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The Importance of Cash‐Flow News for Financially Distressed Firms
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The Importance of Cash‐Flow News for Financially Distressed Firms (2007)The Importance of Cash‐Flow News for Fina…On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing (2007)On the Importance of Measurin…Bad Beta, Good Beta (2004)Bad Beta, Good BetaWhat Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)What Moves the Stock and Bond…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms (1990)Dividend Policy and Financial…Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms (1990)Dividend Policy and Financial…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Asset returns and inflation (1977)Asset returns and inflationRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Noise Trader Risk in Financial Markets (1990)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)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)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry Concentration and Average Stock Returns (2003)Consumption Strikes Back? Measuring Long‐Run Risk (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Investor Psychology and Asset Pricing (2001)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977Asset returns and inflation2,701 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 2004Bad Beta, Good Beta1,167 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 2007On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing604 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns452 cited
  • 1990Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms

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385 cited
  • 1990Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms273 cited
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