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Additions to and Deletions from an Open-Ended Market Index: Evidence from the Australian All Ordinaries
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Additions to and Deletions from an Open-Ended Market Index: Evidence from the Australian All Ordinaries (2002)Additions to and Deletions from an Open-E…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index (1997)New Evidence on Stock Price E…Momentum Strategies (1996)Momentum StrategiesAn Anatomy of the "S & P Game": The Effects of Changing the Rules (1996)An Anatomy of the "S & P Game…EXCESS RETURNS OF INDEX REPLACEMENT STOCKS: EVIDENCE OF LIQUIDITY AND SUBSTITUTABILITY (1994)EXCESS RETURNS OF INDEX REPLA…Changes in the Standard and Poor's 500 List (1991)Changes in the Standard and P…Institutional Ownership and Changes in the S&P 500 (1989)Institutional Ownership and C…The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500 (1987)The Effect on Stock Price of …Price 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…INSTITUTIONAL TRADING AND SECURITY PRICES: THE CASE OF CHANGES IN THE COMPOSITION OF THE S&P 500 INDEX (1986)INSTITUTIONAL TRADING AND SEC…Does Delisting from the S&P 500 Affect Stock Price? (1986)Does Delisting from the S&P 5…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. (1981)Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)The Adjustment of Stock Prices to New Information (2003)Comovement (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)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)Institutional Investors and Equity Prices (1998)The liquidity effects of revisions to the S&P 500 index: an empirical analysis (2003)Equilibrium prices in the presence of delegated portfolio management (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)The Expiration of IPO Share Lockups (2001)Who underreacts to cash-flow news? evidence from trading between individuals and institutions (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Replicating Anomalies (2018)The "Dartboard" Column: Second-Hand Information and Price Pressure (1993)Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage (2004)The Russell Reconstitution Effect (2003)What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006)Institutional ownership horizon, corporate social responsibility and shareholder value (2019)Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study (2010)Behavioral Factors in Mutual Fund Flows (2000)Do Demand Curves for Small Stocks Slope Down? (2004)Trading Patterns and Excess Comovement of Stock Returns (2007)
this work references cited by second hop

References

  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1996Momentum Strategies1,275 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1997New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index493 cited
  • 1991Changes in the Standard and Poor's 500 List354 cited
  • 1996An Anatomy of the "S & P Game": The Effects of Changing the Rules334 cited
  • 1987The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500292 cited
  • 1989Institutional Ownership and Changes in the S&P 500151 cited
  • 1986Does Delisting from the S&P 500 Affect Stock Price?96 cited
  • 1986INSTITUTIONAL TRADING AND SECURITY PRICES: THE CASE OF CHANGES IN THE COMPOSITION OF THE S&P 500 INDEX57 cited
  • 1994EXCESS RETURNS OF INDEX REPLACEMENT STOCKS: EVIDENCE OF LIQUIDITY AND SUBSTITUTABILITY55 cited

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