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Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
16 references·16 citing·20 second hopsampled
Do the Fama–French Factors Proxy for Innovations in Predictive Variables? (2006)Do the Fama–French Factors Proxy for Inno…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Understanding Risk and Return (1993)Understanding Risk and ReturnCommon 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…Efficient Capital Markets: II (1991)Efficient Capital Markets: IICommon Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Tail risk premia and return predictability (2015)Tail risk premia and return p…Investor attention, index performance, and return predictability (2014)Investor attention, index per…Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology (2013)Pricing Model Performance and…Modeling and predicting the CBOE market volatility index (2013)Modeling and predicting the C…Cost of capital and earnings transparency (2013)Cost of capital and earnings …Multifactor models and their consistency with the ICAPM (2012)Multifactor models and their …What Factors Drive Global Stock Returns? (2011)What Factors Drive Global Sto…Is size dead? A review of the size effect in equity returns (2011)Is size dead? A review of the…When Does Information Asymmetry Affect the Cost of Capital? (2010)When Does Information Asymmet…Conditional conservatism and cost of capital (2010)Conditional conservatism and …Return Decomposition (2009)Return DecompositionInvestor sentiment and the stock market’s reaction to monetary policy (2009)Investor sentiment and the st…Is accruals quality a priced risk factor? (2007)Is accruals quality a priced …Empirical Evidence on Capital Investment, Growth Options, and Security Returns (2006)Empirical Evidence on Capital…Is value riskier than growth? (2005)Is value riskier than growth?Financial Markets and the Real Economy (2005)Financial Markets and the Rea…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 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)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Behavior of Stock-Market Prices (1965)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
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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
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1977Asset returns and inflation2,701 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited

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Cited by

  • 2005Is value riskier than growth?690 cited
  • 2011What Factors Drive Global Stock Returns?576 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2010When Does Information Asymmetry Affect the Cost of Capital?492 cited
  • 2015Tail risk premia and return predictability415 cited
  • 2007Is accruals quality a priced risk factor?412 cited
  • 2014Investor attention, index performance, and return predictability391 cited
  • 2013Cost of capital and earnings transparency388 cited
  • 2009Investor sentiment and the stock market’s reaction to monetary policy379 cited
  • 2006Empirical Evidence on Capital Investment, Growth Options, and Security Returns357 cited
  • 2011Is size dead? A review of the size effect in equity returns302 cited
  • 2013Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology295 cited
  • 2013Modeling and predicting the CBOE market volatility index278 cited
  • 2009Return Decomposition261 cited
  • 2010Conditional conservatism and cost of capital249 cited
  • 2012Multifactor models and their consistency with the ICAPM248 cited