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Arbitrage With Holding Costs: A Utility-Based Approach
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Arbitrage With Holding Costs: A Utility-Based Approach (1992)Arbitrage With Holding Costs: A Utility-B…Optimal Dynamic Trading with Leverage Constraints (1992)Optimal Dynamic Trading with …Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …Investor Sentiment and the Closed‐End Fund Puzzle (1991)Investor Sentiment and the Cl…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Equilibrium Short Horizons of Investors and Firms (1990)Equilibrium Short Horizons of…Arbitrage in Stock Index Futures (1990)Arbitrage in Stock Index Futu…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Optimal bond trading with personal taxes (1984)Optimal bond trading with per…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Cross-Section of Cryptocurrency Returns (2022)The Cross-Section of Cryptocu…Negative Swap Spreads and Limited Arbitrage (2019)Negative Swap Spreads and Lim…Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns (2016)Idiosyncratic risk, costly ar…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Market Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…Limits of Arbitrage: The State of the Theory (2010)Limits of Arbitrage: The Stat…A MODEL OF FINANCIAL MARKET LIQUIDITY BASED ON INTERMEDIARY CAPITAL (2010)A MODEL OF FINANCIAL MARKET L…Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach (2007)Liquidity and Arbitrage in Op…IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER (2005)IT'S 11 PM—DO YOU KNOW WHERE …Why is the Accrual Anomaly Not Arbitraged Away? (2004)Why is the Accrual Anomaly No…Efficient Trading Strategies in the Presence of Market Frictions (2001)Efficient Trading Strategies …Asset Prices and Trading Volume Under Fixed Transactions Costs (2001)Asset Prices and Trading Volu…Equilibrium Mispricing in a Capital Market with Portfolio Constraints (2000)Equilibrium Mispricing in a C…Equilibrium interest rate and liquidity premium with transaction costs (1999)Equilibrium interest rate and…The Pricing of Country Funds from Emerging Markets: Theory and Evidence (1998)The Pricing of Country Funds …Optimal Consumption and Portfolio Choice with Borrowing Constraints (1997)Optimal Consumption and Portf…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)A nonlinear general equilibrium model of the term structure of interest rates (1989)Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects (1990)Tax-Motivated Trading by Individual Investors (2005)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)The relation between forward prices and futures prices (1981)Hedging Performance and Basis Risk in Stock Index Futures (1984)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Options Arbitrage in Imperfect Markets (1989)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Economic Forces and the Stock Market (1986)Dividend yields and expected stock returns (1988)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Asset pricing and the bid-ask spread (1986)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Special Repo Rates (1996)Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)Limits of Arbitrage (2010)Public disclosure, private information collection, and short-term trading (1994)Corporate Governance and Control (2002)The capacity to innovate: a meta-analysis of absorptive capacity (2018)The Equity Share in New Issues and Aggregate Stock Returns (2000)Sports Sentiment and Stock Returns (2007)Individual Investor Trading and Stock Returns (2008)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)Exponential Hedging and Entropic Penalties (2002)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1990Equilibrium Short Horizons of Investors and Firms541 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities503 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 1984Optimal bond trading with personal taxes265 cited
  • 1990Arbitrage in Stock Index Futures225 cited
  • 1992Optimal Dynamic Trading with Leverage Constraints158 cited

Cited by

  • 1999Equilibrium interest rate and liquidity premium with transaction costs179 cited
  • 2000Equilibrium Mispricing in a Capital Market with Portfolio Constraints162 cited
  • 2001Asset Prices and Trading Volume Under Fixed Transactions Costs107 cited
  • 2022The Cross-Section of Cryptocurrency Returns102 cited

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2013
Market Liquidity—Theory and Empirical Evidence
101 cited
  • 2001Efficient Trading Strategies in the Presence of Market Frictions96 cited
  • 2005IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER95 cited
  • 2016Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns90 cited
  • 2010Limits of Arbitrage: The State of the Theory83 cited
  • 2019Negative Swap Spreads and Limited Arbitrage82 cited
  • 1997Optimal Consumption and Portfolio Choice with Borrowing Constraints80 cited
  • 2010A MODEL OF FINANCIAL MARKET LIQUIDITY BASED ON INTERMEDIARY CAPITAL80 cited
  • 2007Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach66 cited
  • 1998The Pricing of Country Funds from Emerging Markets: Theory and Evidence65 cited
  • 2012Market Liquidity -- Theory and Empirical Evidence54 cited
  • 2004Why is the Accrual Anomaly Not Arbitraged Away?46 cited