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Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
7 references·16 citing·37 second hop
Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expected Common Sto…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Taming the Factor Zoo: A Test of New Factors (2020)Taming the Factor Zoo: A Test…Dissecting Characteristics Nonparametrically (2019)Dissecting Characteristics No…Replicating Anomalies (2018)Replicating AnomaliesThe Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)The Characteristics that Prov…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…What Factors Drive Global Stock Returns? (2011)What Factors Drive Global Sto…The implied cost of capital: A new approach (2011)The implied cost of capital: …Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Measuring Default Risk Premia…What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Rational Capital Budgeting in an Irrational World (1996)Rational Capital Budgeting in…Rational Capital Budgeting In An Irrational World (1996)Rational Capital Budgeting In…Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Measuring abnormal performance (1992)Measuring abnormal performanceEfficient Capital Markets: II (1991)Efficient Capital Markets: IICAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Insiders' profits, costs of trading, and market efficiency (1986)Fundamentals and Stock Returns in Japan (1991)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Is the Risk of Bankruptcy a Systematic Risk? (1998)Predicting returns with financial ratios (2004)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)On Persistence in Mutual Fund Performance (1997)Common Risk Factors in Cryptocurrency (2022)Dissecting climate risks: Are they reflected in stock prices? (2023)Is There a Replication Crisis in Finance? (2023)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1981Misspecification of capital asset pricing1,286 cited

Cited by

  • 1991Efficient Capital Markets: II1,271 cited
  • 2018Replicating Anomalies1,068 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 1996Expectations and the Cross-Section of Stock Returns982 cited
  • 1992Measuring abnormal performance840 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns773 cited

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  • 2020Taming the Factor Zoo: A Test of New Factors745 cited
  • 2017The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns684 cited
  • 2019Dissecting Characteristics Nonparametrically618 cited
  • 1996Rational Capital Budgeting In An Irrational World602 cited
  • 2011What Factors Drive Global Stock Returns?576 cited
  • 2011The implied cost of capital: A new approach565 cited
  • 1996Rational Capital Budgeting in an Irrational World438 cited
  • 2007Measuring Default Risk Premia from Default Swap Rates and EDFs416 cited