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An analysis of the capital asset pricing model in the Egyptian stock market
9 references·4 citing·36 second hop
An analysis of the capital asset pricing model in the Egyptian stock market (2006)An analysis of the capital asset pricing …African stock markets: multiple variance ratio tests of random walks (2002)African stock markets: multip…Active portfolio management : a quantitative approach for providing superior returns and controlling risk (2000)Active portfolio management :…The New Finance: The Case Against Efficient Markets. (1995)The New Finance: The Case Aga…The New Finance: The Case Against Efficient Markets (1995)The New Finance: The Case Aga…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Integration versus segmentation in China's stock market: An analysis of time-varying beta risks (2013)Integration versus segmentati…A Validity Test of Capital Asset Pricing Model for Dhaka Stock Exchange (2011)A Validity Test of Capital As…Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market (2010)Impact of liquidity on stock …Go Long or Short in Pyramids? News from the Egyptian Stock Market (2007)Go Long or Short in Pyramids?…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)The Cross-Section of Expected Stock Returns (1992)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Econometrics of Financial Markets (1997)Random walks and market efficiency in European equity markets (2004)THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS (2005)VARIANCE‐RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009)The Econometrics of Financial Markets (2012)Specification Tests in Econometrics (1978)Common risk factors in the returns on stocks and bonds (1993)Firm characteristics and compliance with IAS/IFRS (2019)Dividend policy, its asymmetric behavior and stock liquidity (2022)Multivariate tests of financial models (1982)Mean-Variance Spanning (1987)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Corporate reputation and the stock market (1998)Emotion and Financial Markets (2003)A method for automatic stock trading combining technical analysis and nearest neighbor classification (2010)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)Efficient Market Hypothesis (EMH): Past, Present and Future (2008)Intraday Patterns in the Cross‐section of Stock Returns (2010)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Moving average reversion strategy for on-line portfolio selection (2015)
this work references cited by second hop

References

  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1995The New Finance: The Case Against Efficient Markets244 cited
  • 2000Active portfolio management : a quantitative approach for providing superior returns and controlling risk223 cited
  • 1995The New Finance: The Case Against Efficient Markets.220 cited
  • 2002African stock markets: multiple variance ratio tests of random walks185 cited

Cited by

  • 2010Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market31 cited
  • 2011A Validity Test of Capital Asset Pricing Model for Dhaka Stock Exchange29 cited
  • 2007Go Long or Short in Pyramids? News from the Egyptian Stock Market27 cited
  • 2013Integration versus segmentation in China's stock market: An analysis of time-varying beta risks19 cited

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