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Taiwan stock market and four-moment asset pricing model
16 references·0 citing·33 second hop
Taiwan stock market and four-moment asset pricing model (2003)Taiwan stock market and four-moment asset…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…The variation of certain speculative prices (1997)The variation of certain spec…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Emerging equity market volatility (1997)Emerging equity market volati…The Conditional Relation between Beta and Returns (1995)The Conditional Relation betw…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)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)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Equilibrium Underdiversification and the Preference for Skewness (2007)Ex Ante Skewness and Expected Stock Returns (2012)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1995The Conditional Relation between Beta and Returns528 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance

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