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Macrofactor Conditional Volatilities, Time‐Varying Risk Premia and Stock Return Behavior
16 references·6 citing·34 second hopsampled
Macrofactor Conditional Volatilities, Time‐Varying Risk Premia and Stock Return Behavior (1996)Macrofactor Conditional Volatilities, Tim…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Number of Factors in Security Returns (1989)The Number of Factors in Secu…Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory (1988)Joint Estimation of Factor Se…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An exploratory investigation of the firm size effect (1985)An exploratory investigation …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Risk and return (1984)Risk and returnThe anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…On estimating the expected return on the market (1980)On estimating the expected re…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…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…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Business cycles and stock market performance in South Africa (2015)Business cycles and stock mar…Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India (2014)Relationship Between Conditio…Spill-over Effect of US Sub-Prime Crisis on ASEAN-5 Stock Markets (2011)Spill-over Effect of US Sub-P…Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis (2002)Currency Depreciation and Kor…Volatility in stocks subject to takeover bids: Australian evidence using daily data (2001)Volatility in stocks subject …Stock return process and expected depreciation over the Asian financial crisis (2001)Stock return process and expe…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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)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)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1984Risk and return317 cited
  • 1988Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory187 cited
  • 1989The Number of Factors in Security Returns

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180 cited

Cited by

  • 2002Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis31 cited
  • 2001Volatility in stocks subject to takeover bids: Australian evidence using daily data29 cited
  • 2001Stock return process and expected depreciation over the Asian financial crisis24 cited
  • 2014Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India22 cited
  • 2011Spill-over Effect of US Sub-Prime Crisis on ASEAN-5 Stock Markets19 cited
  • 2015Business cycles and stock market performance in South Africa9 cited