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DURATION, PLANNING PERIOD, AND TESTS OF THE CAPITAL ASSET PRICING MODEL
16 references·0 citing·35 second hop
DURATION, PLANNING PERIOD, AND TESTS OF THE CAPITAL ASSET PRICING MODEL (1980)DURATION, PLANNING PERIOD, AND TESTS OF T…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Coping with the Risk of Inter…Bond Price Volatility and Term to Maturity: A Generalized Respecification (2017)Bond Price Volatility and Ter…Capital Markets: Theory and Evidence (2003)Capital Markets: Theory and E…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL (1978)NEW EVIDENCE ON THE CAPITAL A…Duration Forty Years Later (1978)Duration Forty Years LaterThe Capital Asset Pricing Model and the Investment Horizon (1977)The Capital Asset Pricing Mod…Immunization, Duration, and the Term Structure of Interest Rates (1977)Immunization, Duration, and t…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Portfolio Performance and the Investment Horizon (1972)Portfolio Performance and the…Capital Markets: Theory and Evidence (1972)Capital Markets: Theory and E…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Coping with the Risk of Inter…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Asset Pricing in a Production Economy with Incomplete Information (1986)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The relation between the return interval and betas (1989)A data envelopment analysis approach to measure the mutual fund performance (2001)A closing call's impact on market quality at Euronext Paris (2003)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)A Multivariate Model of the Term Structure (1980)Term Structure Modeling Using Exponential Splines (1982)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)Stock prices, inflation, and the term structure of interest rates (1974)The information content of discounts and premiums on closed-end fund shares (1978)A Risk Minimizing Strategy for Portfolio Immunization (1984)Monetary Policy, Loan Liquidation, and Industrial Conflict: The Federal Reserve and the Open Market Operations of 1932 (1984)
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References

  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*305 cited
  • 2003Capital Markets: Theory and Evidence275 cited
  • 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies271 cited
  • 1977The Capital Asset Pricing Model and the Investment Horizon255 cited
  • 1972Capital Markets: Theory and Evidence235 cited
  • 1979Duration and the Measurement of Basis Risk225 cited
  • 1978Duration Forty Years Later184 cited
  • 1977Immunization, Duration, and the Term Structure of Interest Rates172 cited
  • 1972Portfolio Performance and the Investment Horizon127 cited
  • 2017Bond Price Volatility and Term to Maturity: A Generalized Respecification126 cited

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  • 1978NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL119 cited
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