a small market47 cited
  • 1999THE EFFECT OF INSTITUTIONAL INTEREST ON THE INFORMATION CONTENT OF DIVIDEND‐CHANGE ANNOUNCEMENTS44 cited
  • 1994INFORMATION CONTENT OF QUALIFIED AUDIT OPINIONS FOR OVER‐THE‐COUNTER FIRMS43 cited
  • 2010

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Liquidity skewness
41 cited
  • 2016The Ramadan effect: Illusion or reality?40 cited
  • 2003A Study into Certain Aspects of the Cost of Capital for Regulated Utilities in the U.K.40 cited
  • 2008THE IMPACT OF BEHAVIORAL PITFALLS ON INVESTORS' DECISIONS: THE DISPOSITION EFFECT IN THE TAIWANESE WARRANT MARKET38 cited
  • 2000Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts36 cited