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Portfolio performance gauging in discrete time using a Luenberger productivity indicator
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Portfolio performance gauging in discrete time using a Luenberger productivity indicator (2010)Portfolio performance gauging in discrete…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Industry costs of equity (1997)Industry costs of equityMultifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Portfolio Selection (1952)Portfolio SelectionAssessing eco-performance of transport sector: Approach framework, static efficiency and dynamic evolution (2020)Assessing eco-performance of …Efficiency factors in OECD banks: A ten-year analysis (2016)Efficiency factors in OECD ba…A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)A dynamic autoregressive expe…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)A five-factor asset pricing model (2014)Investor Sentiment and the Cross‐Section of Stock Returns (2006)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1997Industry costs of equity5,793 cited
  • 1952Portfolio Selection4,609 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited

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Contrarian Investment, Extrapolation, and Risk
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  • 2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies44 cited
  • 2016Efficiency factors in OECD banks: A ten-year analysis41 cited
  • 2020Assessing eco-performance of transport sector: Approach framework, static efficiency and dynamic evolution39 cited