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Listed property trusts and downside systematic risk sensitivity
16 references·0 citing·38 second hop
Listed property trusts and downside systematic risk sensitivity (2008)Listed property trusts and downside syste…Downside Risk (2006)Downside RiskThe Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii) (2001)The Cost of Equity in Emergin…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…Risk and Return Revisited (1997)Risk and Return RevisitedReturn Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results (1982)Variance and Lower Partial Mo…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Safety First and the Holding of Assets (1952)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Increased Correlation in Bear Markets (2002)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Stock Returns and Volatility (1990)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)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)Conditional Skewness in Asset Pricing Tests (2000)Asymmetric correlations of equity portfolios (2002)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Portfolio Selection: Efficient Diversification of Investments (1959)On Economic Inequality (1973)Chapter 2 Measurement of inequality (2000)Theory of games and economic behavior (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)ESG shareholder engagement and downside risk (2023)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,081 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2006Downside Risk1,039 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2000Asset Allocation in a Downside Risk Framework325 cited
  • 1999A Brief History of Downside Risk Measures308 cited
  • 2002Systematic risk in emerging markets: the D-CAPM300 cited
  • 1997Risk and Return Revisited258 cited
  • 2001The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii)208 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited

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1982
Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results
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