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Potential performance and tests of portfolio efficiency
11 references·16 citing·31 second hop
Potential performance and tests of portfolio efficiency (1982)Potential performance and tests of portfo…Multivariate tests of financial models (1982)Multivariate tests of financi…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978)AMBIGUITY WHEN PERFORMANCE IS…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 capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Using Stocks or Portfolios in Tests of Factor Models (2019)Using Stocks or Portfolios in…Model Comparison with Sharpe Ratios (2017)Model Comparison with Sharpe …Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆ (2007)Estimating and testing beta p…Evaluating Government Bond Fund Performance with Stochastic Discount Factors (2006)Evaluating Government Bond Fu…Economic forces and the stock market revisited (2006)Economic forces and the stock…A Skeptical Appraisal of Asset Pricing Tests (2006)A Skeptical Appraisal of Asse…Testing for mean-variance spanning: a survey (2001)Testing for mean-variance spa…A Portfolio Performance Index (2000)A Portfolio Performance IndexTests of integration, mild segmentation and segmentation hypotheses (1992)Tests of integration, mild se…The integration of the real estate market and the stock market: Some preliminary evidence (1990)The integration of the real e…Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory (1988)Joint Estimation of Factor Se…Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas (1987)Tests of Asset Pricing with T…On multivariate tests of the CAPM (1987)On multivariate tests of the …On correlations and inferences about mean-variance efficiency (1987)On correlations and inference…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…Multivariate proxies and asset pricing relations (1987)Multivariate proxies and asse…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)An Empirical Evaluation of Accounting Income Numbers (1968)International Portfolio Diversification with Estimation Risk (1985)Construct validity of an objective (entropy) categorical measure of diversification strategy (1993)CORPORATE DIVESTITURE INTENSITY IN RESTRUCTURING FIRMS: EFFECTS OF GOVERNANCE, STRATEGY, AND PERFORMANCE. (1994)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor models do not explain deviations from the CAPM (1995)Stock return predictability and model uncertainty (2002)Portfolio selection with higher moments (2010)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1982Multivariate tests of financial models614 cited
  • 1980Estimation for Markowitz Efficient Portfolios554 cited
  • 1978AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE439 cited

Cited by

  • 2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆235 cited
  • 1987Multivariate proxies and asset pricing relations221 cited
  • 1990The integration of the real estate market and the stock market: Some preliminary evidence216 cited
  • 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

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188 cited
  • 1988Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory187 cited
  • 2019Using Stocks or Portfolios in Tests of Factor Models180 cited
  • 1992Tests of integration, mild segmentation and segmentation hypotheses169 cited
  • 2000A Portfolio Performance Index169 cited
  • 2001Testing for mean-variance spanning: a survey167 cited
  • 2017Model Comparison with Sharpe Ratios162 cited
  • 1987On correlations and inferences about mean-variance efficiency158 cited
  • 2006A Skeptical Appraisal of Asset Pricing Tests156 cited
  • 2006Evaluating Government Bond Fund Performance with Stochastic Discount Factors153 cited
  • 1987On multivariate tests of the CAPM148 cited
  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons146 cited
  • 2006Economic forces and the stock market revisited141 cited