References

• 2003Testing for unit roots in heterogeneous panels15,333 cited
• 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
• 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
• 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
• 2003Analysis of Panel Data7,858 cited
• 1975THE 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.]6,743 cited
• 1966Equilibrium in a Capital Asset Market4,896 cited
• 2004On the estimation and inference of a cointegrated regression in panel data1,807 cited
• 2004Nonstationary panels, cointegration in panels and dynamic panels: A survey