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Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test
13 references·16 citing·43 second hop
Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test (1984)Do asset-demand functions optimize over t…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Exchange Rates and International Macroeconomics (1983)Exchange Rates and Internatio…In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)In search of the exchange ris…A model of international asset pricing (1981)A model of international asse…Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination (1980)Exchange Rate Risk and the Ma…Exchange Rate Economics: Where Do We Stand? (1980)Exchange Rate Economics: Wher…The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates (1978)The Efficiency of the Market …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…Sharing rules and equilibrium in an international capital market under uncertainty (1976)Sharing rules and equilibrium…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…An equilibrium model of the international capital market (1974)An equilibrium model of the i…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Rare Disasters and Exchange Rates (2008)Rare Disasters and Exchange R…Rare Disasters and Exchange Rates (2008)Rare Disasters and Exchange R…Democratic Processes and Financial Markets: Pricing Politics (2006)Democratic Processes and Fina…Foreign exchange market intervention and expectations: The yen/dollar exchange rate (2005)Foreign exchange market inter…Democratic Processes, Political Risk, and Foreign Exchange Markets (2002)Democratic Processes, Politic…The Economic Consequences of Disappearing Government Debt (2000)The Economic Consequences of …The effect of political risk on the forward exchange bias: the case of elections (1992)The effect of political risk …Saving, investment, and capital mobility among OECD countries (1991)Saving, investment, and capit…Market Microstructure Effects of Government Intervention in the Foreign Exchange Market (1991)Market Microstructure Effects…Tests of international CAPM with time‐varying covariances (1989)Tests of international CAPM w…Is it risk? (1988)Is it risk?The implications of mean-variance optimization for four questions in international macroeconomics (1986)The implications of mean-vari…The Dollar as Speculative Bubble: A Tale of Fundamentalists and Chartists (1986)The Dollar as Speculative Bub…International Capital Mobility and Crowding-out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1986)International Capital Mobilit…Portfolio Crowding-Out, Empirically Estimated (1985)Portfolio Crowding-Out, Empir…Commodity Prices and Money: Lessons from International Finance (1984)Commodity Prices and Money: L…Risk Aversion in the Small and in the Large (1964)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)COMPONENTS OF INVESTMENT PERFORMANCE* (1972)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)The Valuation of Uncertain Income Streams and the Pricing of Options (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)The statistical distribution of exchange rates: Empirical evidence and economic implications (1987)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)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)Chapter 15 The specification and influence of asset markets (1985)Some tests of international equity integration (1988)Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets (1989)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Beating the Foreign Exchange Market (1986)What Determines Government Spending Multipliers? (2012)Intertemporal asset pricing (1990)Oil prices, exchange rates and emerging stock markets (2011)Predictive regressions with time-varying coefficients (2012)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1974An equilibrium model of the international capital market1,130 cited
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  • 1982In search of the exchange risk premium: A six-currency test assuming mean-variance optimization318 cited
  • 1983Exchange Rates and International Macroeconomics311 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 1978The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates152 cited
  • 1980Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination116 cited

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  • 1989Tests of international CAPM with time‐varying covariances147 cited
  • 2000

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The Economic Consequences of Disappearing Government Debt
132 cited
  • 1986International Capital Mobility and Crowding-out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?118 cited
  • 2002Democratic Processes, Political Risk, and Foreign Exchange Markets106 cited
  • 2005Foreign exchange market intervention and expectations: The yen/dollar exchange rate106 cited
  • 2006Democratic Processes and Financial Markets: Pricing Politics94 cited
  • 1991Market Microstructure Effects of Government Intervention in the Foreign Exchange Market93 cited
  • 2008Rare Disasters and Exchange Rates92 cited
  • 1984Commodity Prices and Money: Lessons from International Finance89 cited
  • 1988Is it risk?84 cited
  • 1992The effect of political risk on the forward exchange bias: the case of elections75 cited
  • 1985Portfolio Crowding-Out, Empirically Estimated75 cited
  • 1986The Dollar as Speculative Bubble: A Tale of Fundamentalists and Chartists65 cited
  • 2008Rare Disasters and Exchange Rates61 cited
  • 1986The implications of mean-variance optimization for four questions in international macroeconomics60 cited
  • 1991Saving, investment, and capital mobility among OECD countries53 cited